Scheduling under demand uncertainty using a new multiparametric programming approach

Complete Stability Intervals of Symmetric Matrices with Multiple Parameters — Generalization of the Stability Feeler

Computing Guaranteed Bounds for Uncertain Cooperative and Monotone Nonlinear Systems

In this paper, we apply the parametric linear programing technique and pseudo metrics to study the quantitative stability of the two-stage stochastic linear programing problem with full random recourse. Under the simultaneous perturbation of the cost vector, coefficient matrix, and right-hand side vector, we first establish the locally Lipschitz continuity of the optimal value function and the boundedness of optimal solutions of parametric linear programs. On the basis of these results, we deduce the locally Lipschitz continuity and the upper bound estimation of the objective function of the two-stage stochastic linear programing problem with full random recourse. Then by adopting different pseudo metrics, we obtain the quantitative stability results of two-stage stochastic linear programs with full random recourse which improve the current results under the partial randomness in the second stage problem. Finally, we apply these stability results to the empirical approximation of the two-stage stochastic programing model, and the rate of convergence is presented.

We study convex conic optimization problems in which the right-hand side and the cost vectors vary linearly as functions of a scalar parameter. We present a unifying geometric framework that subsumes the concept of the optimal partition in linear programming (LP) and semidefinite programming (SDP) and extends it to conic optimization. Similar to the optimal partition approach to sensitivity analysis in LP and SDP, the range of perturbations for which the optimal partition remains constant can be computed by solving two conic optimization problems. Under a weaker notion of nondegeneracy, this range is simply given by a minimum ratio test. We discuss briefly the properties of the optimal value function under such perturbations.

A bivariate subinterval method for dynamic analysis of mechanical systems with interval uncertain parameters

The next generation (NextGen) transport aircraft configurations being investigated as part of the NASA Aeronautics Subsonic Fixed Wing Project have more control surfaces, or control effectors, than existing transport aircraft configurations. Conventional flight control is achieved through two symmetric elevators, two antisymmetric ailerons, and a rudder. The five control surfaces, reduced to three command variables, produce moments along the three main axes of the aircraft and enable the pilot to control the attitude of the aircraft. Next generation aircraft will have additional redundant control effectors to control the three moments, creating a situation where the aircraft is over-actuated and where a simple relationship no longer exists between the required control surface deflections and the desired moments. NextGen flight controllers will incorporate control allocation algorithms to determine the optimal effector commands to attain the desired moments, taking into account the effector limits. Approaches to solving the problem using linear programming and quadratic programming algorithms have been proposed and tested. It is of great interest to understand their relative advantages and disadvantages and how design parameters may affect their properties. In this paper, we investigate the sensitivity of the effector commands with respect to the desired moments and show on some examples the sensitivity of the solutions provided by the linear programming and quadratic programming methods.

The various robust linear programming models investigated so far in the literature essentially appear to be based either on what is referred to as rowwise uncertainty models or on columnwise uncertainty models (these basically assume that the rows, or the columns, of the constraint matrix are subject to changes within a well-specified uncertainty set). In this chapter, we discuss a special case of columnwise uncertainty, namely the subclass of robust linear programming (LP) models with uncertainty limited to the right hand side (RHS) only (this subclass does not appear to have been significantly investigated so far). In this context we introduce the concept of a ‘two-stage robust LP model’ as opposed to the standard case (which might be referred to as a ‘single-stage robust LP model’) and we address the question of whether LP duality can be used to convert a LP problem with RHS uncertainty into a robust LP problem with uncertainty on the objective function. We show how to derive both statements of (a) the dual to the robust model and (b) the robust version of the dual. The resulting expressions of the objective function to be optimized in both cases, appear to be clearly distinct. Moreover, from a complexity point of view, one appears to be efficiently solvable (it reduces to a convex optimization problem), whereas the other, as a nonconvex optimization problem, is expected to be computationally difficult in the general case. As an application of the two-stage robust LP model introduced here, we next investigate the PERT (program evaluation and review technique) scheduling problem, considering two possible natural ways of specifying the uncertainty set for the task durations: the case where the uncertainty set is a scaled ball with respect to the L ∞ norm; the case where the uncertainty set is a scaled Hamming ball of bounded radius (which, though leading to a quite different model, bears some resemblance to the well-known Bertsimas–Sim approach to robustness). We show that in both cases the resulting robust optimization problem can be efficiently solved in polynomial time.

In this paper, we present an algorithm for the solution of multiparametric mixed integer linear programming (mp-MILP) problems involving (i) 0-1 integer variables, and, (ii) more than one parameter, bounded between lower and upper bounds, present on the right hand side (RHS) of constraints. The solution is approached by decomposing the mp-MILP into two subproblems and then iterating between them. The first subproblem is obtained by fixing integer variables, resulting in a multiparametric linear programming (mp-LP) problem, whereas the second subproblem is formulated as a mixed integer linear programming (MILP) problem by relaxing the parameters as variables.

In constrast to “ordinary” sensitivity analysis in linear programming, the tolerance approach considers simultaneous and independent changes in the objective function coefficients and in the right-hand side terms. This approach yields a maximum tolerance percentage such that, as long as selected coefficients or terms are accurate to within that percentage of their estimated values, the same basis is optimal. In particular, if the objective function coefficients are accurate to within the maximum tolerance percentage of their specified values, then the same solution is optimal.

Linear programming algorithms have been widely used in Decision Support Systems. These systems have incorporated linear programming algorithms for the solution of the given problems. Yet, the special structure of each linear problem may take advantage of different linear programming algorithms or different techniques used in these algorithms. This paper proposes a web-based DSS that assists decision makers in the solution of linear programming problems with a variety of linear programming algorithms and techniques. Two linear programming algorithms have been included in the DSS: (i) revised simplex algorithm and (ii) exterior primal simplex algorithm. Furthermore, ten scaling techniques, five basis update methods and eight pivoting rules have been incorporated in the DSS. All linear programming algorithms and methods have been implemented using MATLAB and converted to Java classes using MATLAB Builder JA, while the web interface of the DSS has been designed using Java Server Pages.

*† This paper proposes a new algorithm for actuator allocation problems, e.g., reaction wheel torque distribution and jet selection logic. The algorithm is based on an interior-point linear programming (LP) algorithm. Compared to the simplex LP algorithm, the interiorpoint LP algorithm exhibits several advantages at the cost of reasonably increased computation. They encompasses greater robustness to uncertainty in actuator models, smoother actuation command over time, and greater flexibility in incorporating nonlinear operations such as quantization. These advantages stem from the fact that the interior algorithm searches for a suboptimal solution among the interior points of a feasible set and not among the extreme points or corner points of the feasible set as in the simplex algorithm. The proposed approach has been applied to the problem of reaction wheel torque distribution for the attitude control of an autonomous rendezvous and docking (ARD) robotic spacecraft and demonstrated to yield more effective solutions for the actuator allocation problem than a simplex LP approach.

Groundwater is a crucial resource for water supply and irrigation in many parts of the world, especially in the Middle East. The Eocene aquifer, located in the northern part of the West Bank, Palestine, is threatened by unsustainable groundwater abstractions and on-ground pollution. Analysis and management of this aquifer are challenging because of limited data availability. This research contributes to the long-term sustainability of the aquifer by model-based design of future abstraction strategies considered within an uncertainty analysis framework. The methodology employed started with development of a single-layer steady-state MODFLOW groundwater model of the area, followed by uncertainty analysis of model parameters using Monte Carlo simulations. The same model was afterwards coupled with a Successive Linear Programming (SLP) optimization algorithm, implemented in the Groundwater Management tool (GWM) of the United States Geological Survey (USGS). The purpose of optimization was deriving five optimal abstraction strategies, each aiming to maximize groundwater abstraction, subject to different constraints regarding groundwater depletion. Given the uncertainty of model parameters, the sensitivity and reliability of these optimal strategies were then tested. Sensitivity was checked for two optimal strategies by performing re-optimization with different values of uncertain model parameters (one at a time). Reliability of the five strategies was tested by analyzing the extent of constraints’ violation for each strategy when varying the uncertain parameters using Monte Carlo simulations. Finally, the model was used for determining capture zones of wells for the five optimal abstraction strategies, land-use in these capture zones, and the associated estimates of on-ground nitrogen loading. The developed strategies were then deployed in a web-based decision support application (named Groundwater Decision Support System—GDSS), together with other relevant information. Users can analyze results of different optimal strategies in terms of groundwater level variations and total water balance results, and test consequences of uncertain parameters. Capture zones of wells for different abstraction strategies, together with land-use and on-ground nitrogen loading in these capture zones, are also presented. Results show that critical uncertain parameters are recharge, hydraulic conductivity, and conductance at key boundary condition locations. Optimal abstraction strategies results indicate that an increase in total abstractions could be between 5% and 20% from the current level (estimated at about 56 × 106 m3/year, which is about 74% of estimated annual recharge). The uncertain parameters, however, are impacting the sensitivity and the reliability of the optimal strategies to variable degrees. Recharge and hydraulic conductivity are the most critical uncertain parameters regarding sensitivity of the optimal strategies, while reliability is also impacted by the level of abstraction proposed in a given strategy (number, locations, and abstraction rates of new wells). The main novelty and contribution of this research is in combining modelling, uncertainty analysis, and optimization techniques in a comprehensive decision support system for the area of the Eocene aquifer, characterized with limited data availability.

In this paper, we study general linear programs in which right hand sides are interval numbers. This model is relevant when uncertain and inaccurate factors make difficult the assignment of a single value to each right hand side. When objective function coefficients are interval numbers in a linear program, classical criteria coming from decision theory (like the worst case criterion) are usually applied to determine robust solutions. When the set of feasible solutions is uncertain, we identify a class of linear programs for which these classical approaches are no longer relevant. However, it is possible to compute the worst optimum solution. We study the complexity of this optimization problem when each right hand side is an interval number. Then, we exhibit some duality relationships between the worst optimum solution problem and the best optimum solution to the dual problem.

This paper presents an application of the interval fuzzy model (INFUMO) in fault detection and isolation for a class of processes with uncertain interval-type parameters. Confidence data bands for the process input-output pairs are approximated using a fuzzy model with interval parameters. The approximation, based on linear programming, employs linfin-norm as the modelling error measure. Arbitrary sets of identification input signals can be used due to the application of low-pass filtering when obtaining the confidence bands. Using a combination of INFUMOs makes it possible to devise a fault-isolation scheme based on the given incidence matrix. Simulation results of a fault detection and isolation for a two-tank system are provided, which illustrate the relevance of the proposed FDI method

Multi-Energy Microgrids (MEMGs) offer great opportunities for enhancing energy systems efficiency and penetration of renewable energy sources (RESs). By coupling traditionally independent electrical and thermal networks with binding components such as Combined Heat and Power (CHP) units, system operators can benefit from higher energy utilization efficiency. However, MEMGs' operation is severely compromised by uncertainties existing in RES generation and electric loads, which can never be perfectly predicted. This affects considerably the MEMG day-Ahead dispatch and poses major challenges on how to maintain reliable operating conditions. This work proposes a coordinated dispatch strategy to minimize the operating costs of a network-constrained MEMG consisting of combined electrical and thermal distribution networks when multiple uncertain parameters are considered. To capture uncertainty variability, the operation method was modeled as a stochastic programming problem. Moreover, the Monte Carlo sampling technique was used to generate a large number of random scenarios. The proposed stochastic operation method was tested on a 14-bus system to find the optimal day-Ahead scheduling operation. A feasibility check of the stochastic and deterministic methods was then carried out based on a new set of uncertainties realizations. Results indicated the proposed operation model to minimize the operating costs and guarantee strong robustness against uncertainties' realizations.