Miguel F. Anjos

Tight Mixed Integer Linear Programming Formulations for the Unit Commitment Problem

This paper examines the polytope of feasible power generation schedules in the unit commitment (UC) problem. We provide computational results comparing formulations for the UC problem commonly found in the literature. We introduce a new class of inequalities, giving a tighter description of feasible operating schedules for generators. Computational results show that these inequalities can significantly reduce overall solution times.

A System Architecture for Autonomous Demand Side Load Management in Smart Buildings

This paper presents a system architecture for load management in smart buildings which enables autonomous demand side load management in the smart grid. Being of a layered structure composed of three main modules for admission control, load balancing, and demand response management, this architecture can encapsulate the system functionality, assure the interoperability between various components, allow the integration of different energy sources, and ease maintenance and upgrading. Hence it is capable of handling autonomous energy consumption management for systems with heterogeneous dynamics in multiple time-scales and allows seamless integration of diverse techniques for online operation control, optimal scheduling, and dynamic pricing. The design of a home energy manager based on this architecture is illustrated and the simulation results with Matlab/Simulink confirm the viability and efficiency of the proposed framework.

A semidefinite optimization approach for the single-row layout problem with unequal dimensions

The facility layout problem is concerned with the arrangement of a given number of rectangular facilities so as to minimize the total cost associated with the (known or projected) interactions between them. We consider the one-dimensional space-allocation problem (ODSAP), also known as the single-row facility layout problem, which consists in finding an optimal linear placement of facilities with varying dimensions on a straight line. We construct a semidefinite programming (SDP) relaxation providing a lower bound on the optimal value of the ODSAP. To the best of our knowledge, this is the first non-trivial global lower bound for the ODSAP in the published literature. This SDP approach implicitly takes into account the natural symmetry of the problem and, unlike other algorithms in the literature, does not require the use of any explicit symmetry-breaking constraints. Furthermore, the structure of the SDP relaxation suggests a simple heuristic procedure which extracts a feasible solution to the ODSAP from the optimal matrix solution to the SDP relaxation. Computational results show that this heuristic yields a solution which is consistently within a few percentage points of the global optimal solution.

Computing Globally Optimal Solutions for Single-Row Layout Problems Using Semidefinite Programming and Cutting Planes

This paper is concerned with the single-row facility layout problem (SRFLP). A globally optimal solution to the SRFLP is a linear placement of rectangular facilities with varying lengths that achieves the minimum total cost associated with the (known or projected) interactions between them. We demonstrate that the combination of a semidefinite programming relaxation with cutting planes is able to compute globally optimal layouts for large SRFLPs with up to 30 facilities. In particular, we report the globally optimal solutions for two sets of SRFLPs previously studied in the literature, some of which have remained unsolved since 1988.

Provably near-optimal solutions for very large single-row facility layout problems

The facility layout problem is a global optimization problem that seeks to arrange a given number of rectangular facilities so as to minimize the total cost associated with the (known or projected) interactions between them. This paper is concerned with the single-row facility layout problem (SRFLP), the one-dimensional version of facility layout that is also known as the one-dimensional space allocation problem. It was recently shown that the combination of a semidefinite programming (SDP) relaxation with cutting planes is able to compute globally optimal layouts for SRFLPs with up to 30 facilities. This paper further explores the application of SDP to this problem. First, we revisit the recently proposed quadratic formulation of this problem that underlies the SDP relaxation and provide an independent proof that the feasible set of the formulation is a precise representation of the set of all permutations on n objects. This fact follows from earlier work of Murata et al., but a proof in terms of the variables and structure of the SDP construction provides interesting insights into our approach. Second, we propose a new matrix-based formulation that yields a new SDP relaxation with fewer linear constraints but still yielding high-quality global lower bounds. Using this new relaxation, we are able to compute nearly optimal solutions for instances with up to 100 facilities.

A New Mathematical-Programming Framework for Facility-Layout Design

We present a new framework for efficiently finding competitive solutions for the facility-layout problem. This framework is based on the combination of two new mathematical-programming models. The first model is a relaxation of the layout problem and is intended to find good starting points for the iterative algorithm used to solve the second model. The second model is an exact formulation of the facility-layout problem as a nonconvex mathematical program with equilibrium constraints (MPEC). Aspect ratio constraints, which are frequently used in facility-layout methods to restrict the occurrence of overly long and narrow departments in the computed layouts, are easily incorporated into this new framework. Finally, we present computational results showing that the complete framework can be solved efficiently using widely available optimization software, and the resulting layouts improve on those obtained using previous approaches in the literature. Moreover, the framework can be used to find different competitive layouts with relatively little computational effort, which is advantageous for a user who wishes to consider several competitive layouts rather than simply using a mathematically optimal layout.

Optimal pricing policies for perishable products

In many industrial settings, managers face the problem of establishing a pricing policy that maximises the revenue from selling a given inventory of items by a fixed deadline, with the full inventory of items being available for sale from the beginning of the selling period. This problem arises in a variety of industries, including the sale of fashion garments, flight seats, and hotel rooms. We present a family of continuous pricing functions for which the optimal pricing strategy can be explicitly characterised and easily implemented. These pricing functions are the basis for a general pricing methodology which is particularly well suited for application in the context of an increasing role for the Internet as a means to market goods and services.

Strengthened semidefinite relaxations via a second lifting for the Max-Cut problem

Abstract In this paper we study two strengthened semidefinite programming relaxations for the Max-Cut problem. Our results hold for every instance of Max-Cut; in particular, we make no assumptions about the edge weights. We prove that the first relaxation provides a strengthening of the Goemans–Williamson relaxation. The second relaxation is a further tightening of the first one and we prove that its feasible set corresponds to a convex set that is larger than the cut polytope but nonetheless is strictly contained in the intersection of the elliptope and the metric polytope. Both relaxations are obtained using Lagrangian relaxation. Hence, our results also exemplify the strength and flexibility of Lagrangian relaxation for obtaining a variety of SDP relaxations with different properties. We also address some practical issues in the solution of these SDP relaxations. Because Slaters constraint qualification fails for both of them, we project their feasible sets onto a lower dimensional space in a way that does not affect the sparsity of these relaxations but guarantees Slaters condition. Some preliminary numerical results are included.

Formulation of Oligopolistic Competition in AC Power Networks: An NLP Approach

Summary form only given: In this paper, oligopolistic competition in a centralized power market is characterized by a multi-leader single-follower game, and formulated as a nonlinear programming (NLP) problem. An ac network is used to represent the transmission system and is modeled using rectangular coordinates. The follower is composed of a set of competitive suppliers, demands, and the system operator, while the leaders are the dominant suppliers. The ac approach allows one to capture the strategic behavior of suppliers regarding not only active but also reactive power. In addition, the impact of voltage and apparent power flow constraints can be analyzed. Different case studies are presented using a three-node system to highlight the features of the formulation. Results on a 14-node system are also presented.

A branch-and-cut algorithm based on semidefinite programming for the minimum k-partition problem

The minimum k-partition (MkP) problem is the problem of partitioning the set of vertices of a graph into k disjoint subsets so as to minimize the total weight of the edges joining vertices in the same partition. The main contribution of this paper is the design and implementation of a branch-and-cut algorithm based on semidefinite programming (SBC) for the MkP problem. The two key ingredients for this algorithm are: the combination of semidefinite programming with polyhedral results; and a novel iterative clustering heuristic (ICH) that finds feasible solutions for the MkP problem. We compare ICH to the hyperplane rounding techniques of Goemans and Williamson and of Frieze and Jerrum, and the computational results support the conclusion that ICH consistently provides better feasible solutions for the MkP problem. ICH is used in our SBC algorithm to provide feasible solutions at each node of the branch-and-bound tree. The SBC algorithm computes globally optimal solutions for dense graphs with up to 60 vertices, for grid graphs with up to 100 vertices, and for different values of k, providing a fast exact approach for k≥3.