Leo Liberti

Branching and bounds tighteningtechniques for non-convex MINLP

Many industrial problems can be naturally formulated using mixed integer non-linear programming (MINLP) models and can be solved by spatial Branch&Bound (sBB) techniques. We study the impact of two important parts of sBB methods: bounds tightening (BT) and branching strategies. We extend a branching technique originally developed for MILP, reliability branching, to the MINLP case. Motivated by the demand for open-source solvers for real-world MINLP problems, we have developed an sBB software package named couenne (Convex Over- and Under-ENvelopes for Non-linear Estimation) and used it for extensive tests on several combinations of BT and branching techniques on a set of publicly available and real-world MINLP instances. We also compare the performance of couenne with a state-of-the-art MINLP solver.

Euclidean Distance Geometry and Applications

Euclidean distance geometry is the study of Euclidean geometry based on the concept of distance. This is useful in several applications where the input data consist of an incomplete set of distances and the output is a set of points in Euclidean space realizing those given distances. We survey the theory of Euclidean distance geometry and its most important applications, with special emphasis on molecular conformation problems.

An Exact Reformulation Algorithm for Large Nonconvex NLPs Involving Bilinear Terms

Many nonconvex nonlinear programming (NLP) problems of practical interest involve bilinear terms and linear constraints, as well as, potentially, other convex and nonconvex terms and constraints. In such cases, it may be possible to augment the formulation with additional linear constraints (a subset of Reformulation-Linearization Technique constraints) which do not affect the feasible region of the original NLP but tighten that of its convex relaxation to the extent that some bilinear terms may be dropped from the problem formulation. We present an efficient graph-theoretical algorithm for effecting such exact reformulations of large, sparse NLPs. The global solution of the reformulated problem using spatial Branch-and Bound algorithms is usually significantly faster than that of the original NLP. We illustrate this point by applying our algorithm to a set of pooling and blending global optimization problems.

Bidirectional A* search for time-dependent fast paths

The computation of point-to-point shortest paths on time-dependent road networks has many practical applications, but there have been very few works that propose efficient algorithms for large graphs. One of the difficulties of route planning on time-dependent graphs is that we do not know the exact arrival time at the destination, hence applying bidirectional search is not straightforward; we propose a novel approach based on A with landmarks (ALT) that starts a search from both the source and the destination node, where the backward search is used to bound the set of nodes that have to be explored by the forward search. Extensive computational results show that this approach is very effective in practice if we are willing to accept a small approximation factor, resulting in a speed-up of several times with respect to Dijkstras algorithm while finding only slightly suboptimal solutions.

Writing Global Optimization Software

Global Optimization software packages for solving Mixed-Integer Non-linear Optimization Problems are usually complex pieces of codes. Some of the difficulties involved in coding a good GO software are: embedding third-party local optimization codes within the main global optimization algorithm; providing efficient memory representations of the optimization problem; making sure that every part of the code is fully reentrant. Finding good software engineering solutions for these difficulties is not enough to make sure that the outcome will be a GO software that works well. However, starting from a sound software design makes it easy to concentrate on improving the efficiency of the global optimization algorithm implementation. In this paper we discuss the main issues that arise when writing a global optimization software package, namely software architecture and design, symbolic manipulation of mathematical expressions, choice of local solvers and implementation of global solvers.

Reformulations in Mathematical Programming: A Computational Approach

Mathematical programming is a language for describing optimization problems; it is based on parameters, decision variables, objective function(s) subject to various types of constraints. The present treatment is concerned with the case when objective(s) and constraints are algebraic mathematical expressions of the parameters and decision variables, and therefore excludes optimization of black-box functions. A reformulation of a mathematical program P is a mathematical program Q obtained from P via symbolic transformations applied to the sets of variables, objectives and constraints. We present a survey of existing reformulations interpreted along these lines, some example applications, and describe the implementation of a software framework for reformulation and optimization.

Convex Envelopes of Monomials of Odd Degree

Convex envelopes of nonconvex functions are widely used to calculate lower bounds to solutions of nonlinear programming problems (NLP), particularly within the context of spatial Branch-and-Bound methods for global optimization. This paper proposes a nonlinear continuous and differentiable convex envelope for monomial terms of odd degree, x2k+1, where k ∈ N and the range of x includes zero. We prove that this envelope is the tightest possible. We also derive a linear relaxation from the proposed envelope, and compare both the nonlinear and linear formulations with relaxations obtained using other approaches.

REFORMULATIONS IN MATHEMATICAL PROGRAMMING: DEFINITIONS AND SYSTEMATICS

A reformulation of a mathematical program is a formu- lation which shares some properties with, but is in some sense better than, the original program. Reformulations are important with respect to the choice and efficiency of the solution algorithms; furthermore, itis desirable that reformulations can be carried out automatically. Refor- mulation techniques are very common in mathematical programming but interestingly they have never been studied under a common frame- work. This paper attempts to move some steps in this direction. We define a framework for storing and manipulating mathematical pro- gramming formulations, give several fundamental definitions categoriz- ing reformulations in essentially four types (opt-reformulations, narrow- ings, relaxations and approximations). We establish some theoretical results and give reformulation examples for each type.

Recent advances on the Discretizable Molecular Distance Geometry Problem

The Molecular Distance Geometry Problem (MDGP) consists in finding an embedding in R3 of a nonnegatively weighted simple undirected graph with the property that the Euclidean distances between embedded adjacent vertices must be the same as the corresponding edge weights. The Discretizable Molecular Distance Geometry Problem (DMDGP) is a particular subset of the MDGP which can be solved using a discrete search occurring in continuous space; its main application is to find three-dimensional arrangements of proteins using Nuclear Magnetic Resonance (NMR) data. The model provided by the DMDGP, however, is too abstract to be directly applicable in proteomics. In the last five years our efforts have been directed towards adapting the DMDGP to be an ever closer model of the actual difficulties posed by the problem of determining protein structures from NMR data. This survey lists recent developments on DMDGP related research.

A Storm of Feasibility Pumps for Nonconvex MINLP

One of the foremost difficulties in solving Mixed-Integer Nonlinear Programs, either with exact or heuristic methods, is to find a feasible point. We address this issue with a new feasibility pump algorithm tailored for nonconvex Mixed-Integer Nonlinear Programs. Feasibility pumps are algorithms that iterate between solving a continuous relaxation and a mixed-integer relaxation of the original problems. Such approaches currently exist in the literature for Mixed-Integer Linear Programs and convex Mixed-Integer Nonlinear Programs: both cases exhibit the distinctive property that the continuous relaxation can be solved in polynomial time. In nonconvex Mixed-Integer Nonlinear Programming such a property does not hold, and therefore special care has to be exercised in order to allow feasibility pump algorithms to rely only on local optima of the continuous relaxation. Based on a new, high level view of feasibility pump algorithms as a special case of the well-known successive projection method, we show that many possible different variants of the approach can be developed, depending on how several different (orthogonal) implementation choices are taken. A remarkable twist of feasibility pump algorithms is that, unlike most previous successive projection methods from the literature, projection is “naturally” taken in two different norms in the two different subproblems. To cope with this issue while retaining the local convergence properties of standard successive projection methods we propose the introduction of appropriate norm constraints in the subproblems; these actually seem to significantly improve the practical performance of the approach. We present extensive computational results on the MINLPLib, showing the effectiveness and efficiency of our algorithm.