Advanced Acceleration Techniques for Nested Benders Decomposition in Stochastic Programming
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A Review on the Performance of Linear and Mixed Integer Two-Stage Stochastic Programming Algorithms and Software
Noname manuscript No. (will be inserted by the editor) A Review on the Performance of Linear and Mixed Integer Two-Stage Stochastic Programming Algorithms and Software Juan J. Torres · Can Li · Robert M. Apap · Ignacio E. Grossmann Received: date / Accepted: date Abstract This paper presents a tutorial on the state-of-the-art methodologies for the solution of two-stage (mixed-integer) linear stochastic programs and provides a list of software designed for this purpose. The methodologies are classified according to the decomposition alternatives and the types of the vari- ables in the problem. We review the fundamentals of Benders Decomposition, Dual Decomposition and Progressive Hedging, as well as possible improve- ments and variants. We also present extensive numerical results to underline the properties and performance of each algorithm using software implemen- tations including DECIS, FORTSP, PySP, and DSP. Finally, we discuss the strengths and weaknesses of each methodology and propose future research directions. Keywords Stochastic programming · L-shaped method · Scenario Decom- position · Software benchmark Juan J. Torres Universit´eParis 13, Sorbonne Paris Cit´e,LIPN, CNRS, (UMR 7030), France E-mail: torresfi[email protected] Can Li Department of Chemical Engineering, Carnegie Mellon University, 5000 Forbes Ave, Pitts- burgh, PA 15213, USA E-mail: [email protected] Robert M. Apap Department of Chemical Engineering, Carnegie Mellon University, 5000 Forbes Ave, Pitts- burgh, PA 15213, USA Ignacio E. Grossmann Department of Chemical Engineering, Carnegie Mellon University, 5000 Forbes Ave, Pitts- burgh, PA 15213, USA E-mail: [email protected] 2 Juan J. Torres et al. 1 Introduction In the modeling and optimization of real-world problems, there is usually a level of uncertainty associated with the input parameters and their future outcomes. -
New Variants of Variable Neighbourhood Search for 0-1 Mixed Integer Programming and Clustering
New Variants of Variable Neighbourhood Search for 0-1 Mixed Integer Programming and Clustering A thesis submitted for the degree of Doctor of Philosophy Jasmina Lazi´c School of Information Systems, Computing and Mathematics Brunel University c August 3, 2010 Contents Contents i List of Figures vi List of Tables viii List of Abbreviations ix Acknowledgements xi Related Publications xiii Abstract 1 1 Introduction 3 1.1 CombinatorialOptimisation . ........ 3 1.2 The0-1 MixedInteger ProgrammingProblem . ......... 11 1.3 Clustering...................................... ... 17 1.4 ThesisOverview .................................. ... 18 2 Local Search Methodologies in Discrete Optimisation 21 2.1 BasicLocalSearch ................................ .... 21 2.2 A Brief Overview of Local Search Based Metaheuristics . ............. 24 2.2.1 SimulatedAnnealing. ... 24 2.2.2 TabuSearch ................................... 26 2.2.3 Greedy Randomised Adaptive Search . ..... 28 2.2.4 GuidedLocalSearch............................. .. 29 2.2.5 IteratedLocalSearch . ... 31 2.3 VariableNeighbourhoodSearch . ........ 33 2.3.1 BasicSchemes .................................. 33 2.3.2 AdvancedSchemes ............................... 40 2.3.3 Variable Neighbourhood Formulation Space Search . ........... 40 2.3.4 Primal-dualVNS................................ 41 2.3.5 Dynamic Selection of Parameters and/or NeighbourhoodStructures . 42 2.3.6 VeryLarge-scaleVNS .. .. .. .. .. .. .. .. .. .. .. .. .. 43 i ii Contents 2.3.7 ParallelVNS .................................. -
Computational Optimization and Applications
Computational Optimization and Applications A Review on the Performance of Linear and Mixed Integer Two-Stage Stochastic Programming Algorithms and Software --Manuscript Draft-- Manuscript Number: Full Title: A Review on the Performance of Linear and Mixed Integer Two-Stage Stochastic Programming Algorithms and Software Article Type: Manuscript Keywords: Stochastic programming; L-shaped method; Scenario Decomposition; Software benchmark Corresponding Author: I. Grossmann Carnegie-Mellon University Pittsburgh,, PA UNITED STATES Corresponding Author Secondary Information: Corresponding Author's Institution: Carnegie-Mellon University Corresponding Author's Secondary Institution: First Author: Juan J Torres First Author Secondary Information: Order of Authors: Juan J Torres Can Li Robert M Apap I. Grossmann Order of Authors Secondary Information: Funding Information: Powered by Editorial Manager® and ProduXion Manager® from Aries Systems Corporation Manuscript Click here to access/download;Manuscript;TwoStage.pdf Click here to view linked References Noname manuscript No. (will be inserted by the editor) 1 2 3 4 5 A Review on the Performance of Linear and 6 Mixed Integer Two-Stage Stochastic Programming 7 Algorithms and Software 8 9 10 Juan J. Torres · Can Li · Robert M. 11 Apap · Ignacio E. Grossmann 12 13 14 15 16 Received: date / Accepted: date 17 18 19 Abstract This paper presents a tutorial on the state-of-the-art methodologies 20 for the solution of two-stage (mixed-integer) linear stochastic programs and 21 provides a list of software designed for this purpose. The methodologies are 22 classified according to the decomposition alternatives and the types of the vari- 23 ables in the problem. We review the fundamentals of Benders Decomposition, 24 Dual Decomposition and Progressive Hedging, as well as possible improve- 25 26 ments and variants. -
Stochastic Optimization: Recent Enhancements in Algebraic Modeling Systems
Stochastic Optimization: Recent Enhancements in Algebraic Modeling Systems Lutz Westermann [email protected] GAMS Software GmbH http://www.gams.de 24th EUROPEAN CONFERENCE ON OPERATIONAL RESEARCH 1 Lisbon, Portugal, July 11-14, 2010 GAMS at a Glance General Algebraic Modeling System: Algebraic Modeling Language, Integrated Solver, Model Libraries, Connectivity- & Productivity Tools Design Principles: • Balanced mix of declarative and procedural elements • Open architecture and interfaces to other systems • Different layers with separation of: – model and data – model and solution methods – model and operating system – model and interface 2 An introducing Example • The Newsboy (Newsvendor) Problem: – A newsboy purchases newspapers for a price C – He is faced with uncertain demand D – He has to satisfy his customers demand or has to pay a penalty Q>C per newspaper • Decisions to make: – How much newspaper should he buy “here and now” (without knowing the outcome of the uncertain demand)? => First-stage decision – How much customers have to be dropped after the outcome becomes known? => Second-stage or recourse decision – Recourse decisions can be seen as • penalties for bad first-stage decisions • variables to keep the problem feasible 3 Some Stochastic Programming Classes Source: G. Mitra 4 Stochastic Programming Claims and ‘Facts' • Lots of application areas (Finance, Energy, Telecommunication) • Mature field (Dantzig ’55) • Variety of SP problem classes with specialized solution algorithms (e.g. Bender’s Decomposition) • Compared to deterministic mathematical programming (MP) small fraction • Only ~0.1% of NEOS submission to SP solvers • Few commercially supported solvers for SP • Various frustrations with industrial SP projects 5 Stochastic Programming Solvers • LP solver – Interior point methods seem to be better than simplex • Other ready to use solver (e.g. -
A Stochastic Programming Integrated Environment (Spine)
TR/10/01 August 2001 Software tools for Stochastic Programming: A Stochastic Programming Integrated Environment (SPInE). P Valente, G Mitra, C Poojari, T Kyriakis. Department of Mathematical Sciences Brunel University, Uxbridge, UB8 3PH 1 Software tools for Stochastic Programming: A Stochastic Programming Integrated Environment (SPInE) Patrick Valente, Gautam Mitra, Chandra A. Poojari, Triphonas Kyriakis Department of Mathematical Sciences, Brunel University, West London, UK. Abstract SP models combine the paradigm of dynamic linear programming with modelling of random parameters, providing optimal decisions which hedge against future uncertainties. Advances in hardware as well as software techniques and solution methods have made SP a viable optimisation tool. We identify a growing need for modelling systems which support the creation and investigation of SP problems. Our SPInE system integrates a number of components which include a flexible modelling tool (based on stochastic extensions of the algebraic modelling languages AMPL and MPL), stochastic solvers, as well as special purpose scenario generators and database tools. We introduce an asset/liability management model and illustrate how SPInE can be used to create and process this model as a multistage SP application. 2 1 Introduction and background ............................................................................ 4 2 Problem statement.............................................................................................. 8 2.1 Classes of Stochastic Programming -
A Structure-Conveying Modelling Language for Mathematical and Stochastic Programming
Math. Prog. Comp. (2009) 1:223–247 DOI 10.1007/s12532-009-0008-2 FULL LENGTH PAPER A structure-conveying modelling language for mathematical and stochastic programming Marco Colombo · Andreas Grothey · Jonathan Hogg · Kristian Woodsend · Jacek Gondzio Received: 24 March 2009 / Accepted: 20 October 2009 / Published online: 11 November 2009 © Springer and Mathematical Programming Society 2009 Abstract We present a structure-conveying algebraic modelling language for math- ematical programming. The proposed language extends AMPL with object-oriented features that allows the user to construct models from sub-models, and is implemented as a combination of pre- and post-processing phases for AMPL. Unlike traditional modelling languages, the new approach does not scramble the block structure of the problem, and thus it enables the passing of this structure on to the solver. Interior point solvers that exploit block linear algebra and decomposition-based solvers can there- fore directly take advantage of the problem’s structure. The language contains features to conveniently model stochastic programming problems, although it is designed with a much broader application spectrum. Mathematics Subject Classification (2000) 68N15 · 90C06 · 90C15 Supported by: “Conveying structure from modeling language to a solver”, Intel Corporation, Santa Clara, USA. M. Colombo was supported by EPSRC grant EP/E036910/1. M. Colombo (B) · A. Grothey · J. Hogg · K. Woodsend · J. Gondzio School of Mathematics and Maxwell Institute, University of Edinburgh, Edinburgh, Scotland e-mail: [email protected] A. Grothey e-mail: [email protected] J. Hogg e-mail: [email protected] K. Woodsend e-mail: [email protected] J. -
AMPL – Robert Fourer
AMPL New Features for Formulating Optimization Models Robert Fourer AMPL Optimization LLC, www.ampl.com Department of Industrial Engineering & Management Sciences, Northwestern University, Evanston, IL 60208-3119, USA Workshop on Optimization Services in Europe Gesellschaft für Operations Research e.V. Physikzentrum, Bad Honnef, Germany, 14-15 October 2004 Robert Fourer, GOR Workshop on Optimization Services in Europe, 14-15 October 2004 1 Development History Research projects since 1985 Bell Laboratories Computing Sciences Research Center, David Gay and Brian Kernighan NU IE & MS Department, National Science Foundation grants, Robert Fourer . all code after 1987 written by Gay Lucent Technologies divestiture 1996 Lucent retains Bell Laboratories Bell Laboratories retains AMPL Robert Fourer, GOR Workshop on Optimization Services in Europe, 14-15 October 2004 2 Commercialization History Sold by licensed vendors since 1992 CPLEX Optimization, subsequently ILOG/CPLEX 4-6 much smaller companies, including in Europe: ! MOSEK (Denmark) ! OptiRisk Systems (UK) AMPL Optimization LLC formed 2002 Lucent assigns vendor agreements, trademark, web domain Lucent retains ownership of AMPL and gets a small royalty . two years to negotiate! Robert Fourer, GOR Workshop on Optimization Services in Europe, 14-15 October 2004 3 Commercialization History (cont’d) Current members of LLC Fourer, professor at Northwestern Kernighan, professor at Princeton Gay, researcher at Sandia National Laboratory Current situation Sandia licenses the AMPL source code . another -
A Structure-Conveying Modelling Language for Mathematical and Stochastic Programming∗
A Structure-Conveying Modelling Language for Mathematical and Stochastic Programming∗ Marco Colombo† Andreas Grothey‡ Jonathan Hogg§ Kristian Woodsend¶ Jacek Gondziok School of Mathematics and Maxwell Institute University of Edinburgh Edinburgh, Scotland Technical Report ERGO 09-003 24 March 2009, revised 12 August 2009, 28 September 2009 Abstract We present a structure-conveying algebraic modelling language for mathematical pro- gramming. The proposed language extends AMPL with object-oriented features that allows the user to construct models from sub-models, and is implemented as a combination of pre- and post-processing phases for AMPL. Unlike traditional modelling languages, the new ap- proach does not scramble the block structure of the problem, and thus it enables the passing of this structure on to the solver. Interior point solvers that exploit block linear algebra and decomposition-based solvers can therefore directly take advantage of the problem’s structure. The language contains features to conveniently model stochastic programming problems, although it is designed with a much broader application spectrum. 1 Introduction Algebraic modelling languages (AMLs) are recognised as an important tool in the formulation of mathematical programming problems. They facilitate the construction of models through a language that resembles mathematical notation, and offer convenient features such as automatic differentiation and direct interfacing to solvers. Their use vastly reduces the need for tedious and error-prone coding work. Examples -
A Computational Study of a Solver System for Processing Two-Stage Stochastic Linear Programming Problems ∗
A computational study of a solver system for processing two-stage stochastic linear programming problems ¤ Victor Zverovich Csaba F¶abi¶an Francis Ellison Gautam Mitra July 2, 2009 1 Introduction and background Formulation of stochastic optimisation problems and computational algo- rithms for their solution continue to make steady progress as can be seen from an analysis of many developments in this ¯eld. The edited volume by Wallace and Ziemba (2005) outlines both the SP modelling systems and many applications in diverse domains. More recently, Fabozzi et al. (2007) has considered the application of SP models to challenging ¯nancial engineering problems. The tightly knit yet highly focused group of researchers COSP: Committee on Stochastic Pro- gramming, their triennial international SP conference, and their active web- site points to the progressive acceptance of SP as a valuable decision tool. At the same time many of the major software vendors, namely, XPRESS, AIMMS, MAXIMAL, and GAMS have started o®ering SP extensions to their optimisation suites. Our analysis of the modelling and algorithmic solver requirements re- veals that (a) modelling support (b) scenario generation and (c) solution methods are three important aspects of a working SP system. Our research is focussed on all three aspects and we refer the readers to Valente et al. (2009) for modelling and Mitra et al. (2007) and Di Domenica et al. (2009) for scenario generation. In this paper we are concerned entirely with com- putational solution methods. Given the tremendous advance in LP solver ¤CARISMA, Brunel University, Uxbridge, Middlesex, United Kingdom 1 algorithms there is certain amount of complacency that by constructing a "deterministic equivalent" problems it is possible to process most realistic instances of SP problems. -
ISMP BP Front
Conference Program 1 TABLE OF CONTENTS Welcome from the Chair . 2 Schedule of Daily Events & Sessions . 3 20TH INTERNATIONAL SYMPOSIUM ON Speaker Information . 5 MATHEMATICAL PROGRAMMING August 23-28, 2009 Social Events & Excursions . 6 Chicago, Illinois, USA Internet Access . 7 Opening Session & Prizes . 8 Area Map . 9 PROGRAM ORGANIZING COMMITTEE COMMITTEE Exhibitors . 10 Chair Mihai Anitescu John R. Birge Argonne National Lab Plenary & Semi-Plenary Sessions . 12 University of Chicago USA Track Schedule . 17 USA John R. Birge Karen Aardal University of Chicago Floor Plans & Maps . 22 Centrum Wiskunde & USA Informatica Michael Ferris Cluster Chairs . 24 The Netherlands University of Wisconsin- Michael Ferris Madison Technical Sessions University of Wisconsin- USA Monday . 25 Madison Jeff Linderoth USA University of Wisconsin- Tuesday . 49 Michael Goemans Madison Wednesday . 74 Massachusetts Institute of USA Thursday . 98 Technology Todd Munson USA Argonne National Lab Friday . 121 Michael Jünger USA Universität zu Köln Jorge Nocedal Session Chair Index . 137 Germany Northwestern University Masakazu Kojima USA Author Index . 139 Tok yo Institute of Technology Jong-Shi Pang Session Index . 147 Japan University of Illinois at Urbana- Rolf Möhring Champaign Advertisers Technische Universität Berlin USA World Scientific . .150 Germany Stephen J. Wright Andy Philpott University of Wisconsin- IOS Press . .151 University of Auckland Madison OptiRisk Systems . .152 New Zealand USA Claudia Sagastizábal Taylor & Francis . .153 CEPEL LINDO Systems . .154 Brazil Springer . .155 Stephen J. Wright University of Wisconsin- Mosek . .156 Madison USA Sponsors . Back Cover Yinyu Ye Stanford University USA 2 Welcome from the Chair On behalf of the Organizing Committee and The University of Chicago, I The University of Chicago welcome you to ISMP 2009, the 20th International Symposium on Booth School of Business Mathematical Programming. -
A Computational Study of a Solver System for Processing Two-Stage Stochastic Linear Programming Problems
A computational study of a solver system for processing two-stage stochastic linear programming problems Victor Zverovich ∗y Csaba I. F´abi´an zx Francis Ellison ∗y Gautam Mitra ∗y November 13, 2009 1 Introduction and background Formulation of stochastic optimisation problems and computational algo- rithms for their solution continue to make steady progress as can be seen from an analysis of many developments in this field. The edited volume by Wallace and Ziemba (2005) outlines both the SP modelling systems and many applications in diverse domains. More recently, Fabozzi et al. (2007) has considered the application of SP models to challenging financial engineering problems. The tightly knit yet highly focused group of researchers COSP: Committee on Stochastic Pro- gramming, their triennial international SP conference, and their active web- site points to the progressive acceptance of SP as a valuable decision tool. At the same time many of the major software vendors, namely, XPRESS, AIMMS, MAXIMAL, and GAMS have started offering SP extensions to their optimisation suites. Our analysis of the modelling and algorithmic solver requirements re- veals that (a) modelling support (b) scenario generation and (c) solution ∗CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Appli- cations, School of Information Systems, Computing and Mathematics, Brunel University, UK. yOptiRisk Systems, Uxbridge, Middlesex, UK. zInstitute of Informatics, Kecskem´etCollege, 10 Izs´aki´ut,Kecskem´et,6000, Hungary. E-mail: [email protected]. xDepartment of OR, Lor´andE¨otv¨osUniversity, Budapest, Hungary. 1 methods are three important aspects of a working SP system. Our research is focussed on all three aspects and we refer the readers to Valente et al. -
Informs Joint International Conference Rome, Italy July 1-4, 2013
EURO-INFORMS JOINT INTERNATIONAL CONFERENCE ROME, ITALY JULY 1-4, 2013 FINAL REPORT This report was prepared by Paolo Dell’Olmo and submitted to the EURO Executive Council May 2014 Rome, Italy 2 1. PLANNING AND ORGANIZATIONAL DECISION-MAKING In 2010, at the EURO XXIV Conference in Lisbon, the Italian Operational Research Society (AIRO) was formally appointeD to host the EURO – INFORMS XXVI European Conference on Operational Research 2013 in Rome, Italy. The Conference organization anD structuring was carrieD out according to the agreement (“Rome Protocol”) between EURO, INFORMS anD AIRO signed in 2011. 1.1 Programme Committee • Marc Sevaux (PC Co-Chair/EURO), Université De Bretagne-SuD, France • DaviD Simchi-Levi (PC Co-Chair/INFORMS), Massachusetts Institute of Technology, CambriDge, USA • Sally BrailsforD (EURO Vice President 1) University of Southampton, UniteD KingDom • Maria Antonia Carravilla, UniversiDaDe do Porto, Portugal • Marielle Christiansen, (EURO25 Chair) Norwegian University of Science anD Technology, TronDheim, Norway • Paolo Dell’Olmo (OC Chair), Sapienza University of Rome, Italy • Guillermo Gallego, Columbia University, New York, USA • Jérémie Gallien, LonDon Business School, United Kingdom • Michel GenDreau, Ecole Polytechnique, Montreal, CanaDa • Diego Klabjan, Northwestern University, Evanston, USA • Ana Meca Martinez, Universidade Miguel Hernàndez de Elche, Spain • Rolf Möhring, Tecnische Universitat Berlin, Germany • Michael PineDo, New York University, USA • DaviD Psinger (EURO27 Chair) University of Copenhagen,