Globally Optimized Spherical Point Arrangements: Model Variants and Illustrative Results

The well-balanced distribution of points over the surface of a sphere is of significant interest in various fields of science. The quality of point configurations is typically expressed by criterion functions that have many local optima. A general global optimization framework is suggested to solve such problems. To illustrate the viability of this approach, the model development and solver system LGO is applied to four different model versions. Numerical results – including the visual representation of criterion functions in these models – are presented. The global optimization approach can be tailored to specific problem settings, and it is also applicable to a large variety of other model forms.     

Efficient Management of Multiple Sets to Extract Complex Structures from Mathematical Programs

Most of the applied models written with an algebraic modeling language involve simultaneously several dimensions such as materials, location, time or uncertainty. The information about dimensions available in the algebraic formulation is usually sufficient to retrieve different block structures from mathematical programs. These structured problems can then be solved by adequate solution techniques. To illustrate this idea we focus on stochastic programming problems with recourse. Taking into account both time and uncertainty dimensions of these problems, we are able to retrieve different customized structures in their constraint matrices. We applied the Structure Exploiting Tool to retrieve the structure from models built with the GAMS modeling language. The underlying mathematical programs are solved with the decomposition algorithm that applies interior point methods. The optimization algorithm is run in a sequential and in a parallel computing environment.     

Implementation aspects of interactive multiobjective optimization for modeling environments: the case of GAMS-NIMBUS

Interactive multiobjective optimization methods have provided promising results in the literature but still their implementations are rare. Here we introduce a core structure of interactive methods to enable their convenient implementation. We also demonstrate how this core structure can be applied when implementing an interactive method using a modeling environment. Many modeling environments contain tools for single objective optimization but not for interactive multiobjective optimization. Furthermore, as a concrete example, we present GAMS-NIMBUS Tool which is an implementation of the classification-based NIMBUS method for the GAMS modeling environment. So far, interactive methods have not been available in the GAMS environment, but with the GAMS-NIMBUS Tool we open up the possibility of solving multiobjective optimization problems modeled in the GAMS modeling environment. Finally, we give some examples of the benefits of applying an interactive method by using the GAMS-NIMBUS Tool for solving multiobjective optimization problems modeled in the GAMS environment.     

Effective implementation of the ε-constraint method in Multi-Objective Mathematical Programming problems

As indicated by the most widely accepted classification, the Multi-Objective Mathematical Programming (MOMP) methods can be classified as a priori, interactive and a posteriori, according to the decision stage in which the decision maker expresses his/her preferences. Although the a priori methods are the most popular, the interactive and the a posteriori methods convey much more information to the decision maker. Especially, the a posteriori (or generation) methods give the whole picture (i.e. the Pareto set) to the decision maker, before his/her final choice, reinforcing thus, his/her confidence to the final decision. However, the generation methods are the less popular due to their computational effort and the lack of widely available software. The present work is an effort to effectively implement the ε-constraint method for producing the Pareto optimal solutions in a MOMP. We propose a novel version of the method (augmented ε-constraint method - AUGMECON) that avoids the production of weakly Pareto optimal solutions and accelerates the whole process by avoiding redundant iterations. The method AUGMECON has been implemented in GAMS, a widely used modelling language, and has already been used in some applications. Finally, an interactive approach that is based on AUGMECON and eventually results in the most preferred Pareto optimal solution is also proposed in the paper.     

A comparison of mathematical programming modeling systems

We compare three mathematical programming modeling languages, GAMS, OMNI and MathPro. To understand the properties of these languages, we formulate four linear programs in each language. The formulations are representative of the kinds of model structures one encounters in practice. Each of the languages focuses on a different view of linear programs. GAMS approximates algebra, OMNI uses the activity view and MathPro uses a block schematic. We summarize our experiences with the languages and suggest areas for further enhancement.     

Considering manufacturing cost and scheduling performance on a CNC turning machine

A well known industry application that allows controllable processing times is the manufacturing operations on CNC machines. For each turning operation as an example, there is a nonlinear relationship between the manufacturing cost and its required processing time on a CNC turning machine. If we consider total manufacturing cost (F₁) and total weighted completion time (F₂) objectives simultaneously on a single CNC machine, making appropriate processing time decisions is as critical as making job sequencing decisions. We first give an effective model for the problem of minimizing F₁ subject to a given F₂ level. We deduce some optimality properties for this problem. Based on these properties, we propose a heuristic algorithm to generate an approximate set of efficient solutions. Our computational results indicate that the proposed algorithm performs better than the GAMS/MINOS commercial solver both in terms of solution quality and computational requirements such that the average CPU time is only 8% of the time required by the GAMS/MINOS.     

LP modeling languages for personal computers: A comparison

The purpose of this paper is to compare and contrast the modeling capabilities of seven algebraic modeling languages (ML) available today, namely, AMPL, GAMS, LINGO, LPL, MPL, PC-PROG and XPRESS-LP. In general, these MLs do an excellent job of providing an interface with which the modeler can specify an algebraically formatted linear program (LP). That is, each ML provides a substantial improvement in time and convenience over the matrix generator/report writers of the last few decades. Further, each of the MLs provides: (1) significant flexibility in model specification, instantiation and modification, (2) effective and efficient conversion from algebraic to solver format, and (3) an understandable and, for the most part, self-documenting model representation. In addition, each of the MLs is constantly being updated and upgraded to provide additional capabilities sought by practitioners and users. However, as shown in the fifteen tables provided in the body of this paper, each ML has its own set of competitive advantages. For example, the most integrated environments (i.e. those integrating the modeling language with a full-screen editor, data import capabilities and a solver) are provided by LINGO and PC-PROG. The most user-friendly interfaces are provided by MPL and PC-PROG, both of which provide window-based interfaces to create models and pop-up windows to display error messages; MPL also uses pull-down menus to specify various operations, whereas PC-PROG uses function keys for operational control. Package costs are led by a current (March, 1991) introductory offer from LINGO. Modeling effectiveness, especially with respect to flexibility in specifying arithmetic statements, is led by GAMS and LPL. Model compactness, as measured by the number of lines required to specify a model, is led by AMPL, LPL, MPL and PC-PROG; LPL, MPL and PC-PROG also provide context sensitive editors which automatically position the cursor where the error was detected. And finally, the most comprehensive user documentation is provided by GAMS, whereas GAMS, LINGO and LPL provide extensive libraries of sample models for those users who learn by example.     

Computational Experience with a Safeguarded Barrier Algorithm for Sparse Nonlinear Programming

We describe an enhanced version of the primal-dual interior point algorithm in Lasdon, Plummer, and Yu (ORSA Journal on Computing, vol. 7, no. 3, pp. 321–332, 1995), designed to improve convergence with minimal loss of efficiency, and designed to solve large sparse nonlinear problems which may not be convex. New features include (a) a backtracking linesearch using an L1 exact penalty function, (b) ensuring that search directions are downhill for this function by increasing Lagrangian Hessian diagonal elements when necessary, (c) a quasi-Newton option, where the Lagrangian Hessian is replaced by a positive definite approximation (d) inexact solution of each barrier subproblem, in order to approach the central trajectory as the barrier parameter approaches zero, and (e) solution of the symmetric indefinite linear Newton equations using a multifrontal sparse Gaussian elimination procedure, as implemented in the MA47 subroutine from the Harwell Library (Rutherford Appleton Laboratory Report RAL-95-001, Oxfordshire, UK, Jan. 1995). Second derivatives of all problem functions are required when the true Hessian option is used. A Fortran implementation is briefly described. Computational results are presented for 34 smaller models coded in Fortran, where first and second derivatives are approximated by differencing, and for 89 larger GAMS models, where analytic first derivatives are available and finite differencing is used for second partials. The GAMS results are, to our knowledge, the first to show the performance of this promising class of algorithms on large sparse NLP's. For both small and large problems, both true Hessian and quasi- Newton options are quite reliable and converge rapidly. Using the true Hessian, INTOPT is as reliable as MINOS on the GAMS models, although not as reliable as CONOPT. Computation times are considerably longer than for the other 2 solvers. However, interior point methods should be considerably faster than they are here when analytic second derivatives are available, and algorithmic improvements and problem preprocessing should further narrow the gap.     

Fuzzy Bayesian system reliability assessment based on exponential distribution

The Bayesian system reliability assessment under fuzzy environments is proposed in this paper. In order to apply the Bayesian approach, the fuzzy parameters are assumed as fuzzy random variables with fuzzy prior distributions. The (conventional) Bayesian estimation method will be used to create the fuzzy Bayes point estimator of system reliability based on Exponential distribution by invoking the well-known theorem called “Resolution Identity” in fuzzy sets theory. On the other hand, we also provide the computational procedures to evaluate the membership degree of any given Bayes point estimate of system reliability. In order to achieve this purpose, we transform the original problem into a nonlinear programming problem. This nonlinear programming problem is then divided into four subproblems for the purpose of simplifying computation. Finally, the subproblems can be solved by using any commercial optimizers, e.g., GAMS or LINGO (LINDO).     

Fuzzy Bayesian estimation on lifetime data

Summary  The Bayesian estimation on lifetime data under fuzzy environments is proposed in this paper. In order to apply the Bayesian approach, the fuzzy parameters are assumed as fuzzy random variables with fuzzy prior distributions. The (conventional) Bayesian estimation method will be used to create the fuzzy Bayes point estimator by invoking the well-known theorem called “Resolution Identity” in fuzzy set theory. On the other hand, we also provide computational procedures to evaluate the membership degree of any given Bayes point estimate. In order to achieve this purpose, we transform the original problem into a nonlinear programming problem. This nonlinear programming problem is then divided into four subproblems for the purpose of simplifying computation. Finally, the subproblems can be solved by using any commercial optimizers, e.g., GAMS or LINDO.     

Packing ellipsoids into volume-minimizing rectangular boxes

A set of tri-axial ellipsoids, with given semi-axes, is to be packed into a rectangular box; its widths, lengths and height are subject to lower and upper bounds. We want to minimize the volume of this box and seek an overlap-free placement of the ellipsoids which can take any orientation. We present closed non-convex NLP formulations for this ellipsoid packing problem based on purely algebraic approaches to represent rotated and shifted ellipsoids. We consider the elements of the rotation matrix as variables. Separating hyperplanes are constructed to ensure that the ellipsoids do not overlap with each other. For up to 100 ellipsoids we compute feasible points with the global solvers available in GAMS. Only for special cases of two ellipsoids we are able to reach gaps smaller than \(10^{-4}\).     

GMRESR: a family of nested GMRES methods

Recently Eirola and Nevanlinna have proposed an iterative solution method for unsymmetric linear systems, in which the preconditioner is updated from step to step. Following their ideas we suggest variants of GMRES, in which a preconditioner is constructed per iteration step by a suitable approximation process, e.g., by GMRES itself. Our numerical experiments indicate that this may lead to considerable savings in CPU-time and memory requirements in typical CFD applications.     

Block low-rank single precision coarse grid solvers for extreme scale multigrid methods

Extreme scale simulation requires fast and scalable algorithms, such as multigrid methods. To achieve asymptotically optimal complexity, it is essential to employ a hierarchy of grids. The cost to solve the coarsest grid system can often be neglected in sequential computings, but cannot be ignored in massively parallel executions. In this case, the coarsest grid can be large and its efficient solution becomes a challenging task. We propose solving the coarse grid system using modern, approximate sparse direct methods and investigate the expected gains compared with traditional iterative methods. Since the coarse grid system only requires an approximate solution, we show that we can leverage block low-rank techniques, combined with the use of single precision arithmetic, to significantly reduce the computational requirements of the direct solver. In the case of extreme scale computing, the coarse grid system is too large for a sequential solution, but too small to permit massively parallel efficiency. We show that the agglomeration of the coarse grid system to a subset of processors is necessary for the sparse direct solver to achieve performance. We demonstrate the efficiency of the proposed method on a Stokes-type saddle point system solved with a monolithic Uzawa multigrid method. In particular, we show that the use of an approximate sparse direct solver for the coarse grid system can outperform that of a preconditioned minimal residual iterative method. This is demonstrated for the multigrid solution of systems of order up to $10^{11}$ degrees of freedom on a petascale supercomputer using 43,200 processes.     

A novel approach to solve linear systems arising from BEM using fast wavelet transforms

This paper uses Daubechies orthogonal wavelets to change dense and fully populated matrices of boundary element method (BEM) systems into sparse and semi‐banded matrices. Then a novel algorithm based on hierarchical nature of multiresolution analysis is introduced to solving resultant sparse linear systems. This algorithm decomposes NS‐form of transformed parent matrix into descendant systems with reduced sizes and solves them iteratively using GMRES algorithm. Both parts, changing dense matrices to sparse systems and the novel solver, can be added as a black box to the existing BEM codes. Transforming matrices into wavelet space needs less time than saved by solving sparse large systems. Numerical results with a precise study on sensitivity of solution for physical variables to the thresholding parameter, and savings in computer time and memory are presented. Also, the suitable value for thresholding parameter is recommended for elasticity problems. The results indicate that the proposed method is efficient for large problems. Copyright © 2009 John Wiley & Sons, Ltd.     

An Optimization-Based Approach to the Multiple Static Delivery Technique in Radiation Therapy

The paper considers the intensity modulated radiation therapy (inverse) treatment planning. An approach to determine the trajectories of the leaves of the multileaf collimator (MLC) in order to produce the prescribed intensity distribution is developed. The paper concentrates on the multiple static delivery technique. A mathematical model for calculating the intensity distribution with the help of locations of the leafheads of subsequent subfields is constructed. Furthermore, an optimization model in which the decision variables are the locations of leafheads is developed. The relevant constraints are considered as well. The optimization problem is a large dimensional constrained nonlinear global extremum problem. It is solved by the LGO (Lipschitz (Continuous) Global Optimizer) program system. Comparisons with other optimization method (Hooke–Jeeves iteration) are included. Numerical experiments are presented to confirm the functionality of the method.     

On the Use of the Modelling System GAMS at an Energy Study Centre

Mathematical programming models play an important role in theenergy policy studies performed for a variety of clients bythe Netherlands Energy Research Foundation. Initially, modelswere built with the use of software tools developed in-house.Limitations imposed by these tools, coupled with an increaseddemand for various policy studies, prompted a switch to a differentsoftware technology which resulted in the choice of the GeneralAlgebraic Modelling System (GAMS). The new software technologygreatly improved not only the model development process butalso the reliability and flexibility associated with the useof models. Despite these improvements, further extensions inmodelling technology are needed in order to guarantee that amodelling system can also function effectively as an efficientdecision support system.     

Preconditioning and iterative solution of symmetric indefinite linear systems arising from interior point methods for linear programming

We propose to compute the search direction at each interior-point iteration for a linear program via a reduced augmented system that typically has a much smaller dimension than the original augmented system. This reduced system is potentially less susceptible to the ill-conditioning effect of the elements in the (1,1) block of the augmented matrix. A preconditioner is then designed by approximating the block structure of the inverse of the transformed matrix to further improve the spectral properties of the transformed system. The resulting preconditioned system is likely to become better conditioned toward the end of the interior-point algorithm. Capitalizing on the special spectral properties of the transformed matrix, we further proposed a two-phase iterative algorithm that starts by solving the normal equations with PCG in each IPM iteration, and then switches to solve the preconditioned reduced augmented system with symmetric quasi-minimal residual (SQMR) method when it is advantageous to do so. The experimental results have demonstrated that our proposed method is competitive with direct methods in solving large-scale LP problems and a set of highly degenerate LP problems. Research supported in parts by NUS Research Grant R146-000-076-112 and SMA IUP Research Grant.     

Tensor rank bounds and explicit QTT representations for the inverses of circulant matrices

In this paper, we are concerned with the inversion of circulant matrices and their quantized tensor-train (QTT) structure. In particular, we show that the inverse of a complex circulant matrix $A$, generated by the first column of the form ${(a_0,\dots ,a_{m-1},0,\dots ,0,a_{-n},\dots ,a_{-1})}^{\top }$ admits a QTT representation with the QTT ranks bounded by $(m+n)$. Under certain assumptions on the entries of $A$, we also derive an explicit QTT representation of $A^{-1}$. The latter can be used, for instance, to overcome stability issues arising when numerically solving differential equations with periodic boundary conditions in the QTT format.     

Stochastic optimization for blending problem in brass casting industry

A critical process in brass casting is blending of the raw materials in a furnace so that the specified metal ratios are satisfied. The uncertainties in raw material compositions may cause violations of the specification limits and extra cost. In this study, we proposed a chance-constrained stochastic programming approach for blending problem in brass casting industry to handle the statistical variations in raw material compositions. The proposed approach is a non-linear mathematical model that is solved global optimally by using GAMS/BARON solver. An application has been performed in MKEK brass factory in Kırıkkale, Turkey and the solution of the application has been compared with alternative solution approaches based on cost and specification violation risk conditions. This comparison demonstrates that the proposed model is the most effective solution approach for managing stochastic uncertainties in blending problems and successfully can be used other industries such as alloy steel or secondary aluminum production.