Generalized Benders decomposition
01 Oct 1972-Journal of Optimization Theory and Applications (Kluwer Academic Publishers-Plenum Publishers)-Vol. 10, Iss: 4, pp 237-260
TL;DR: In this paper, the extremal value of the linear program as a function of the parameterizing vector and the set of values of the parametric vector for which the program is feasible were derived using linear programming duality theory.
Abstract: J. F. Benders devised a clever approach for exploiting the structure of mathematical programming problems withcomplicating variables (variables which, when temporarily fixed, render the remaining optimization problem considerably more tractable). For the class of problems specifically considered by Benders, fixing the values of the complicating variables reduces the given problem to an ordinary linear program, parameterized, of course, by the value of the complicating variables vector. The algorithm he proposed for finding the optimal value of this vector employs a cutting-plane approach for building up adequate representations of (i) the extremal value of the linear program as a function of the parameterizing vector and (ii) the set of values of the parameterizing vector for which the linear program is feasible. Linear programming duality theory was employed to derive the natural families ofcuts characterizing these representations, and the parameterized linear program itself is used to generate what are usuallydeepest cuts for building up the representations.
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23 May 2011TL;DR: It is argued that the alternating direction method of multipliers is well suited to distributed convex optimization, and in particular to large-scale problems arising in statistics, machine learning, and related areas.
Abstract: Many problems of recent interest in statistics and machine learning can be posed in the framework of convex optimization. Due to the explosion in size and complexity of modern datasets, it is increasingly important to be able to solve problems with a very large number of features or training examples. As a result, both the decentralized collection or storage of these datasets as well as accompanying distributed solution methods are either necessary or at least highly desirable. In this review, we argue that the alternating direction method of multipliers is well suited to distributed convex optimization, and in particular to large-scale problems arising in statistics, machine learning, and related areas. The method was developed in the 1970s, with roots in the 1950s, and is equivalent or closely related to many other algorithms, such as dual decomposition, the method of multipliers, Douglas–Rachford splitting, Spingarn's method of partial inverses, Dykstra's alternating projections, Bregman iterative algorithms for l1 problems, proximal methods, and others. After briefly surveying the theory and history of the algorithm, we discuss applications to a wide variety of statistical and machine learning problems of recent interest, including the lasso, sparse logistic regression, basis pursuit, covariance selection, support vector machines, and many others. We also discuss general distributed optimization, extensions to the nonconvex setting, and efficient implementation, including some details on distributed MPI and Hadoop MapReduce implementations.
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TL;DR: The many different interpretations of proximal operators and algorithms are discussed, their connections to many other topics in optimization and applied mathematics are described, some popular algorithms are surveyed, and a large number of examples of proxiesimal operators that commonly arise in practice are provided.
Abstract: This monograph is about a class of optimization algorithms called proximal algorithms. Much like Newton's method is a standard tool for solving unconstrained smooth optimization problems of modest size, proximal algorithms can be viewed as an analogous tool for nonsmooth, constrained, large-scale, or distributed versions of these problems. They are very generally applicable, but are especially well-suited to problems of substantial recent interest involving large or high-dimensional datasets. Proximal methods sit at a higher level of abstraction than classical algorithms like Newton's method: the base operation is evaluating the proximal operator of a function, which itself involves solving a small convex optimization problem. These subproblems, which generalize the problem of projecting a point onto a convex set, often admit closed-form solutions or can be solved very quickly with standard or simple specialized methods. Here, we discuss the many different interpretations of proximal operators and algorithms, describe their connections to many other topics in optimization and applied mathematics, survey some popular algorithms, and provide a large number of examples of proximal operators that commonly arise in practice.
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Cites background from "Generalized Benders decomposition"
...Some classic and important modern references include those by Dantzig and Wolfe [66], Benders [23], Lasdon [118], Geoffrion [93], Tsitsiklis [189], Bertsekas and Tsitsklis [27], Censor and Zenios [50], and Nedic̀ and Ozdaglar [144, 145]....
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TL;DR: In this article, the problem of capacitors placement on a radial distribution system is formulated and a solution algorithm is proposed, where the location, type, and size of the capacitors, voltage constraints, and load variations are considered.
Abstract: The problem of capacitor placement on a radial distribution system is formulated and a solution algorithm is proposed. The location, type, and size of capacitors, voltage constraints, and load variations are considered. The objective of capacitor placement is peak power and energy loss reduction, taking into account the cost of the capacitors. The problem is formulated as a mixed integer programming problem. The power flows in the system are explicitly represented, and the voltage constraints are incorporated. A solution method has been implemented that decomposes the problem into a master problem and a slave problem. The master problem is used to determine the location of the capacitors. The slave problem is used by the master problem to determine the type and size of the capacitors placed on the system. In solving the slave problem, and efficient phase I-phase II algorithm is used. >
1,832 citations
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01 Jan 2006
TL;DR: Researchers from other fields should find in this handbook an effective way to learn about constraint programming and to possibly use some of the constraint programming concepts and techniques in their work, thus providing a means for a fruitful cross-fertilization among different research areas.
Abstract: Constraint programming is a powerful paradigm for solving combinatorial search problems that draws on a wide range of techniques from artificial intelligence, computer science, databases, programming languages, and operations research. Constraint programming is currently applied with success to many domains, such as scheduling, planning, vehicle routing, configuration, networks, and bioinformatics.
The aim of this handbook is to capture the full breadth and depth of the constraint programming field and to be encyclopedic in its scope and coverage. While there are several excellent books on constraint programming, such books necessarily focus on the main notions and techniques and cannot cover also extensions, applications, and languages. The handbook gives a reasonably complete coverage of all these lines of work, based on constraint programming, so that a reader can have a rather precise idea of the whole field and its potential. Of course each line of work is dealt with in a survey-like style, where some details may be neglected in favor of coverage. However, the extensive bibliography of each chapter will help the interested readers to find suitable sources for the missing details. Each chapter of the handbook is intended to be a self-contained survey of a topic, and is written by one or more authors who are leading researchers in the area.
The intended audience of the handbook is researchers, graduate students, higher-year undergraduates and practitioners who wish to learn about the state-of-the-art in constraint programming. No prior knowledge about the field is necessary to be able to read the chapters and gather useful knowledge. Researchers from other fields should find in this handbook an effective way to learn about constraint programming and to possibly use some of the constraint programming concepts and techniques in their work, thus providing a means for a fruitful cross-fertilization among different research areas.
The handbook is organized in two parts. The first part covers the basic foundations of constraint programming, including the history, the notion of constraint propagation, basic search methods, global constraints, tractability and computational complexity, and important issues in modeling a problem as a constraint problem. The second part covers constraint languages and solver, several useful extensions to the basic framework (such as interval constraints, structured domains, and distributed CSPs), and successful application areas for constraint programming.
- Covers the whole field of constraint programming
- Survey-style chapters
- Five chapters on applications
Table of Contents
Foreword (Ugo Montanari)
Part I : Foundations
Chapter 1. Introduction (Francesca Rossi, Peter van Beek, Toby Walsh)
Chapter 2. Constraint Satisfaction: An Emerging Paradigm (Eugene C. Freuder, Alan K. Mackworth)
Chapter 3. Constraint Propagation (Christian Bessiere)
Chapter 4. Backtracking Search Algorithms (Peter van Beek)
Chapter 5. Local Search Methods (Holger H. Hoos, Edward Tsang)
Chapter 6. Global Constraints (Willem-Jan van Hoeve, Irit Katriel)
Chapter 7. Tractable Structures for CSPs (Rina Dechter)
Chapter 8. The Complexity of Constraint Languages
(David Cohen, Peter Jeavons)
Chapter 9. Soft Constraints (Pedro Meseguer, Francesca Rossi, Thomas Schiex)
Chapter 10. Symmetry in Constraint Programming
(Ian P. Gent, Karen E. Petrie, Jean-Francois Puget)
Chapter 11. Modelling (Barbara M. Smith)
Part II : Extensions, Languages, and Applications
Chapter 12. Constraint Logic Programming (Kim Marriott, Peter J. Stuckey, Mark Wallace)
Chapter 13. Constraints in Procedural and Concurrent Languages (Thom Fruehwirth, Laurent Michel, Christian Schulte)
Chapter 14. Finite Domain Constraint Programming Systems (Christian Schulte, Mats Carlsson)
Chapter 15. Operations Research Methods in Constraint Programming (John Hooker)
Chapter 16. Continuous and Interval Constraints(Frederic Benhamou, Laurent Granvilliers)
Chapter 17. Constraints over Structured Domains
(Carmen Gervet)
Chapter 18. Randomness and Structure (Carla Gomes, Toby Walsh)
Chapter 19. Temporal CSPs (Manolis Koubarakis)
Chapter 20. Distributed Constraint Programming
(Boi Faltings)
Chapter 21. Uncertainty and Change (Kenneth N. Brown, Ian Miguel)
Chapter 22. Constraint-Based Scheduling and Planning
(Philippe Baptiste, Philippe Laborie, Claude Le Pape, Wim Nuijten)
Chapter 23. Vehicle Routing (Philip Kilby, Paul Shaw)
Chapter 24. Configuration (Ulrich Junker)
Chapter 25. Constraint Applications in Networks
(Helmut Simonis)
Chapter 26. Bioinformatics and Constraints (Rolf Backofen, David Gilbert)
1,527 citations
TL;DR: In this article, a particle swarm optimization (PSO) for reactive power and voltage control (volt/VAr control: VVC) considering voltage security assessment (VSA) is presented.
Abstract: Summary form only given, as follows. This paper presents a particle swarm optimization (PSO) for reactive power and voltage control (volt/VAr control: VVC) considering voltage security assessment (VSA). VVC can be formulated as a mixed-integer nonlinear optimization problem (MINLP). The proposed method expands the original PSO to handle a MINLP and determines an online VVC strategy with continuous and discrete control variables such as automatic voltage regulator (AVR) operating values of generators, tap positions of on-load tap changer (OLTC) of transformers, and the number of reactive power compensation equipment. The method considers voltage security using a continuation power now and a contingency analysis technique. The feasibility of the proposed method is demonstrated and compared with reactive tabu search (RTS) and the enumeration method on practical power system models with promising results.
1,340 citations
References
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01 Jan 1963
TL;DR: This classic book looks at a wealth of examples and develops linear programming methods for their solutions and begins by introducing the basic theory of linear inequalities and describes the powerful simplex method used to solve them.
Abstract: In real-world problems related to finance, business, and management, mathematicians and economists frequently encounter optimization problems. In this classic book, George Dantzig looks at a wealth of examples and develops linear programming methods for their solutions. He begins by introducing the basic theory of linear inequalities and describes the powerful simplex method used to solve them. Treatments of the price concept, the transportation problem, and matrix methods are also given, and key mathematical concepts such as the properties of convex sets and linear vector spaces are covered."The author of this book was the main force in establishing a new mathematical discipline, and he has contributed to its further development at every stage and from every angle. This volume ... is a treasure trove for those who work in this field--teachers, students, and users alike. Its encyclopaedic coverage, due in part to collaboration with other experts, makes it an absolute must."--S. Vajda, Zentralblatt fYr Mathematik und ihre Grenzgebiete
5,679 citations
TL;DR: In this article, the 8th International Meeting of the Institute of Management Sciences, Brussels, August 23-26, 1961, the authors presented a paper entitled "The International Journal of Management Science and Management Sciences".
Abstract: Paper presented to the 8th International Meeting of the Institute of Management Sciences, Brussels, August 23-26, 1961.
2,782 citations
TL;DR: The number of computational or theoretical applications of nonlinear duality theory is small compared to the number of theoretical papers on this subject over the last decade as mentioned in this paper, and this study attempts t...
Abstract: The number of computational or theoretical applications of nonlinear duality theory is small compared to the number of theoretical papers on this subject over the last decade. This study attempts t...
306 citations
TL;DR: A framework of concepts is developed which helps to unify a substantial portion of the literature on large-scale mathematical programming and comprises problem manipulations that can be used to derive what are often referred to as “master” problems; the principal manipulations discussed are Projection, Inner Linearization, and Outer Linearization.
Abstract: A framework of concepts is developed which helps to unify a substantial portion of the literature on large-scale mathematical programming. These concepts fall into two categories. The first category consists of problem manipulations that can be used to derive what are often referred to as “master” problems; the principal manipulations discussed are Projection, Inner Linearization, and Outer Linearization. The second category consists of solution strategies that can be used to solve the master problems, often with the result that “subproblems” arise which can then be solved by specialized algorithms. The Piecewise, Restriction, and Relaxation strategies are the principal ones discussed. Numerous algorithms found in the literature are classified according to the manipulation/strategy pattern they can be viewed as using, and the usefulness of the framework is demonstrated by using it see Part II of this paper to rederive a representative selection of algorithms.
The material presented is listed in the following order: The first section is introductory in nature, and discusses types of large-scale problems, the scope of discussion and the literature, and the notation used. The second section, entitled “Problem Manipulations: Source of 'Master' Problems” covers the subjects of projection, inner linearization and outer linearization. The third section, “Solution Strategies: Source of 'Subproblems',” discusses piecewise strategy, restriction and relaxation. The fourth section is entitled “Synthesizing Known Algorithms from Manipulations and Strategies,” and is followed by a concluding section and an extensive bibliography.
237 citations