The alternating current optimal power flow (AC-OPF) problem is critical to power system operations and planning, but it is generally hard to solve due to its nonconvex and large-scale nature. This paper proposes a scalable decomposition approach in which the power network is decomposed into a master network and a number of subnetworks, where each network has its own AC-OPF subproblem. This formulates a two-stage optimization problem and requires only a small amount of communication between the master and subnetworks. The key contribution is a smoothing technique that renders the response of a subnetwork differentiable with respect to the input from the master problem, utilizing properties of the barrier problem formulation that naturally arises when subproblems are solved by a primal-dual interior-point algorithm. Consequently, existing efficient nonlinear programming solvers can be used for both the master problem and the subproblems. The advantage of this framework is that speedup can be obtained by processing the subnetworks in parallel, and it has convergence guarantees under reasonable assumptions. The formulation is readily extended to instances with stochastic subnetwork loads. Numerical results show favorable performance and illustrate the scalability of the algorithm which is able to solve instances with more than 11 million buses.
In transmission networks power flows and network topology are deeply intertwined due to power flow physics. Recent literature shows that specific network substructures named bridge-blocks prevent line failures from propagating globally. A two-stage and recursive tree partitioning approach have been proposed to create more bridge-blocks in transmission networks, improving their robustness against cascading line failures. In this paper we consider the problem of refining the bridge-block decomposition of a given power network with minimal impact on the maximum congestion. We propose two new solu…
In this paper, we have studied a decomposition method for solving a class of nonconvex two-stage stochastic programs, where both the objective and constraints of the second-stage problem are nonlinearly parameterized by the first-stage variable. Due to the failure of the Clarke regularity of the resulting nonconvex recourse function, classical decomposition approaches such as Benders decomposition and (augmented) Lagrangian-based algorithms cannot be directly generalized to solve such models. By exploring an implicitly convex-concave structure of the recourse function, we introduce a novel dec…
We develop a decomposition algorithm for distributionally-robust two-stage stochastic mixed-integer convex cone programs, and its important special case of distributionally-robust two-stage stochastic mixed-integer second order cone programs. This generalizes the algorithm proposed by Sen and Sherali~[Mathematical Programming 106(2): 203-223, 2006]. We show that the proposed algorithm is finitely convergent if the second-stage problems are solved to optimality at incumbent first stage solutions, and solution to an optimization problem to identify worst-case probability distribution is availabl…
In many applications of optimal control, the stage cost is not fixed, but rather a design choice with considerable impact on the control performance. In infinite horizon optimal control, the choice of stage cost is often restricted by the requirement of uniform cost controllability, which is nontrivial to satisfy. Here we revisit a previously proposed constructive technique for stage cost design. We generalize its setting, weaken the required assumptions and add additional flexibility. Furthermore, we show that the required assumptions essentially cannot be weakened anymore. By providing impro…
In this paper, we present a sequential sampling-based algorithm for the two-stage distributionally robust linear programming (2-DRLP) models. The 2-DRLP models are defined over a general class of ambiguity sets with discrete or continuous probability distributions. The algorithm is a distributionally robust version of the well-known stochastic decomposition algorithm of Higle and Sen (Math. of OR 16(3), 650-669, 1991) for a two-stage stochastic linear program. We refer to the algorithm as the distributionally robust stochastic decomposition (DRSD) method. The key features of the algorithm incl…
With the integration of large-scale renewable energy sources to power systems, many optimization methods have been applied to solve the stochastic/uncertain transmission-constrained unit commitment (TCUC) problem. Among all methods, two-stage and multi-stage robust optimization-based methods are the most widely adopted ones. In the two-stage methods, nonanticipativity of economic dispatch (ED) decisions are not considered. While in multi-stage methods, explicit decision rules (for example, affine decision rules) are usually adopted to guarantee nonanticipativity of ED decisions. With explicit …
In this paper, we study unit commitment (UC) problems considering the uncertainty of load and wind power generation. UC problem is formulated as a chance-constrained two-stage stochastic programming problem where the chance constraint is used to restrict the probability of load imbalance. In addition to the conventional mixed integer linear programming formulation using Big-M, we present the bilinear mixed integer formulation of chance constraint, and then derive its linear counterpart using McCormick linearization method. Then, we develop a bilinear variant of Benders decomposition method, wh…
Image segmentation is an important median level vision topic. Accurate and efficient multiphase segmentation for images with intensity inhomogeneity is still a great challenge. We present a new two-stage multiphase segmentation method trying to tackle this, where the key is to compute an inhomogeneity-free approximate image. For this, we propose to use a new non-Lipschitz variational decomposition model in the first stage. The minimization problem is solved by an iterative support shrinking algorithm, with a global convergence guarantee and a lower bound theory of the image gradient of the ite…
In this paper, we propose an efficient numerical method to solve high-dimensional nonlinear filtering (NLF) problems. Specifically, we use the tensor train decomposition method to solve the forward Kolmogorov equation (FKE) arising from the NLF problem. Our method consists of offline and online stages. In the offline stage, we use the finite difference method to discretize the partial differential operators involved in the FKE and extract low-dimensional structures in the solution space using the tensor train decomposition method. In addition, we approximate the evolution of the FKE operator u…
We combine stochastic control methods, white noise analysis and Hida-Malliavin calculus applied to the Donsker delta functional to obtain new representations of semimartingale decompositions under enlargement of filtrations. The results are illustrated by explicit examples.
A connected Lie group G is generated by its two 1-parametric subgroups exp(tX), exp(tY) if and only if the Lie algebra of G is generated by {X, Y}. We consider decompositions of elements of G into a product of such exponentials with times t > 0 and study the problem of minimizing the total time of the decompositions for a fixed element of G. We solve this problem for the group SU(2) and describe the structure of the time-optimal decompositions.
We apply logic-based Benders decomposition (LBBD) to two-stage stochastic planning and scheduling problems in which the second-stage is a scheduling task. We solve the master problem with mixed integer/linear programming and the subproblem with constraint programming. As Benders cuts, we use simple nogood cuts as well as analytical logic-based cuts we develop for this application. We find that LBBD is computationally superior to the integer L-shaped method, with a branch-and-check variant of LBBD faster by several orders of magnitude, allowing significantly larger instances to be solved. This …
Optimal Control for Steady Circulation of a Diffusion Process via Spectral Decomposition of Fokker-Planck Equation
Institute of Science Tokyo（东京科学大学）；Department of Systems and Control Engineering, Institute of Science Tokyo（东京科学大学系统与控制工程系）；Research Center for Autonomous Systems Materialogy, Institute of Science Tokyo（东京科学大学自主系统材料学研究中心）
Zhejiang University（浙江大学）；Singapore University of Technology and Design（新加坡科技设计大学）
We consider a two-stage stochastic optimization problem, in which a long-term optimization variable is coupled with a set of short-term optimization variables in both objective and constraint functions. Despite that two-stage stochastic optimization plays a critical role in various engineering and scientific applications, there still lack efficient algorithms, especially when the long-term and short-term variables are coupled in the constraints. To overcome the challenge caused by tightly coupled stochastic constraints, we first establish a two-stage primal-dual decomposition (PDD) method to d…
We propose a novel approach to solve K-adaptability problems with convex objective and constraints and integer first-stage decisions. A logic-based Benders decomposition is applied to handle the first-stage decisions in a master problem, thus the sub-problem becomes a min-max-min robust combinatorial optimization problem that is solved via a double-oracle algorithm that iteratively generates adverse scenarios and recourse decisions and assigns scenarios to K subsets of the decisions by solving p-center problems. Extensions of the proposed approach to handle parameter uncertainty in both the fi…
A Policy Decomposition Framework for Dynamic Order Fulfillment Operations
Massachusetts Institute of Technology（麻省理工学院）；School of Industrial and Intelligent Systems Engineering, Tel Aviv University（特拉维夫大学工业与智能系统工程学院）；Otto-von-Guericke Universitat Magdeburg（马格德堡奥托·冯·格里克大学）
RTE（法国输电系统运营商RTE）；Université Paris 13（巴黎第十三大学）；Polytechnique Montréal（蒙特利尔高等综合理工学院）；University of Edinburgh（爱丁堡大学）
Semidefinite Programming (SDP) provides tight lower bounds for Optimal Power Flow problems. However, solving large-scale SDP problems requires exploiting sparsity. In this paper, we experiment several clique decomposition algorithms that lead to different reformulations and we show that the resolution is highly sensitive to the clique decomposition procedure. Our main contribution is to demonstrate that minimizing the number of additional edges in the chordal extension is not always appropriate to get a good clique decomposition.
We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the L-shaped method and a trust-region method. The parallel platform of choice is the dynamic, heterogeneous, opportunistic platform provided by the Condor system. The algorithms are of master-worker type (with the workers being used to solve second-stage problems, and the MW runtime support library (which supports master-worker computations) is key to the implementation. Computational results are p…
A decomposition algorithm for solving large-scale security-constrained AC optimal power flow problems is presented. The formulation considered is the one used in the ARPA-E Grid Optimization (GO) Competition, Challenge 1, held from November 2018 through October 2019. The techniques found to be most effective in terms of performance in the challenge are presented, including strategies for contingency selection, fast contingency evaluation, handling complementarity constraints, avoiding issues related to degeneracy, and exploiting parallelism. The results of numerical experiments are provided to…
One of the challenges of cloud computing is to optimally and efficiently assign virtual ma- chines to physical machines. The aim of telecommunication operators is to minimize the map- ping cost while respecting constraints regarding location, assignment and capacity. In this paper we first propose an exact formulation leading to a 0-1 bilinear constrained problem. Then we introduce a variety of linear cuts by exploiting the problem structure and present a Lagrange decomposition based B&B algorithm to obtain optimal solutions efficiently. Numerically, we show that our valid inequalities close o…
Mean-reverting portfolios with few assets, but high variance, are of great interest for investors in financial markets. Such portfolios are straightforwardly profitable because they include a small number of assets whose prices not only oscillate predictably around a long-term mean but also possess enough volatility. Roughly speaking, sparsity minimizes trading costs, volatility provides arbitrage opportunities, and mean-reversion property equips investors with ideal investment strategies. Finding such favorable portfolios can be formulated as a nonconvex quadratic optimization problem with an…
In this paper we consider the problem of coordinating autonomous vehicles approaching an intersection. We cast the problem in the distributed optimisation framework and propose an algorithm to solve it in real time. We extend previous work on the topic by testing two alternative algorithmic solutions in simulations. Moreover, we test our algorithm in experiments using real cars on a test track. The experimental results demonstrate the applicability and real-time feasibility of the algorithm.
In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale independent subsystems, though linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline the framework of our approach and present promising numerical results on a simplified power manage…
In this paper, we present decomposition techniques for solving large-scale instances of the security-constrained optimal power flow (SCOPF) problem with primary response. Specifically, under each contingency state, we require that the nodal demands are met and that the synchronized units generating below their limits follow a linear model for primary response. The resulting formulation is a mixed-integer linear program since the primary response model introduces disjunctions to the SCOPF problem. Unfortunately, exact methods relying on traditional Benders' decomposition do not scale well. As a…
In this paper, we consider the day-ahead operational planning problem of a radial distribution network hosting Distributed Energy Resources (DERs) including rooftop solar and storage-like loads, such as electric vehicles. We present a novel decomposition method that is based on a centralized AC Optimal Power Flow (AC OPF) problem interacting iteratively with self-dispatching DER problems adapting to real and reactive power Distribution Locational Marginal Costs. We illustrate the applicability and tractability of the proposed method on an actual distribution feeder, while modeling the full com…
We study Benamou's domain decomposition algorithm for optimal transport in the entropy regularized setting. The key observation is that the regularized variant converges to the globally optimal solution under very mild assumptions. We prove linear convergence of the algorithm with respect to the Kullback--Leibler divergence and illustrate the (potentially very slow) rates with numerical examples. On problems with sufficient geometric structure (such as Wasserstein distances between images) we expect much faster convergence. We then discuss important aspects of a computationally efficient imple…
This work recasts time-dependent optimal control problems governed by partial differential equations in a Dynamic Mode Decomposition with control framework. Indeed, since the numerical solution of such problems requires a lot of computational effort, we rely on this specific data-driven technique, using both solution and desired state measurements to extract the underlying system dynamics. Thus, after the Dynamic Mode Decomposition operators construction, we reconstruct and perform future predictions for all the variables of interest at a lower computational cost with respect to the standard s…
Large optimal transport problems can be approached via domain decomposition, i.e. by iteratively solving small partial problems independently and in parallel. Convergence to the global minimizers under suitable assumptions has been shown in the unregularized and entropy regularized setting and its computational efficiency has been demonstrated experimentally. An accurate theoretical understanding of its convergence speed in geometric settings is still lacking. In this article we work towards such an understanding by deriving, via $Γ$-convergence, an asymptotic description of the algorithm in t…
This work proposes a method for solving linear stochastic optimal control (SOC) problems using sum of squares and semidefinite programming. Previous work had used polynomial optimization to approximate the value function, requiring a high polynomial degree to capture local phenomena. To improve the scalability of the method to problems of interest, a domain decomposition scheme is presented. By using local approximations, lower degree polynomials become sufficient, and both local and global properties of the value function are captured. The domain of the problem is split into a non-overlapping…
In the setting of optimal transport with $N\ge 2$ marginals, a necessary condition for transport plans to be optimal is that they are $c$-cyclically monotone. For $N=2$ there exist several proofs that in very general settings $c$-cyclical monotoncity is also sufficient for optimality, while for $N\ge 3$ this is only known under strong conditions on $c$. Here we give a counterexample which shows that $c$-cylclical monotonicity is in general not sufficient for optimality if $N\ge 3$. Comparison with the $N=2$ case shows how the main proof strategies valid for the case $N=2$ might fail for $N\ge …
The papers describes an easy approach, based on a classical construction by Dacorogna and Moser, to prove that optimal vector fields in some minimal flow problem linked to optimal transport models (congested traffic, branched transport, Beckmann's problem...) are induced by a probability measure on the space of paths. This gives a new, easier, proof of a classical result by Smirnov, and allows handling optimal flows without taking care of the presence of cycles.
