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Records with Keyword: Derivative Free Optimization
Tune Decomposition Schemes for Large-Scale Mixed-Integer Programs by Bayesian Optimization
June 27, 2025 (v1)
Subject: Optimization
Keywords: Derivative Free Optimization, Machine Learning, Mixed-Integer Programming
Heuristic decomposition schemes like moving horizon schemes are a common approach to approximately solve large-scale mixed-integer programs. The authors propose Bayesian optimization as a methodological approach to systematically tune parameters of decomposition schemes for mixed-integer programs. This paper discusses detailed results of three studies of the Bayesian optimization-based approach using hoist scheduling as a case study: Firstly, two objectives of the tuning problem are examined considering sequences of incumbent solutions found by the Bayesian optimization. Secondly, the Bayesian optimization is applied to a set of test instances of the hoist scheduling problem using four types of acquisition functions; they are compared with respect to the convergence of the tuning problem solutions. Thirdly, the scaling behaviour of the Bayesian optimization is studied with respect to the dimension of the space of tuning parameters. The results of the three studies show that the solutio... [more]
Perturbation Methods for Modifier Adaptation with Quadratic Approximation
June 27, 2025 (v1)
Subject: Optimization
Keywords: Derivative Free Optimization, Modifier Adaptation, Probing, Real-time Optimization
Real-time optimization (RTO) is a model-based technique that drives plants to optimal operating conditions. Modifier Adaptation (MA) is a class of methods that adjusts the optimization problem using gradient information. This enables the plant to reach the optimum operating point or batch trajectory without the need of a precise model which reduces the necessary modeling efforts. However, computing the gradients of the cost function or of the plant outputs with respect to the inputs online is a challenging task. Modifier Adaptation with Quadratic Approximation (MAWQA) integrates MA with Quadratic Approximation (QA), which helps mitigate the challenges of estimating gradients from noisy measurements by utilizing historical operating data. However, the distribution of these past operating points significantly affects the effectiveness of the MAWQA strategy. To address this issue in this contribution, new methods to compute probing points which lead to fast convergence to the optimum are... [more]
Data-Driven Chance-Constrained Mixed Integer Nonlinear Bi-level Optimisation Via Copulas: Application To Integrated Planning And Scheduling Problems
June 27, 2025 (v1)
Subject: Planning & Scheduling
Keywords: Bi-level Optimization, Copula Theory, Data-driven optimization, Derivative Free Optimization, Planning & Scheduling
Planning and scheduling are integral components of process supply chains. The presence of data correlation, particularly multivariate demand data dependency, can pose significant challenges to the decision-making process. This necessitates the consideration of dependency structures inherent in the underlying data to generate good-quality, feasible solutions to optimisation problems such as planning and scheduling. This work proposes a chance-constrained optimisation framework integrated with copulas, a non-parametric data estimation technique to forecast uncertain demand levels in accordance with specified risk thresholds in the context of a planning and scheduling problem. We focus on the integrated planning and scheduling problem following a bi-level optimisation formulation. The estimated demand forecasts are subsequently utilised within the Data-driven Optimisation of bi-level Mixed-Integer NOnlinear problems (DOMINO) framework to solve the integrated optimisation problem, and deri... [more]
Constraint Formulations for Bayesian Optimization of Process Simulations: General Approach and Application to Post-Combustion Carbon Capture
August 16, 2024 (v2)
Subject: Modelling and Simulations
Keywords: Carbon Capture, Derivative Free Optimization, Global optimization, Process Simulation, Surrogate Modeling
Some of the most highly trusted and ubiquitous process simulators have solution methods that are incompatible with algorithms designed for equation-oriented optimization. The natively unconstrained Efficient Global Optimization (EGO) algorithm approximates a black-box simulation with kriging surrogate models to convert the simulation results into a reduced-order model more suitable for optimization. This work evaluates several established constraint-handling approaches for EGO to compare their accuracy, computational efficiency, and reliability using an example simulation of an amine post-combustion carbon capture process. While each approach returned a feasible operating point in the number of iterations provided, none of them effectively converged to a solution, exploring the search space without effectively exploiting promising regions. Using the product of expected improvement and probability of feasibility as next point selection criteria resulted in the best solution value and re... [more]
A GRASP Heuristic for Solving an Acquisition Function Embedded in a Parallel Bayesian Optimization Framework
August 15, 2024 (v2)
Subject: Optimization
Keywords: Derivative Free Optimization, Machine Learning, Optimization, Parallelization, Surrogate Model
Design problems for process systems engineering applications often require multi-scale modeling integrating detailed process models. Consequently, black-box optimization and surrogate modeling have continued to play a fundamental role in mission-critical design applications. Inherent in surrogate modeling applications, particularly those constrained by expensive function evaluations, are the questions of how to properly balance exploration and exploitation and how to do so while harnessing parallel computing in techniques. We devise and investigate a one-step look-ahead GRASP heuristic for balancing exploration and exploitation in a parallel environment. Computational results reveal that our approach can yield equivalent or superior surrogate quality with near linear scaling in the number of parallel samples.