Alexander Mitsos

Global solution of bilevel programs with a nonconvex inner program

A bounding algorithm for the global solution of nonlinear bilevel programs involving nonconvex functions in both the inner and outer programs is presented. The algorithm is rigorous and terminates finitely to a point that satisfies ε-optimality in the inner and outer programs. For the lower bounding problem, a relaxed program, containing the constraints of the inner and outer programs augmented by a parametric upper bound to the parametric optimal solution function of the inner program, is solved to global optimality. The optional upper bounding problem is based on probing the solution obtained by the lower bounding procedure. For the case that the inner program satisfies a constraint qualification, an algorithmic heuristic for tighter lower bounds is presented based on the KKT necessary conditions of the inner program. The algorithm is extended to include branching, which is not required for convergence but has potential advantages. Two branching heuristics are described and analyzed. Convergence proofs are provided and numerical results for original test problems and for literature examples are presented.

A Review of Hybrid Solar–Fossil Fuel Power Generation Systems and Performance Metrics

A literature review of hybrid solar―fossil fuel power generation is given with an emphasis on system integration and evaluation. Hybrid systems are defined as those which use solar energy and fuel simultaneously, thus excluding the viable alternative of solar thermal plants which use fossil fuels as backup. The review is divided into three main sections: performance metrics, the different concentrated solar receiver technologies and their operating conditions, and the different hybridization schemes. In addition, a new linear combination metric for analysis of hybrid systems, which considers trade-off of different metrics at the fleet level, is presented. This metric is also compared to alternative metrics from multi-objective optimization. Some previous work only evaluates the hybrid cycle at a certain point in time, which can be misleading as this evaluation would not take into account certain aspects of hybrid cycle, such as fluctuating solar supply. Furthermore, almost all previous work designs the hybrid solar―fossil fuel systems for a certain point in time and then evaluates the performance of the system for an entire year. By not taking into account fluctuating solar supply and selling price of electricity in the design of the system, the best possible annual performance of the hybrid cycle may not be reached.

Convergence rate of McCormick relaxations

Theory for the convergence order of the convex relaxations by McCormick (Math Program 10(1):147–175, 1976) for factorable functions is developed. Convergence rules are established for the addition, multiplication and composition operations. The convergence order is considered both in terms of pointwise convergence and of convergence in the Hausdorff metric. The convergence order of the composite function depends on the convergence order of the relaxations of the factors. No improvement in the order of convergence compared to that of the underlying bound calculation, e.g., via interval extensions, can be guaranteed unless the relaxations of the factors have pointwise convergence of high order. The McCormick relaxations are compared with the αBB relaxations by Floudas and coworkers (J Chem Phys, 1992, J Glob Optim, 1995, 1996), which guarantee quadratic convergence. Illustrative and numerical examples are given.

Relaxation-Based Bounds for Semi-Infinite Programs

Finite formulations are presented for the calculation of lower and upper bounds on the optimal solution value of semi-infinite programs (SIPs) involving smooth, potentially nonconvex objective function and constraints. The lower bounding problem is obtained by a formulation that combines the first- and second-order KKT necessary conditions of the lower-level problem with a discretization of the parameter set. The resulting mathematical program with equilibrium constraints (MPEC) is a relaxation of the original SIP and furnishes valid lower bounds. If the parameter set is subdivided, the optimal solution value of the lower bounding problem converges to the optimal solution value of the SIP. The upper bounding problem is based on convex and linear relaxations of the lower-level problem resulting in a restriction of the SIP. If the parameter set is subdivided, the constructed relaxations converge to the original lower-level program. The existence of SIP Slater points ensures convergence of the upper bounding problems to the optimal solution value of the SIP. Several alternatives for the upper bounding problem are presented and discussed. Numerical results are presented for a number of test problems from the literature.

Global optimization of semi-infinite programs via restriction of the right-hand side

An algorithm is proposed for the global solution of semi-infinite programs (SIPs) without convexity assumptions. It terminates finitely with a guaranteed feasible point, and a certificate of ϵ  f -optimality. The only assumptions are continuity of the functions and existence of an ϵ  f -optimal SIP-Slater point. The lower and upper bounds are obtained by the solution of two nonconvex nonlinear programs (NLP) each, thus shifting the nonconvexity to the global NLP solver. The main contribution of this article is a new procedure for the generation of feasible points. These are obtained by a restriction of the constraints right-hand side by ϵ g  > 0 and a successively finer discretization of the parameter set. A suitable decreasing sequence of ϵ g  → 0 leads to convergence of the generated upper bound. The converging lower bound is obtained by successively tighter discretization, following the principle of Blankenship and Falk [Infinitely constrained optimization problems, J. Optim. Theory Appl. 19 (1976), pp. 261–281]. A proof of convergence is given along with a prototype implementation in general algebraic modelling system. The algorithm is extended to problems with multiple constraints as well as mixed-integer problems. Literature and new problems are solved numerically. The algorithm is extremely simple to implement, but nevertheless very efficient compared to existing methods for nonconvex lower level programs.

Towards global bilevel dynamic optimization

The global solution of bilevel dynamic optimization problems is discussed. An overview of a deterministic algorithm for bilevel programs with nonconvex functions participating is given, followed by a summary of deterministic algorithms for the global solution of optimization problems with nonlinear ordinary differential equations embedded. Improved formulations for scenario-integrated optimization are proposed as bilevel dynamic optimization problems. Solution procedures for some of the problems are given, while for others open challenges are discussed. Illustrative examples are given.

Parametric mixed-integer 0-1 linear programming : The general case for a single parameter

Two algorithms for the general case of parametric mixed-integer linear programs (MILPs) are proposed. Parametric MILPs are considered in which a single parameter can simultaneously influence the objective function, the right-hand side and the matrix. The first algorithm is based on branch-and-bound on the integer variables, solving a parametric linear program (LP) at each node. The second algorithm is based on the optimality range of a qualitatively invariant solution, decomposing the parametric optimization problem into a series of regular MILPs, parametric LPs and regular mixed-integer nonlinear programs (MINLPs). The number of subproblems required for a particular instance is equal to the number of critical regions. For the parametric LPs an improvement of the well-known rational simplex algorithm is presented, that requires less consecutive operations on rational functions. Also, an alternative based on predictor-corrector continuation is proposed. Numerical results for a test set are discussed.

Local optimization of dynamic programs with guaranteed satisfaction of path constraints

An algorithm is proposed for locating a feasible point satisfying the KKT conditions to a specified tolerance of feasible inequality-path-constrained dynamic programs (PCDP) within a finite number of iterations. The algorithm is based on iteratively approximating the PCDP by restricting the right-hand side of the path constraints and enforcing the path constraints at finitely many time points. The main contribution of this article is an adaptation of the semi-infinite program (SIP) algorithm proposed in Mitsos (2011) to PCDP. It is proved that the algorithm terminates finitely with a guaranteed feasible point which satisfies the first-order KKT conditions of the PCDP to a specified tolerance. The main assumptions are: (i) availability of a nonlinear program (NLP) local solver that generates a KKT point of the constructed approximation to PCDP at each iteration if this problem is indeed feasible; (ii) existence of a Slater point of the PCDP that also satisfies the first-order KKT conditions of the PCDP to a specified tolerance; (iii) all KKT multipliers are nonnegative and uniformly bounded with respect to all iterations. The performance of the algorithm is analyzed through two numerical case studies.

Global optimization of generalized semi-infinite programs via restriction of the right hand side

The algorithm proposed in Mitsos (Optimization 60(10–11):1291–1308, 2011) for the global optimization of semi-infinite programs is extended to the global optimization of generalized semi-infinite programs. No convexity or concavity assumptions are made. The algorithm employs convergent lower and upper bounds which are based on regular (in general nonconvex) nonlinear programs (NLP) solved by a (black-box) deterministic global NLP solver. The lower bounding procedure is based on a discretization of the lower-level host set; the set is populated with Slater points of the lower-level program that result in constraint violations of prior upper-level points visited by the lower bounding procedure. The purpose of the lower bounding procedure is only to generate a certificate of optimality; in trivial cases it can also generate a global solution point. The upper bounding procedure generates candidate optimal points; it is based on an approximation of the feasible set using a discrete restriction of the lower-level feasible set and a restriction of the right-hand side constraints (both lower and upper level). Under relatively mild assumptions, the algorithm is shown to converge finitely to a truly feasible point which is approximately optimal as established from the lower bound. Test cases from the literature are solved and the algorithm is shown to be computationally efficient.

Construction of large signaling pathways using an adaptive perturbation approach with phosphoproteomic data.

Construction of large and cell-specific signaling pathways is essential to understand information processing under normal and pathological conditions. On this front, gene-based approaches offer the advantage of large pathway exploration whereas phosphoproteomic approaches offer a more reliable view of pathway activities but are applicable to small pathway sizes. In this paper, we demonstrate an experimentally adaptive approach to construct large signaling pathways from phosphoproteomic data within a 3-day time frame. Our approach--taking advantage of the fast turnaround time of the xMAP technology--is carried out in four steps: (i) screen optimal pathway inducers, (ii) select the responsive ones, (iii) combine them in a combinatorial fashion to construct a phosphoproteomic dataset, and (iv) optimize a reduced generic pathway via an Integer Linear Programming formulation. As a case study, we uncover novel players and their corresponding pathways in primary human hepatocytes by interrogating the signal transduction downstream of 81 receptors of interest and constructing a detailed model for the responsive part of the network comprising 177 species (of which 14 are measured) and 365 interactions.