Research and Development of an Open Source System for Algebraic Modeling Languages
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Julia, My New Friend for Computing and Optimization? Pierre Haessig, Lilian Besson
Julia, my new friend for computing and optimization? Pierre Haessig, Lilian Besson To cite this version: Pierre Haessig, Lilian Besson. Julia, my new friend for computing and optimization?. Master. France. 2018. cel-01830248 HAL Id: cel-01830248 https://hal.archives-ouvertes.fr/cel-01830248 Submitted on 4 Jul 2018 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. « Julia, my new computing friend? » | 14 June 2018, IETR@Vannes | By: L. Besson & P. Haessig 1 « Julia, my New frieNd for computiNg aNd optimizatioN? » Intro to the Julia programming language, for MATLAB users Date: 14th of June 2018 Who: Lilian Besson & Pierre Haessig (SCEE & AUT team @ IETR / CentraleSupélec campus Rennes) « Julia, my new computing friend? » | 14 June 2018, IETR@Vannes | By: L. Besson & P. Haessig 2 AgeNda for today [30 miN] 1. What is Julia? [5 miN] 2. ComparisoN with MATLAB [5 miN] 3. Two examples of problems solved Julia [5 miN] 4. LoNger ex. oN optimizatioN with JuMP [13miN] 5. LiNks for more iNformatioN ? [2 miN] « Julia, my new computing friend? » | 14 June 2018, IETR@Vannes | By: L. Besson & P. Haessig 3 1. What is Julia ? Open-source and free programming language (MIT license) Developed since 2012 (creators: MIT researchers) Growing popularity worldwide, in research, data science, finance etc… Multi-platform: Windows, Mac OS X, GNU/Linux.. -
Numericaloptimization
Numerical Optimization Alberto Bemporad http://cse.lab.imtlucca.it/~bemporad/teaching/numopt Academic year 2020-2021 Course objectives Solve complex decision problems by using numerical optimization Application domains: • Finance, management science, economics (portfolio optimization, business analytics, investment plans, resource allocation, logistics, ...) • Engineering (engineering design, process optimization, embedded control, ...) • Artificial intelligence (machine learning, data science, autonomous driving, ...) • Myriads of other applications (transportation, smart grids, water networks, sports scheduling, health-care, oil & gas, space, ...) ©2021 A. Bemporad - Numerical Optimization 2/102 Course objectives What this course is about: • How to formulate a decision problem as a numerical optimization problem? (modeling) • Which numerical algorithm is most appropriate to solve the problem? (algorithms) • What’s the theory behind the algorithm? (theory) ©2021 A. Bemporad - Numerical Optimization 3/102 Course contents • Optimization modeling – Linear models – Convex models • Optimization theory – Optimality conditions, sensitivity analysis – Duality • Optimization algorithms – Basics of numerical linear algebra – Convex programming – Nonlinear programming ©2021 A. Bemporad - Numerical Optimization 4/102 References i ©2021 A. Bemporad - Numerical Optimization 5/102 Other references • Stephen Boyd’s “Convex Optimization” courses at Stanford: http://ee364a.stanford.edu http://ee364b.stanford.edu • Lieven Vandenberghe’s courses at UCLA: http://www.seas.ucla.edu/~vandenbe/ • For more tutorials/books see http://plato.asu.edu/sub/tutorials.html ©2021 A. Bemporad - Numerical Optimization 6/102 Optimization modeling What is optimization? • Optimization = assign values to a set of decision variables so to optimize a certain objective function • Example: Which is the best velocity to minimize fuel consumption ? fuel [ℓ/km] velocity [km/h] 0 30 60 90 120 160 ©2021 A. -
Pysp: Modeling and Solving Stochastic Programs in Python
Noname manuscript No. (will be inserted by the editor) PySP: Modeling and Solving Stochastic Programs in Python Jean-Paul Watson · David L. Woodruff · William E. Hart Received: September 6, 2010. Abstract Although stochastic programming is a powerful tool for modeling decision- making under uncertainty, various impediments have historically prevented its wide- spread use. One key factor involves the ability of non-specialists to easily express stochastic programming problems as extensions of deterministic models, which are often formulated first. A second key factor relates to the difficulty of solving stochastic programming models, particularly the general mixed-integer, multi-stage case. Intri- cate, configurable, and parallel decomposition strategies are frequently required to achieve tractable run-times. We simultaneously address both of these factors in our PySP software package, which is part of the COIN-OR Coopr open-source Python project for optimization. To formulate a stochastic program in PySP, the user speci- fies both the deterministic base model and the scenario tree with associated uncertain parameters in the Pyomo open-source algebraic modeling language. Given these two models, PySP provides two paths for solution of the corresponding stochastic program. The first alternative involves writing the extensive form and invoking a standard deter- ministic (mixed-integer) solver. For more complex stochastic programs, we provide an implementation of Rockafellar and Wets’ Progressive Hedging algorithm. Our particu- lar focus is on the use of Progressive Hedging as an effective heuristic for approximating Jean-Paul Watson Sandia National Laboratories Discrete Math and Complex Systems Department PO Box 5800, MS 1318 Albuquerque, NM 87185-1318 E-mail: [email protected] David L. -
Derivative-Free Optimization: a Review of Algorithms and Comparison of Software Implementations
J Glob Optim (2013) 56:1247–1293 DOI 10.1007/s10898-012-9951-y Derivative-free optimization: a review of algorithms and comparison of software implementations Luis Miguel Rios · Nikolaos V. Sahinidis Received: 20 December 2011 / Accepted: 23 June 2012 / Published online: 12 July 2012 © Springer Science+Business Media, LLC. 2012 Abstract This paper addresses the solution of bound-constrained optimization problems using algorithms that require only the availability of objective function values but no deriv- ative information. We refer to these algorithms as derivative-free algorithms. Fueled by a growing number of applications in science and engineering, the development of derivative- free optimization algorithms has long been studied, and it has found renewed interest in recent time. Along with many derivative-free algorithms, many software implementations have also appeared. The paper presents a review of derivative-free algorithms, followed by a systematic comparison of 22 related implementations using a test set of 502 problems. The test bed includes convex and nonconvex problems, smooth as well as nonsmooth prob- lems. The algorithms were tested under the same conditions and ranked under several crite- ria, including their ability to find near-global solutions for nonconvex problems, improve a given starting point, and refine a near-optimal solution. A total of 112,448 problem instances were solved. We find that the ability of all these solvers to obtain good solutions dimin- ishes with increasing problem size. For the problems used in this study, TOMLAB/MULTI- MIN, TOMLAB/GLCCLUSTER, MCS and TOMLAB/LGO are better, on average, than other derivative-free solvers in terms of solution quality within 2,500 function evaluations. -
TOMLAB –Unique Features for Optimization in MATLAB
TOMLAB –Unique Features for Optimization in MATLAB Bad Honnef, Germany October 15, 2004 Kenneth Holmström Tomlab Optimization AB Västerås, Sweden [email protected] ´ Professor in Optimization Department of Mathematics and Physics Mälardalen University, Sweden http://tomlab.biz Outline of the talk • The TOMLAB Optimization Environment – Background and history – Technology available • Optimization in TOMLAB • Tests on customer supplied large-scale optimization examples • Customer cases, embedded solutions, consultant work • Business perspective • Box-bounded global non-convex optimization • Summary http://tomlab.biz Background • MATLAB – a high-level language for mathematical calculations, distributed by MathWorks Inc. • Matlab can be extended by Toolboxes that adds to the features in the software, e.g.: finance, statistics, control, and optimization • Why develop the TOMLAB Optimization Environment? – A uniform approach to optimization didn’t exist in MATLAB – Good optimization solvers were missing – Large-scale optimization was non-existent in MATLAB – Other toolboxes needed robust and fast optimization – Technical advantages from the MATLAB languages • Fast algorithm development and modeling of applied optimization problems • Many built in functions (ODE, linear algebra, …) • GUIdevelopmentfast • Interfaceable with C, Fortran, Java code http://tomlab.biz History of Tomlab • President and founder: Professor Kenneth Holmström • The company founded 1986, Development started 1989 • Two toolboxes NLPLIB och OPERA by 1995 • Integrated format for optimization 1996 • TOMLAB introduced, ISMP97 in Lausanne 1997 • TOMLAB v1.0 distributed for free until summer 1999 • TOMLAB v2.0 first commercial version fall 1999 • TOMLAB starting sales from web site March 2000 • TOMLAB v3.0 expanded with external solvers /SOL spring 2001 • Dash Optimization Ltd’s XpressMP added in TOMLAB fall 2001 • Tomlab Optimization Inc. -
Load Management and Demand Response in Small and Medium Data Centers
Thiago Lara Vasques Load Management and Demand Response in Small and Medium Data Centers PhD Thesis in Sustainable Energy Systems, supervised by Professor Pedro Manuel Soares Moura, submitted to the Department of Mechanical Engineering, Faculty of Sciences and Technology of the University of Coimbra May 2018 Load Management and Demand Response in Small and Medium Data Centers by Thiago Lara Vasques PhD Thesis in Sustainable Energy Systems in the framework of the Energy for Sustainability Initiative of the University of Coimbra and MIT Portugal Program, submitted to the Department of Mechanical Engineering, Faculty of Sciences and Technology of the University of Coimbra Thesis Supervisor Professor Pedro Manuel Soares Moura Department of Electrical and Computers Engineering, University of Coimbra May 2018 This thesis has been developed under the Energy for Sustainability Initiative of the University of Coimbra and been supported by CAPES (Coordenação de Aperfeiçoamento de Pessoal de Nível Superior – Brazil). ACKNOWLEDGEMENTS First and foremost, I would like to thank God for coming to the conclusion of this work with health, courage, perseverance and above all, with a miraculous amount of love that surrounds and graces me. The work of this thesis has also the direct and indirect contribution of many people, who I feel honored to thank. I would like to express my gratitude to my supervisor, Professor Pedro Manuel Soares Moura, for his generosity in opening the doors of the University of Coimbra by giving me the possibility of his orientation when I was a stranger. Subsequently, by his teachings, guidance and support in difficult times. You, Professor, inspire me with your humbleness given the knowledge you possess. -
Theory and Experimentation
Acta Astronautica 122 (2016) 114–136 Contents lists available at ScienceDirect Acta Astronautica journal homepage: www.elsevier.com/locate/actaastro Suboptimal LQR-based spacecraft full motion control: Theory and experimentation Leone Guarnaccia b,1, Riccardo Bevilacqua a,n, Stefano P. Pastorelli b,2 a Department of Mechanical and Aerospace Engineering, University of Florida 308 MAE-A building, P.O. box 116250, Gainesville, FL 32611-6250, United States b Department of Mechanical and Aerospace Engineering, Politecnico di Torino, Corso Duca degli Abruzzi 24, Torino 10129, Italy article info abstract Article history: This work introduces a real time suboptimal control algorithm for six-degree-of-freedom Received 19 January 2015 spacecraft maneuvering based on a State-Dependent-Algebraic-Riccati-Equation (SDARE) Received in revised form approach and real-time linearization of the equations of motion. The control strategy is 18 November 2015 sub-optimal since the gains of the linear quadratic regulator (LQR) are re-computed at Accepted 18 January 2016 each sample time. The cost function of the proposed controller has been compared with Available online 2 February 2016 the one obtained via a general purpose optimal control software, showing, on average, an increase in control effort of approximately 15%, compensated by real-time implement- ability. Lastly, the paper presents experimental tests on a hardware-in-the-loop six- Keywords: Spacecraft degree-of-freedom spacecraft simulator, designed for testing new guidance, navigation, Optimal control and control algorithms for nano-satellites in a one-g laboratory environment. The tests Linear quadratic regulator show the real-time feasibility of the proposed approach. Six-degree-of-freedom & 2016 The Authors. -
Pyomo Documentation Release 5.6.2.Dev0
Pyomo Documentation Release 5.6.2.dev0 Pyomo Feb 06, 2019 Contents 1 Installation 3 1.1 Using CONDA..............................................3 1.2 Using PIP.................................................3 2 Citing Pyomo 5 2.1 Pyomo..................................................5 2.2 PySP...................................................5 3 Pyomo Overview 7 3.1 Mathematical Modeling.........................................7 3.2 Overview of Modeling Components and Processes...........................9 3.3 Abstract Versus Concrete Models....................................9 3.4 Simple Models.............................................. 10 4 Pyomo Modeling Components 17 4.1 Sets.................................................... 17 4.2 Parameters................................................ 23 4.3 Variables................................................. 24 4.4 Objectives................................................ 25 4.5 Constraints................................................ 26 4.6 Expressions................................................ 26 4.7 Suffixes.................................................. 31 5 Solving Pyomo Models 41 5.1 Solving ConcreteModels......................................... 41 5.2 Solving AbstractModels......................................... 41 5.3 pyomo solve Command....................................... 41 5.4 Supported Solvers............................................ 42 6 Working with Pyomo Models 43 6.1 Repeated Solves............................................. 43 6.2 Changing -
Methods of Distributed and Nonlinear Process Control: Structuredness, Optimality and Intelligence
Methods of Distributed and Nonlinear Process Control: Structuredness, Optimality and Intelligence A THESIS SUBMITTED TO THE FACULTY OF THE GRADUATE SCHOOL OF THE UNIVERSITY OF MINNESOTA BY Wentao Tang IN PARTIAL FULFILLMENT OF THE REQUIREMENTS FOR THE DEGREE OF DOCTOR OF PHILOSOPHY Advised by Prodromos Daoutidis May, 2020 c Wentao Tang 2020 ALL RIGHTS RESERVED Acknowledgement Before meeting with my advisor Prof. Prodromos Daoutidis, I was not determined to do a Ph.D. in process control or systems engineering; after working with him, I could not imagine what if I had chosen a different path. The important decision that I made in the October of 2015 turned out to be most correct, that is, to follow an advisor who has the charm to always motivate me to explore the unexploited lands, overcome the obstacles and make achievements. I cherish the freedom of choosing different problems of interest and the flexibility of time managing in our research group. Apart from the knowledge of process control, I have learned a lot from Prof. Daoutidis and will try my best to keep learning, about the skills to write, present and teach, the pursuit of knowledge and methods with both elegance of fundamental theory and a promise of practical applicability, and the pride and fervor for the undertaken works. \The high hill is to be looked up to; the great road is to be travelled on."1 I want to express my deepest gratitude to him. Prof. Qi Zhang always gives me very good suggestions and enlightenment with his abundant knowledge in optimization since he joined our department. -
Open Source Tools for Optimization in Python
Open Source Tools for Optimization in Python Ted Ralphs Sage Days Workshop IMA, Minneapolis, MN, 21 August 2017 T.K. Ralphs (Lehigh University) Open Source Optimization August 21, 2017 Outline 1 Introduction 2 COIN-OR 3 Modeling Software 4 Python-based Modeling Tools PuLP/DipPy CyLP yaposib Pyomo T.K. Ralphs (Lehigh University) Open Source Optimization August 21, 2017 Outline 1 Introduction 2 COIN-OR 3 Modeling Software 4 Python-based Modeling Tools PuLP/DipPy CyLP yaposib Pyomo T.K. Ralphs (Lehigh University) Open Source Optimization August 21, 2017 Caveats and Motivation Caveats I have no idea about the background of the audience. The talk may be either too basic or too advanced. Why am I here? I’m not a Sage developer or user (yet!). I’m hoping this will be a chance to get more involved in Sage development. Please ask lots of questions so as to guide me in what to dive into! T.K. Ralphs (Lehigh University) Open Source Optimization August 21, 2017 Mathematical Optimization Mathematical optimization provides a formal language for describing and analyzing optimization problems. Elements of the model: Decision variables Constraints Objective Function Parameters and Data The general form of a mathematical optimization problem is: min or max f (x) (1) 8 9 < ≤ = s.t. gi(x) = bi (2) : ≥ ; x 2 X (3) where X ⊆ Rn might be a discrete set. T.K. Ralphs (Lehigh University) Open Source Optimization August 21, 2017 Types of Mathematical Optimization Problems The type of a mathematical optimization problem is determined primarily by The form of the objective and the constraints. -
MODELING LANGUAGES in MATHEMATICAL OPTIMIZATION Applied Optimization Volume 88
MODELING LANGUAGES IN MATHEMATICAL OPTIMIZATION Applied Optimization Volume 88 Series Editors: Panos M. Pardalos University o/Florida, U.S.A. Donald W. Hearn University o/Florida, U.S.A. MODELING LANGUAGES IN MATHEMATICAL OPTIMIZATION Edited by JOSEF KALLRATH BASF AG, GVC/S (Scientific Computing), 0-67056 Ludwigshafen, Germany Dept. of Astronomy, Univ. of Florida, Gainesville, FL 32611 Kluwer Academic Publishers Boston/DordrechtiLondon Distributors for North, Central and South America: Kluwer Academic Publishers 101 Philip Drive Assinippi Park Norwell, Massachusetts 02061 USA Telephone (781) 871-6600 Fax (781) 871-6528 E-Mail <[email protected]> Distributors for all other countries: Kluwer Academic Publishers Group Post Office Box 322 3300 AlI Dordrecht, THE NETHERLANDS Telephone 31 78 6576 000 Fax 31 786576474 E-Mail <[email protected]> .t Electronic Services <http://www.wkap.nl> Library of Congress Cataloging-in-Publication Kallrath, Josef Modeling Languages in Mathematical Optimization ISBN-13: 978-1-4613-7945-4 e-ISBN-13:978-1-4613 -0215 - 5 DOl: 10.1007/978-1-4613-0215-5 Copyright © 2004 by Kluwer Academic Publishers Softcover reprint of the hardcover 1st edition 2004 All rights reserved. No part ofthis pUblication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photo-copying, microfilming, recording, or otherwise, without the prior written permission ofthe publisher, with the exception of any material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Permissions for books published in the USA: P"§.;r.m.i.§J?i..QD.§.@:w.k~p" ..,.g.Qm Permissions for books published in Europe: [email protected] Printed on acid-free paper. -
Insight MFR By
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