2021


A MILP Approach to DRAM Access Worst-Case Analysis

M. Andreozzi, A. Frangioni, L. Galli, G. Stea, R. Zippo

Optmization Online 8368, 2021

Abstract: The Dynamic Random Access Memory (DRAM) is among the major points of contention in multi-core systems. We consider a challenging optimization problem arising in worst-case performance analysis of systems architectures: computing the worst-case delay (WCD) experienced when accessing the DRAM due to the interference of contending requests. The WCD is a crucial input for micro-architectural design of systems with reliable end-to-end performance guarantees, which is required in many applications, such as when strict real-time requirements must be imposed. The problem can be modeled as a mixed integer linear program (MILP), for which standard MILP software struggles to solve even small instances. Using a combination of upper and lower scenario bounding, we show how to solve realistic instances in a matter of few minutes. A novel ingredient of our approach, with respect to other WCD analysis techniques, is the possibility of computing the exact WCD rather than an upper bound, as well as providing the corresponding scenario, which represents a crucial information for future memory design improvements.

Keywords:Mixed-Integer Linear Programming, Worst-Case Analysis, Scheduling, Network Calculus

Download from Optimization Online.


Start-up/Shut-down MINLP Formulations for the Unit Commitment with Ramp Constraints

T. Bacci, A. Frangioni, C. Gentile

in "Graphs and Combinatorial Optimization: from Theory to Applications - CTW2020 Proceedings", C. Gentile, G. Stecca, P. Ventura (Eds.), 335—347, AIRO-Springer series, 2021

Abstract: In [T9] the first MIP exact formulation was provided that describes the convex hull of the solutions satisfying all the standard operational constraints for the thermal units: minimum up- and down-time, minimum and maximum power output, ramp (including start-up and shut-down) limits, general history-dependent start-up costs, and nonlinear convex power production costs. That formulation contains a polynomial, but large, number of variables and constraints. We present two new formulations with fewer variables defined on the shut-down period and computationally test the trade-off between reduced size and possibly weaker bounds.

Keywords: Unit Commitment problem, Ramp Constraints, MIP Formulations, Dynamic Programming, Convex Costs

The published paper is available at https://doi.org/10.1007/978-3-030-63072-0_26. A Technical Report version is available here.


A Lagrangian approach to Chance Constrained Routing with Local Broadcast

M. Cacciola, A. Frangioni, L. Galli, G. Stea

in "Graphs and Combinatorial Optimization: from Theory to Applications - CTW2020 Proceedings", C. Gentile, G. Stecca, P. Ventura (Eds.), 277—291, AIRO-Springer series, 2021

Abstract: Mobile cellular networks play a pivotal role in emerging Internet of Things (IoT) applications, such as vehicular collision alerts, malfunctioning alerts in Industry-4.0 manufacturing plants, periodic distribution of coordination information for swarming robots or platooning vehicles, etc. All these applications are characterized by the need of routing messages within a given local area (geographic proximity) with constraints about both timeliness and reliability (i.e., probability of reception). This paper presents a Non-Convex Mixed-Integer Nonlinear Programming model for a routing problem with probabilistic constraints on a wireless network. We propose an exact approach consisting of a branch-and-bound framework based on a novel Lagrangian decomposition to derive lower bounds. Preliminary experimental results indicate that the proposed algorithm is competitive with state-of-the-art general-purpose solvers, and can provide better solutions than existing highly tailored ad-hoc heuristics to this problem.

Keywords: Internet of Things, Routing, Broadcast, Chance-Constrained Optimization, Mixed-Integer Nonlinear Programs, Lagrangian relaxation, bundle methods, Branch-and-Bound

The published paper is available at https://doi.org/10.1007/978-3-030-63072-0_22. A Technical Report version is available here.


A Bi-level Formulation to Help Aggregators Size Energy Communities: a Proposal for Virtual and Physical Closed Distribution Systems

D. Fioriti, D. Poli, A. Frangioni

proceedings of 2021 IEEE International Conference on Environment and Electrical Engineering and 2021 IEEE Industrial and Commercial Power Systems Europe (EEEIC / I&CPS Europe), to appear, 2021

Abstract: The challenges driven by the Energy Transitions cannot be met without involving citizens and private companies in energy matter. For this reason, the European Commission has promoted the concept of Renewable (REC) and Citizen (CEC) Energy Communities. Typical Energy Communities commercially aggregate multiple users, each one having its own Point-of-Delivery (PoD) with respect to the public grid and are aimed at promoting socio-economic and environmental benefits for the community. Yet, the policy framework can also allow selected users to be aggregated behind a single PoD, be it physically, when only a single external PoD is installed for all users thus creating a Closed Distribution System (CDS), or economically. In this study, we propose a business model and a sizing methodology to help aggregators size a CEC, where users are aggregated behind a single PoD. The problem is formulated as a non-linear bi-level optimization method and compared to the equivalent problem with no EC. A numerical case study is proposed and discussed for an Italian EC and supports the benefits.

Keywords: Product/Fortuny-Amat-McCarl; Ipopt/Gurobi; Energy Service COmpany (ESCO); Mixed-Integer Non-Linear Optimization (MINLP); Closed Distribution Systems (CDS)


Optimal Sizing of Energy Communities with Fair Revenue Sharing and Exit Clauses: Value, Role and Business Model of Aggregators and Users

D. Fioriti, A. Frangioni, D. Poli

Applied Energy 299, 117328, 2021

Abstract: Energy communities (ECs) are essential policy tools to meet the Energy Transition goals, as they can promote renewable energy sources, demand side management, demand response and citizen participation in energy matters. However, to fully unleash their potential, their design and scheduling requires a coordinated technical operation that the community itself may be ill-equipped to manage, in particular in view of the mutual technical and legal constraints ensuing from a coordinated design. Aggregators and Energy Service COmpanies (ESCOs) can perform this support role, but only provided that their goals are aligned to those of the community, not to incur in the agency problem.
In this study, we propose a business model for aggregators of ECs, and its corresponding technical optimization problem, taking into account all crucial aspects: i) alleviating the risk of the agency problem, ii) fairly distributing the reward awarded to the EC, iii) estimating the fair payment for the aggregator services, and iv) defining appropriate exit clauses that rule what happens when a user leaves the EC. A detailed mathematical model is derived and discussed, employing several fair and theoretically-consistent reward distribution schemes, some of which are, to the best of our knowledge, proposed here for the first time. A case study is developed to quantify the value of the aggregator and compare the coordinated solution provided by the aggregator with non-coordinated configurations, numerically illustrating the impact of the reward distribution schemes.
The results show that, in the case study, the aggregator enables reducing costs by 16% with respect to a baseline solution, and enables reaching 52.5% renewable share and about 46% self/shared consumption, whereas these same numbers are only 28-35% for the non-coordinated case. Our results suggest that the aggregator fair retribution is around 16-24% the added benefit produced with respect to the non-coordinated solution, and that stable reward distribution schemes such as Shapley/Core or Nucleolus are recommended. Moreover, the results highlight the unwanted effect that some non-cooperative ECs may have an added benefit without providing any positive effect to the power system.
Our work lays the foundations for future studies on business models of aggregators for ECs and provides a methodology and preliminary results that can help policy makers and developers in tailoring national-level policies and market-offerings.

Keywords: Mixed Integer Linear Programming (MILP), hybrid Renewable/Citizenship Energy Community system (REC/CEC), coalition game theory, cooperative game, Energy Service COmpany (ESCO), Peak power management

The published paper is available at https://doi.org/10.1016/j.apenergy.2021.117328, or via this ShareLink. A Technical Report version is available here.


A Constraints-Aware Reweighted Feasibility Pump Approach

A. Frangioni, S. Pan, E. Traversi, R. Wolfler Calvo

Operations Research Letters 49(5), 671—675, 2021

Abstract: We extend the Reweighted Feasibility Pump (RFP) approach of [De Santis, Lucidi, Rinaldi, SIOPT/, 2013], which is based on the interpretation of the (main step of the) Feasibility Pump as the Frank-Wolfe method applied to an appropriate penalty function that drives the search towards integer solutions. We modify the function that is minimized by incorporating barrier terms that provide information about how much changing a variable is possible due to it being involved in (almost) active constraints. The corresponding Constraints-Aware RWP is experimentally tested on two sets of hard pure binary feasibility problems, and the results show that, all other things being equal, the modification leads to a more effective and robust method w.r.t. the original RFP one.

Keywords: Feasibility Pump, Binary Feasibility Problem, Frank-Wolfe approach, Barrier function

The published paper is available at https://doi.org/10.1016/j.orl.2021.07.004, or via this ShareLink.


A Multiperiod Drayage Problem with Customer-dependent Service Periods

A. Ghezelsoflu, M. Di Francesco, A. Frangioni, P. Zuddas

Computers and Operations Research 129, 105189, 2021

Abstract: We investigate a multiperiod drayage problem in which customers request transportation services over several days, possibly leaving the carrier some flexibility to change service periods. We compare three approaches for the problem: a path-based model with all feasible routes, a “Price-and-Branch” algorithm in which the pricing is formulated as a collection of shortest path problems in a cunningly constructed acyclic network, and a compact arc-flow formulation based on this network. The experiments shows that the latter formulation is the most efficient, and can solve to optimality instances of real-world size (and beyond) in time compatible with typical operational constraints. Also, the models allow us to assess that limited amounts of flexibility from customers can significantly improve routing costs for the carrier while decreasing customers' cost as well.

Keywords: Drayage, Modeling, Reformulations

The published paper is available at https://doi.org/10.1016/j.cor.2020.105189, or via this ShareLink. A Technical Report version is available here.


Node-Based Lagrangian Relaxations for Multicommodity Capacitated Fixed-Charge Network Design

M.R.A. Kazemzadeh, T. Bektas, T.G. Crainic, A. Frangioni, B. Gendron, E. Gorgone

Discrete Applied Mathematics, to appear, 2021

Abstract: Classical Lagrangian relaxations for the multicommodity capacitated fixed-charge network design problem are the so-called flow and knapsack relaxations, where the resulting Lagrangian subproblems decompose by commodities and by arcs, respectively. We introduce node-based Lagrangian relaxations, where the resulting Lagrangian subproblem decomposes by nodes. We show that the Lagrangian dual bounds of these relaxations improve upon the linear programming relaxation bound, known to be equal to the Lagrangian dual bounds for the flow and knapsack relaxations. We also develop a Lagrangian matheuristic to compute upper bounds. The computational results on a set of benchmark instances show that the Lagrangian matheuristic is competitive with the state-of-the-art heuristics from the literature.

Keywords: Network design, Lagrangian relaxation, column generation, matheuristic

The published paper is available at https://doi.org/10.1016/j.dam.2020.12.024, or via this ShareLink. A Technical Report version is available here.


Solving Stochastic Hydrothermal Unit Commitment with a New Primal Recovery Technique Based on Lagrangian Solutions

M. Reolon Scuzziato, E.C. Finardi, A. Frangioni

International Journal of Electrical Power and Energy Systems, 127, 106661, 2021

Abstract: The high penetration of intermittent renewable generation has prompted the development of Stochastic Hydrothermal Unit Commitment (SHUC) models, which are more difficult to be solved than their thermal-based counterparts due to hydro generation constraints and inflow uncertainties. This work presents a SHUC model applied in centralized cost-based dispatch. The SHUC is represented by a two-stage stochastic model, formulated as a large-scale mixed-binary linear programming problem. The solution strategy is divided into two steps. The first step is the Lagrangian Relaxation (LR) approach, which is applied to solve the dual problem and generate a lower bound for SHUC. The second step is given by a Primal Recovery where we use the solution of the LR dual problem with heuristics based on Benders’ Decomposition to obtain the primal-feasible solution. Both steps benefit from each other, exchanging information over the iterative process. We assess our approach in terms of the quality of the solutions and running times on space and scenario LR decompositions. The computational instances use various power systems, considering the different configuration of plants (capacity and number of units). The results show the advantage of our primal recovery technique compared to solving the problem via MILP solver. This is true already for the deterministic case, and the advantage grows as the problem’s size (number of plants and/or scenarios) does. The space decomposition provides better solutions, although scenario one provides better lower bounds, but the main idea is to encourage researchers to explore LR decompositions and heuristics in other relevant problems.

Keywords: Stochastic Hydrothermal Unit Commitment, Lagrangian Relaxation, Primal Recovery Technique, Mixed-binary linear program, Power system planning.

The published paper is available at https://doi.org/10.1016/j.ijepes.2020.106661, or using this ShareLink. You can also download a Technical Report version.


2020


Stabilized Benders Methods for Large-scale Combinatorial Optimization, with Application to Data Privacy

D. Baena, J. Castro, A. Frangioni

Management Science 66(7), 3051—3068, 2020

Abstract: The Cell Suppression Problem (CSP) is a challenging Mixed-Integer Linear Problem arising in statistical tabular data protection. Medium sized instances of CSP involve thousands of binary variables and million of continuous variables and constraints. However, CSP has the typical structure that allows application of the renowned Benders' decomposition method: once the ``complicating'' binary variables are fixed, the problem decomposes into a large set of linear subproblems on the "easy" continuous ones. This allows to project away the easy variables, reducing to a master problem in the complicating ones where the value functions of the subproblems are approximated with the standard cutting-plane approach. Hence, Benders' decomposition suffers from the same drawbacks of the cutting-plane method, i.e., oscillation and slow convergence, compounded with the fact that the master problem is combinatorial. To overcome this drawback we present a stabilized Benders decomposition whose master is restricted to a neighborhood of successful candidates by local branching constraints, which are dynamically adjusted, and even dropped, during the iterations. Our experiments with randomly generated and real-world CSP instances with up to 3600 binary variables, 90M continuous variables and 15M inequality constraints show that our approach is competitive with both the current state-of-the-art (cutting-plane-based) code for cell suppression, and the Benders implementation in CPLEX 12.7. In some instances, stabilized Benders is able to quickly provide a very good solution in less than one minute, while the other approaches were not able to find any feasible solution in one hour.

Keywords: Benders' Decomposition, Mixed-Integer Linear Problems, Stabilization, Local Branching, Large-scale Optimization, Statistical Tabular Data Protection, Cell Suppression Problem

The final publication can be found at https://doi.org/10.1287/mnsc.2019.3341. Due to INFORMS provisions on Reuse Permissions, you can also download the Author Accepted Manuscript here.


Standard Bundle Methods: Untrusted Models and Duality

A. Frangioni

in Numerical Nonsmooth Optimization: State of the Art Algorithms, A.M. Bagirov, M. Gaudioso, N. Karmitsa, M. Mäkelä, S. Taheri (Eds.), 61—116, Springer, 2020

Abstract: We review the basic ideas underlying the vast family of algorithms for nonsmooth convex optimization known as "bundle methods". In a nutshell, these approaches are based on constructing models of the function, but lack of continuity of first-order information implies that these models cannot be trusted, not even close to an optimum. Therefore, many different forms of stabilization have been proposed to try to avoid being led to areas where the model is so inaccurate as to result in almost useless steps. In the development of these methods, duality arguments are useful, if not outright necessary, to better analyze the behaviour of the algorithms. Also, in many relevant applications the function at hand is itself a dual one, so that duality allows to map back algorithmic concepts and results into a "primal space" where they can be exploited; in turn, structure in that space can be exploited to improve the algorithms' behaviour, e.g. by developing better models. We present an updated picture of the many developments around the basic idea along at least three different axes: form of the stabilization, form of the model, and approximate evaluation of the function.

Keywords: Nonsmooth optimization, bundle methods, stabilization, decomposition, Lagrangian relaxation, duality, inexact function evaluation, incremental approach, survey

The final publication can be found at https://doi.org/10.1007/978-3-030-34910-3_3. A Technical Report version can be downloaded here.


Optimization Methods: an Applications-Oriented Primer

A. Frangioni, L. Galli

in Analytics for the Sharing Economy: Mathematics, Engineering and Business Perspectives, E. Crisostomi, B. Ghaddar, F. Häusler, J. Naoum-Sawaya, G. Russo, R. Shorten (Eds.), Springer, 2020

Abstract: Effectively sharing resources requires solving complex decision problems. This requires constructing a mathematical model of the underlying system, and then applying appropriate mathematical methods to find an optimal solution of the model, which is ultimately translated into actual decisions. The development of mathematical tools for solving optimization problems dates back to Newton and Leibniz, but it has tremendously accelerated since the advent of digital computers. Today, optimization is an inter-disciplinary subject, lying at the interface between management science, computer science, mathematics and engineering. This chapter offers an introduction to the main theoretical and software tools that are nowadays available to practitioners to solve the kind of optimization problems that are more likely to be encountered in the context of this book. Using, as a case study, a simplified version of the bike sharing problem, we guide the reader through the discussion of modelling and algorithmic issues, concentrating on methods for solving optimization problems to proven optimality.

Keywords: Optimization Methods, Combinatorial Optimization, Integer Programming, Bike Sharing

The final publication can be found at https://doi.org/10.1007/978-3-030-35032-1. A Technical Report version can be downloaded here.


Quasi-Separable Dantzig-Wolfe Reformulations for Network Design

A. Frangioni, B. Gendron, E. Gorgone

Lecture Notes on Computer Science – Proceedings of the International Symposium on Combinatorial Optiomization ISCO 2020, to appear, 2020

Abstract: Under mild assumptions that are satisfied for many network design models, we show that the Lagrangian dual obtained by relaxing the flow constraints is what we call "quasi-separable." This property implies that the Dantzig-Wolfe (DW) reformulation of the Lagrangian dual exhibits two sets of convex combination constraints, one in terms of the design variables and the other in terms of the flow variables, the latter being linked to the design variables. We compare the quasi-separable DW reformulation to the standard disaggregated DW reformulation. We illustrate the concepts on a particular case, the budget-constrained multicommodity capacitated unsplittable network design problem.

Keywords: Lagrangian relaxation, Dantzig-Wolfe reformulations, network design


Decompositions of Semidefinite Matrices and the Perspective Reformulation of Nonseparable Quadratic Programs

A. Frangioni, C. Gentile, J. Hungerford

Mathematics of Operations Research 45(1), 15—33, 2020

Abstract: We study the problem of decomposing the Hessian matrix of a Mixed-Integer Convex Quadratic Program into the sum of positive semidefinite 2x2 matrices. Solving this problem enables the use of Perspective Reformulation techniques for obtaining strong lower bounds for MICQPs with semi-continuous variables but a nonseparable objective function. An explicit formula is derived for constructing 2x2 decompositions when the underlying matrix is Weakly Scaled Diagonally Dominant, and necessary and sufficient conditions are given for the decomposition to be unique. For matrices lying outside this class, two exact SDP approaches and an efficient heuristic are developed for finding approximate decompositions. We present preliminary results on the bound strength of a 2x2 Perspective Reformulation for the Portfolio Optimization Problem, showing that for some classes of instances the use of 2x2 matrices can significantly improve the quality of the bound w.r.t. the best previously known approach, although at a possibly high computational cost.

Keywords: Mixed-Integer Quadratic Programming, Matrix Decomposition, Scaled Diagonal Dominance, Semicontinuous variables, Portfolio Optimization

The published paper is available at http://dx.doi.org/10.1287/moor.2018.0969, but thanks to INFORMS provisions on Rights and Permissions, you can download the author accepted manuscript (AAM).


A Learning-based Mathematical Programming Formulation for the Automatic Configuration of Optimization Solvers

G. Iommazzo, C. D'Ambrosio, A. Frangioni, L. Liberti

in Lecture Notes in Computer Science, 6th International Conference on Machine Learning, Optimization and Data science - LOD 2020, G. Nicosia, P.M. Pardalos, G. Giuffrida, R. Umeton and V. Sciacca (Eds.), Springer-Verlag, 2020

Abstract: We propose a methodology, based on machine learning and optimization, for selecting a solver configuration for a given instance. First, we employ a set of solved instances and configurations in order to learn a performance function of the solver. Secondly, we formulate a mixed-integer nonlinear program where the objective/constraints explicitly encode the learnt information, and which we solve, upon the arrival of an unknown instance, to find the best solver configuration for that instance, based on the performance function. The main novelty of our approach lies in the fact that the configuration set search problem is formulated as a mathematical program, which allows us to a) enforce hard dependence and compatibility constraints on the configurations, and b) solve it efficiently with off-the-shelf optimization tools.

Keywords: Automatic Algorithm Configuration, Mathematical Programming, Machine Learning, Optimization Solver Configuration, Hydro Unit Committment

Thanks to the provisions of Lecture Notes in Computer Science Consent to Publish, an author-created version can be dowloaded here.


Learning to Configure Mathematical Programming Solvers by Mathematical Programming

G. Iommazzo, C. D'Ambrosio, A. Frangioni, L. Liberti

in Lecture Notes in Computer Science 12096, Learning and Intelligent Optimization - LION 2020, I.S. Kotsireas and P.M. Pardalos (Eds.), 377—389, Springer, 2020

Abstract: We discuss the issue of finding a good mathematical programming solver configuration for a particular instance of a given problem, and we propose a two-phase approach to solve it. In the first phase we learn the relationships between the instance, the configuration and the performance of the configured solver on the given instance. A specific difficulty of learning a good solver configuration is that parameter settings may not all be independent; this requires enforcing (hard) constraints, something that many widely used supervised learning methods cannot natively achieve. We tackle this issue in the second phase of our approach, where we use the learnt information to construct and solve an optimization problem having an explicit representation of the dependency/consistency constraints on the configuration parameter settings. We discuss computational results for two different instantiations of this approach on a unit commitment problem arising in the short-term planning of hydro valleys. We use logistic regression as the supervised learning methodology and consider {\tt CPLEX} as the solver of interest.

Keywords: Mathematical Programming, Optimization Solver Configuration, Hydro Unit Commitment

The published paper is available at https://doi.org/10.1007/978-3-030-53552-0_34. Thanks to the provisions of Lecture Notes in Computer Science Consent to Publish, an author-created version can be dowloaded here.


A Novel Modular Optimization Framework for Modelling Investment and Operation of Energy Systems at European Level

D. Most, S. Giannelos, I. Yueksel-Erguen, D. Beulertz, U.-U. Haus, S. Charousset-Brignol, A. Frangioni

ZIB Report 20-08, 2020

Abstract: Project plan4res involves the development of a modular framework for the modeling and analysis of energy system strategies at the European level. It will include models describing the investment and operation decisions for a wide variety of technologies related to electricity and non-electricity energy sectors across generation, consumption, transmission and distribution. The modularity of the framework allows for detailed modelling of major areas of energy systems that can help stakeholders from different backgrounds to focus on specific topics related to the energy landscape in Europe and to receive relevant outputs and insights tailored to their needs. The current paper presents a qualitative description of key concepts and methods of the novel modular optimization framework and provides insights into the corresponding energy landscape.

Keywords: Energy Systems Analysis and Optimization, Simulation and Planning Under Uncertainty, Renewables Integration, Sector Coupling; Climate Change Impact

Download.


Mathematical Optimization for Efficient and Robust Energy Networks

N.S. Hadjidimitriou, A. Frangioni, T. Koch, A. Lodi (Eds.)

AIRO Springer Series Vol. 4, Springer International Publishing, ISBN 978-3-030-57441-3 / 978-3-030-57442-0, 2020

Abstract: This book presents a collection of energy production and distribution problems identified by the members of the COST Action TD1207 "Mathematical Optimization in the Decision Support Systems for Efficient and Robust Energy Networks". The aim of the COST Action was to coordinate the efforts of the experts in different fields, from academia and industry, in developing innovative tools for quantitative decision making, and apply them to the efficient and robust design and management of energy networks. The work covers three main goals: 1) to be a nimble while comprehensive resource of several real life business problems with a categorized set of pointers to many relevant prescriptive problems for energy systems; 2) to offer a balanced mix of scientific and industrial views; 3) to evolve over time in a flexible and dynamic way giving, from time to time, a more scientific or industrial - or even political in a broad sense - weighed perspective. It is addressed to researchers and professionals working in the field.

Available on the Springer webiste. However, you can freely peruse the original Wiki of the COST Action TD1207 upon which the book is based.


2019


A Counterexample to an Exact Extended Formulation for the Single-Unit Commitment Problem

T. Bacci, A. Frangioni, C. Gentile

Technical Report, IASI R. 19-03, 2019

Abstract: Recently, Guan, Pan, and Zohu presented a MIP model for the thermal single-unit commitment claiming that provides an integer feasible solution for any convex cost function. In this note we provide a counterexample to this statement and we produce evidence that the perspective function is needed for this aim.

Keywords:Unit Commitment, Mixed Integer Nonlinear Programming, Perspective Function, Exact formulation

Download here or from Optimization Online.


New MINLP Formulations for the Single-Unit Commitment Problems with Ramping Constraints

T. Bacci, A. Frangioni, C. Gentile, K. Tavlaridis-Gyparakis

Optmization Online 7426, 2019

Abstract: The Unit Commitment (UC) problem in electrical power production requires to optimally operate a set of power generation units over a short time horizon (one day to a week). Operational constraints of each unit depend on its type (e.g., thermal, hydro, nuclear, . . . ), and can be rather complex; typical ones concern minimum and maximum power output, minimum up- and down-time, start-up and shut-down limits, ramp-up and ramp-down limits. Also, the objective function is often nonlinear. Thus, even the Single-Unit Commitment (1UC) problem, in which only one unit is present, has a rich combinatorial structure. In this work we present the first MINLP formulation that describes the convex hull of the feasible solutions of (1UC) comprising all the above constraints, and Second-Order Cone representable power generation costs. The new formulation has a polynomial number of both variables and constraints, and it is based on the efficient Dynamic Programming algorithm proposed in [A16], together with the perspective reformulation technique proposed in [A17]. We then analyze the effect of using it to develop tight formulations for the more general (UC). Since the formulation, despite being polynomial-size, is rather large, we also propose two new formulations, based on partial aggregations of variables, with different trade-offs between quality of the obtained bound and cost of the solving the corresponding continuous relaxation. Our results show that navigating these trade-offs may lead to improved performances for the partial enumeration approach used to solve the problem.

Keywords:Unit Commitment problem, Ramp Constraints, MIP Formulations, Dynamic Programming, Convex Costs

Download from Optimization Online.


A Matheuristic for Integrated Timetabling and Vehicle Scheduling

S. Carosi, A. Frangioni, L. Galli, L. Girardi, G. Vallese

Transportation Research Part B 127, 99—124, 2019

Abstract: Planning a public transportation system is a complex process, which is usually broken down in several phases, performed in sequence. Most often, the trips required to cover a service with the desired frequency (headway) are decided early on, while the vehicles needed to cover these trips are determined at a later stage. This potentially leads to requiring a larger number of vehicles (and, therefore, drivers) that would be possible if the two decisions were performed simultaneously. We propose a multicommodity-flow type model for integrated timetabling and vehicle scheduling. Since the model is large-scale and cannot be solved by off-the-shelf tools with the efficiency required by planners, we propose a diving-type matheuristic approach for the problem. We report on the efficiency and effectiveness of two variants of the proposed approach, differing on how the continuous relaxation of the problem is solved, to tackle real-world instances of bus transport planning problem originating from customers of M.A.I.O.R., a leading company providing services and advanced decision-support systems to public transport authorities and operators. The results show that the approach can be used to aid even experienced planners in either obtaining better solutions, or obtaining them faster and with less effort, or both.

Keywords: Public Transport, Timetabling, Vehicle Scheduling, Integrated Approach, Matheuristic

The final publication can be found at https://doi.org/10.1016/j.trb.2019.07.004. You can also use this Share Link, or download a Technical Report Version.


A Tool for Practical Integrated Time-Table Design and Vehicle Scheduling in Public Transport Systems

S. Carosi, A. Frangioni, L. Galli, L. Girardi, G. Vallese

in A View of Operations Research Applications in Italy, 2018, M. Dell'Amico, M. Gaudioso and G. Stecca (Eds.), 207—217, AIRO Springer Series, 2019

Abstract: Planning of services and resources for public transport systems is a complex process. In practice the planning is usually decomposed into several stages, where service levels are decided first, while vehicles and drivers are only optimized later on. We describe the new TTD.XT tool, developed by M.A.I.O.R. S.r.l. in collaboration with the University of Pisa, that improves the efficient utilization of expensive resources by simultaneously optimizing timetabling and vehicle scheduling. We quickly present the underlying mathematical model and (math-heuristic) algorithm, and compare the solutions constructed by the tool for real-world bus transport planning instances for three major Italian cities with those produced by the standard sequential decision process; the former are significantly better than the latter both in terms of objective function value and when judged by experts of the field.

Keywords: Timetabling, Vehicle Scheduling, Integrated Approach, Matheuristic

The final publication can be found at https://doi.org/10.1007/978-3-030-25842-9_16.


Strengthening the Sequential Convex MINLP Technique by Perspective Reformulations

C. D'Ambrosio, A. Frangioni, C. Gentile

Optimization Letters 13(4), 673—684, 2019

Abstract: The Sequential Convex MINLP (SC-MINLP) technique is a solution method for nonconvex Mixed-Integer NonLinear Problems where the nonconvexities are separable. It is based on solving a sequence of convex MINLPs which trade a better and better relaxation of the nonconvex part of the problem with the introduction of more and more piecewise-linear nonconvex terms, and therefore binary variables. The convex MINLPs are obtained by partitioning the domain of each separable nonconvex term in the intervals in which it is convex and those in which it is concave. In the former, the term is left in its original form, while in the latter it is piecewise-linearized. Since each interval corresponds to a semi-continuous variable, we propose to modify the convex terms using the Perspective Reformulation technique to strengthen the bounds. We show by means of experimental results on different classes of instances that doing so significantly decreases the solution time of the convex MINLPs, which is the most time consuming part of the approach, and has therefore the potential to improving the overall effectiveness of SC-MINLP.

Keywords: Global Optimization, NonConvex Separable Functions, Sequential Convex MINLP Technique, Perspective Reformulation

The final publication can be found at https://doi.org/10.007/s11590-018-1360-9. Thanks to the provisions of Springer's Copyright Transfer Statement, you can download the author-created version of the accepted manuscript here. You can also use this Springer Nature Sharing link.


Bicriteria Data Compression

A. Farruggia, P. Ferragina, A. Frangioni, R. Venturini

SIAM Journal on Computing 48(5), 1603—1642, 2019

Abstract: Since the seminal work by Shannon, theoreticians focused on designing compressors targeted to minimize the output size without sacrificing much the compression/decompression efficiency. On the other hand, software engineers deployed several heuristics to implement compressors aimed at trading compressed space versus compression/decompression efficiency in order to match their application needs. In this paper we fill this gap by introducing the bicriteria data-compression problem that asks to determine the shortest compressed file that can be decompressed in a given time bound. Then, inspired by modern data-storage applications, we instantiate the problem onto the family of LZ-based compressors (such as Snappy and LZ4) and solve it by combining in a novel and efficient way optimization techniques, string-matching data structures and shortest-path algorithms over properly (bi-)weighted graphs derived from the data-compression problem at hand. An extensive set of experiments complements our theoretical achievements by showing that the proposed algorithmic solution is very competitive with respect to state-of-the-art highly-engineered compressors.

Keywords: Approximation algorithm, Data compression, Lempel-Ziv 77, Pareto optimization

The published paper is available at https://doi.org/10.1137/17M1121457. Due to the provisions of SIAM Consent to Publish, it can also be downloaded here.


QPLIB: A Library of Quadratic Programming Instances

F. Furini, E. Traversi, P. Belotti, A. Frangioni, A. Gleixner, N. Gould, L. Liberti, A. Lodi, R. Misener, H. Mittelmann, N.V. Sahinidis, S. Vigerske, A. Wiegele

Mathematical Programming Computation 11(2), 237—265, 2019

Abstract: This paper describes a new instance library for Quadratic Programming (QP), i.e., the family of continuous and (mixed)-integer optimization problems where the objective function and/or the constraints are quadratic. QP is a very diverse class of problems, comprising sub-classes ranging from trivial to undecidable. This diversity is reflected in the variety of QP solution methods, ranging from entirely combinatorial approaches to completely continuous algorithms, including many methods for which both aspects are fundamental. Selecting a set of instances of QP that is at the same time not overwhelmingly onerous but sufficiently challenging for the different, interested communities is therefore important. We propose a simple taxonomy for QP instances leading to a systematic problem selection mechanism. We then briefly survey the field of QP, giving an overview of theory, methods and solvers. Finally, we describe how the library was put together, and detail its final contents.

Keywords: Instance Library, Quadratic Programming

The final publication can be found at https://doi.org/10.1016/10.1007/s12532-018-0147-4, and it can be viewed via this Springer Nature SharedIt Link. Thanks to Springer's provisions about self-archiving, you can also download the Author's accepted manuscript version here.


2018


Large-scale Unit Commitment Under Uncertainty: an Updated Literature Survey

W. van Ackooij, I. Danti Lopez, A. Frangioni, F. Lacalandra, M. Tahanan

Annals of Operations Research 271(1), 11—85, 2018

Abstract: The Unit Commitment problem in energy management aims at finding the optimal production schedule of a set of generation units, while meeting various system-wide constraints. It has always been a large-scale, non-convex, difficult problem, especially in view of the fact that, due to operational requirements, it has to be solved in an unreasonably small time for its size. Recently, growing renewable energy shares have strongly increased the level of uncertainty in the system, making the (ideal) Unit Commitment model a large-scale, non-convex and \emph{uncertain} (stochastic, robust, chance-constrained) program. We provide a survey of the literature on methods for the Uncertain Unit Commitment problem, in all its variants. We start with a review of the main contributions on solution methods for the deterministic versions of the problem, focussing on those based on mathematical programming techniques that are more relevant for the uncertain versions of the problem. We then present and categorize the approaches to the latter, while providing entry points to the relevant literature on optimization under uncertainty. This is an updated version of the paper [A46]; this version has over 170 more citations, most of which appeared in the last three years, proving how fast the literature on uncertain Unit Commitment evolves, and therefore the interest in this subject.

Keywords: Unit Commitment, Uncertainty, Large-Scale Optimization, Survey

The published paper is available at https://doi.org/10.1007/s10479-018-3003-z, and it can be viewed via this Springer Nature SharedIt Link.You can also download a Technical Report version.


Incremental Bundle Methods Using Upper Models

W. van Ackooij, A. Frangioni

SIAM Journal on Optimization 28(1), 379–410, 2018

Abstract: We propose a family of proximal bundle methods for minimizing sum-structured convex nondifferentiable functions which require two slightly uncommon assumptions, that are satisfied in many relevant applications: Lipschitz continuity of the functions and oracles which also produce upper estimates on the function values. In exchange, the methods: i) use upper models of the functions that allow to estimate function values at points where the oracle has not been called; ii) provide the oracles with more information about when the function computation can be interrupted, possibly diminishing their cost; iii) allow to skip oracle calls entirely for some of the component functions, not only at "null steps" but also at "serious steps"; iv) provide explicit and reliable a-posteriori estimates of the quality of the obtained solutions; v) work with all possible combinations of different assumptions on how the oracles deal with not being able to compute the function with arbitrary accuracy. We also discuss the introduction of constraints (or, more generally, of easy components) and use of (partly) aggregated models.

Keywords: Nonsmooth optimization, bundle methods, inexact function evaluation, incremental approach

The published paper is available at https://doi.org/10.1137/16M1089897. Due to the provisions of SIAM Copyright Assignment Agreement, it can also be downloaded here.


Towards Robust Admission Control in Delay-Constrained Routing Problems

A. Frangioni, L. Galli, G. Stea

Electronic Notes in Discrete Mathematics 69, 45–52 (Proceedings of the 9th joint EURO/ALIO International Conference 2018 on Applied Combinatorial Optimization, Bologna, June 25-27), 2018

Abstract: Delay-Constrained Routing (DCR) problems require to route a new flow in a computer network subject to worst-case end-to-end delay guarantees. The delay of a packet flow has three components, one of which is the "queueing delay", that depends on the scheduling algorithm implemented by the routers of the network. When flows are not independent of each other, i.e., admitting a new flow changes the delay of the existing ones, admission control policies are necessary to ensure that existing flows do not become latency-unfeasible. It has been recently shown that admission control runs contrary to the usual objective function employed in these models, i.e., minimization of the reserved rates, significantly worsening network performance. In this paper we investigate the phenomenon and propose a heuristic way to overcome the problem.

Keywords: Routing problems, maximum delay constraints, scheduling algorithms, admission control, Mixed-Integer NonLinear Programming, Second-Order Cone Programs, Robustness

The final publication can be found at https://doi.org/10.1016/j.endm.2018.07.007. Thanks to Elsevier's provisions about Scholarly Sharing, you can download the Author's accepted manuscript version here. You can also use this Share Link.


Dynamic Smoothness Parameter for Fast Gradient Methods

A. Frangioni, B. Gendron, E. Gorgone

Optimization Letters 12(1), 43–53, 2018

Abstract: We present and computationally evaluate a variant of the fast gradient method by Nesterov that is capable of exploiting information, even if approximate, about the optimal value of the problem. This information is available in some applications, among which the computation of bounds for hard integer programs. We show that dynamically changing the smoothness parameter of the algorithm using this information results in a better convergence profile of the algorithm in practice.

Keywords: Fast Gradient Method, Lagrangian Relaxation

The final publication is available at Springer via http://dx.doi.org/10.1007/s11590-017-1168-z. Thanks to the provisions of Springer's Copyright Transfer Statement, you can download the Author's accepted manuscript version here. The paper is also available on SharedIt.


A Price-and-Branch Algorithm for a Drayage Problem with Heterogeneous Trucks

A. Ghezelsoflu, M. Di Francesco, A. Frangioni, P. Zuddas

Electronic Notes in Discrete Mathematics 69, 237–244 (Proceedings of the 9th joint EURO/ALIO International Conference 2018 on Applied Combinatorial Optimization, Bologna, June 25-27), 2018

Abstract: This paper investigates a drayage problem, which is motivated by a carrier providing door-to-door freight transportation services by trucks and containers. The trucks carry one or two containers to ship container loads from a port to importers and from exporters to the same port. The problem is modeled by a set covering formulation with integer variables. We propose a Price-and-Branch algorithm for this problem, in which the pricing problem is a pair of shortest path problems in a suitable graph. The algorithm can determine near-optimal solutions in a short time.

Keywords: Price-and-Branch, Drayage, Vehicle Routing Problem, Set Covering

The final publication can be found at https://doi.org/10.1016/j.endm.2018.07.031. Thanks to Elsevier's provisions about Scholarly Sharing, you can download the Author's accepted manuscript version here. You can also use this Share Link.


A Set-Covering Formulation for a Drayage Problem with Single and Double Container Loads

A. Ghezelsoflu, M. Di Francesco, A. Frangioni, P. Zuddas

Journal of Industrial Engineering International 14(4), 665—676, 2018

Abstract: This paper addresses a drayage problem, which is motivated by the case study of a real carrier. Its trucks carry one or two containers from a port to importers and from exporters to the port. Since up to four customers can be served in each route, we propose a set covering formulation for this problem where all possible routes are enumerated. This model can be efficiently solved to optimality by a commercial solver, significantly outperforming a previously proposed node-arc formulation. Moreover, we show that a different distribution policy, which results in an enlarged set of feasible routes, may bring significant savings to the carrier w.r.t. the one currently employed.

Keywords: Drayage, Vehicle Routing Problem, Street-turns, Set Covering

The final publication can be freely downloaded from http://dx.doi.org/10.1007/s40092-018-0256-8.


Practical Feasibility, Scalability and Effectiveness of Coordinated Scheduling Algorithms in Cellular Networks Towards 5G

G. Nardini, G. Stea, A. Virdis, A. Frangioni, L. Galli, D. Sabella

Journal of Network and Computer Applications 106, 1–16, 2018

Abstract: Coordinated Scheduling (CS) is used to mitigate inter-cell interference in present (4G) and future (5G) cellular networks. We show that coordination of a cluster of nodes can be formulated as an optimization problem, i.e., placing the Resource Blocks (RB) in each node’s subframe with the least possible overlapping with neighboring nodes. We provide a clever formulation, which allows optimal solutions to be computed in clusters of ten nodes, and algorithms that compute good suboptimal solutions for clusters of tens of nodes, fast enough for a network to respond to traffic changes in real time. This allows us to assess the relationship between the scale at which CS is performed and its benefits in terms of network energy efficiency and cell-edge user rate. Our results, obtained using realistic power, radiation and Signal-to-Interference-and-Noise-Ratio (SINR) models, show that optimal CS allows a significant protection of cell-edge users. Moreover, this goes hand-in-hand with a reduction in the number of allocated RBs, which in turn allows an operator to reduce its energy consumption. Both benefits actually increase with the size of the clusters. The evaluation is carried out in both a 4G and a foreseen 5G setting, using different power models, system bandwidths and SINR-to-datarat mappings.

Keywords: Coordinated Scheduling, energy-efficiency, cellular networks, inter-cell interference

The final publication is available at https://doi.org/10.1016/j.jnca.2018.01.007.


Minimizing Power Consumption in Virtualized Cellular Networks

G. Nardini, A. Virdis, N. Iardella, A. Frangioni, L. Galli, G. Stea

Sixth International Workshop on Cloud Technologies and Energy Efficiency in Mobile Communication Networks (CLEEN 2018), Porto, June 3 2018

Abstract: Cellular network nodes should be dynamically switched on/off based on the load requirements of the network, to save power and minimize inter-cell interference. This should be done keeping into account global interference effects, which requires a centralized approach. In this paper, we present an architecture, realized within the Flex5GWare EU project, that manages a large-scale cellular network, switching on and off nodes based on load requirements and context data. We describe the architectural framework and the optimization model that is used to decide the activity state of the nodes. We present simulation results showing that the framework adapts to the minimum power level based on the cell loads.

Keywords: Energy-efficiency, Mobile networks, Optimization


Comparing Spatial and Scenario Decomposition for Stochastic Hydrothermal Unit Commitment Problems

M.R. Scuzziato, E.C. Finardi, A. Frangioni

IEEE Transactions on Sustainable Energy 9(3), 1307–1317, 2018

Abstract: Solving very-large-scale optimization problems frequently require to decompose them in smaller subproblems, that are iteratively solved to produce useful information. One such approach is the Lagrangian Relaxation (LR), a general technique that leads to many different decomposition schemes. The LR produces a lower bound of the objective function and useful information for heuristics aimed at constructing feasible primal solutions. In this paper, we compare the main LR strategies used so far for Stochastic Hydrothermal Unit Commitment problems, where uncertainty mainly concerns water availability in reservoirs and demand (weather conditions). The problem is customarily modeled as a two-stage mixed-integer optimization problem. We compare different decomposition strategies (unit and scenario schemes) in terms of quality of produced lower bound and running time. The schemes are assessed with various hydrothermal systems, considering different configuration of power plants, in terms of capacity and number of units.

Keywords: Lagrangian Relaxation, Mixed-Integer Linear Programming, Hydrothermal Stochastic Unit Commitment

The final publication is available at http://dx.doi.org/10.1109/TSTE.2017.2781908. Thanks to the provisions of IEEE Copyright Transfer Agreement, you can download the accepted manuscript version here.


2017


"Preface" of the Special issue of EURO Journal on Computational Optimization on "Nonlinear and Combinatorial Methods for Energy Optimization"

C. D'Ambrosio, A. Frangioni, A. Lodi, M. Mevissen

EURO Journal on Computational Optimization 5(1-2), 1–3, 2017

The final publication is available at Springer via https://doi.org/10.1007/s13675-017-0083-5. Thanks to the provisions of Springer's Copyright Transfer Statement, you can download the Author's accepted manuscript version here. The paper is also available on SharedIt.


Improving the Approximated Projected Perspective Reformulation by Dual Information

A. Frangioni, F. Furini, C. Gentile

Operations Research Letters, 45, 519‐524, 2017

Abstract: We propose an improvement of the Approximated Projected Perspective Reformulation (AP2R) of [A48] for dealing with constraints linking the binary variables.The new approach solves the Perspective Reformulation (PR) once, and then use the corresponding dual information to reformulate the problem prior to applying AP2R, thereby combining the root bound quality of the PR with the reduced relaxation computing time of AP2R. Computational results for the cardinality-constrained Mean-Variance portfolio optimization problem show that the new approach is competitive with state-of-the-art ones.

Keywords: Mixed-Integer NonLinear Problems, Semi-continuous Variables, Perspective Reformulation, Projection, Lagrangian Relaxation, Portfolio Optimization

The final publication is available at http://dx.doi.org/10.1016/j.orl.2017.08.001. Thanks to Elsevier's provisions about Article Sharing, you can download the Author's accepted manuscript version here.


Delay-constrained Routing Problems: Accurate Scheduling Models and Admission Control

A. Frangioni, L. Galli, G. Stea

Computers & Operations Research 81, 67–77, 2017

Abstract: As shown in [A45], the problem of routing a flow subject to a worst-case end-to-end delay constraint in a packed-based network can be formulated as a Mixed-Integer Second-Order Cone Program, and solved with general-purpose tools in real time on realistic instances. However, that result only holds for one particular class of packet schedulers, Strictly Rate-Proportional ones, and implicitly considering each link to be fully loaded, so that the reserved rate of a flow coincides with its guaranteed rate. These assumptions make latency expressions simpler, and enforce perfect isolation between flows, i.e., admitting a new flow cannot increase the delay of existing ones. Other commonplace schedulers both yield more complex latency formulæ and do not enforce flow isolation. Furthermore, the delay actually depends on the guaranteed rate of the flow, which can be significantly larger than the reserved rate if the network is unloaded. In this paper we extend the result to other classes of schedulers and to a more accurate representation of the latency, showing that, even when admission control needs to be factored in, the problem is still efficiently solvable for realistic instances, provided that the right modeling choices are made.

Keywords: Routing problems, maximum delay constraints, scheduling algorithms, admission control, Mixed-Integer NonLinear Programming, Second-Order Cone Programs, Perspective Reformulation

The published paper is available at http://dx.doi.org/10.1016/j.cor.2016.12.009. Since the 36 months embargo period since publication has elapsed, thanks to the provisions of Elsevier's Journal Publishing Agreement about Permitted Scholarly Posting, the Accepted Author Manuscript is available here.


QoS Routing with worst-case delay constraints: models, algorithms and performance analysis

A. Frangioni, L. Galli, G. Stea

Computer Communications 103, 104–115, 2017

Abstract: In a network where weighted fair-queueing schedulers are used at each link, worst-case end-to-end delays can be inferred from per-link rate reservations. Therefore, it is also possible to compute resource-constrained paths that meet target delay constraints, and optimize some key performance metrics (e.g., minimize the overall reserved rate, maximize the remaining capacity at bottleneck links, etc.). Despite the large amount of literature on QoS routing appeared since the mid '90s, few papers so far have discussed solving such path computation problem at optimality in general settings. In this paper, we formulate and solve the optimal path computation and resource allocation problem assuming different types of weighted fair-queueing schedulers in the network. We show that, depending on the scheduling algorithm, routing a new flow may or may not affect the performance of existing flows; hence, explicit admission control constraints may be required to ensure that existing flows still meet their deadline afterwards. Yet, for the relevant schedulers proposed in the literature the problem can be formulated as a Mixed-Integer Second-Order Cone problem (MI-SOCP), and can be solved at optimality in split-second times even in fairly large networks.

Keywords: QoS Routing, Worst-Case Delay, Weighted Fair-Queueing, Admission Control, Optimization

The final publication is available at http://dx.doi.org/10.1016/j.comcom.2016.09.006, but a Technical Report version can be freely downloaded.


On the Computational Efficiency of Subgradient Methods: a Case Study with Lagrangian Bounds

A. Frangioni, B. Gendron, E. Gorgone

Mathematical Programming Computation 9(4), 573–604, 2017

Abstract: Subgradient methods (SM) have long been the preferred way to solve the large-scale Nondifferentiable Optimization problems arising from the solution of Lagrangian Duals (LD) of Integer Programs (IP). Although other methods can have better convergence rate in practice, SM have certain advantages that may make them competitive under the right conditions. Furthermore, SM have significantly progressed in recent years, and new versions have been proposed with better theoretical and practical performances in some applications. We computationally evaluate a large class of SM in order to assess if these improvements carry over to the IP setting. For this we build a unified scheme that covers many of the SM proposed in the literature, comprised some often overlooked features like projection and dynamic generation of variables. We fine-tune the many algorithmic parameters of the resulting large class of SM, and we test them on two different Lagrangian duals of the Fixed-Charge Multicommodity Capacitated Network Design problem, in order to assess the impact of the characteristics of the problem on the optimal algorithmic choices. Our results show that, if extensive tuning is performed, SM can be competitive with more sophisticated approaches when the tolerance required for solution is not too tight, which is the case when solving LDs of IPs.

Keywords: Subgradient methods, Nondifferentiable Optimization, Computational analysis, Lagrangian relaxation, Multicommodity Network Design

The final publication is available at Springer via http://dx.doi.org/10.1007/s12532-017-0120-7. Thanks to the provisions of Springer's Copyright Transfer Statement, you can download the Author's accepted manuscript version here. The paper is also available on SharedIt.


A Testbed for Flexible and Energy-efficient Resource Management with Virtualized LTE-A Nodes

N. Iardella, G. Nardini, G. Stea, A. Virdis, A. Frangioni, L. Galli, D. Sabella, F. Mauro, G. Dell'Aera, M. Caretti

Fifth International Workshop on Cloud Technologies and Energy Efficiency in Mobile Communication Networks (CLEEN 2017), Turin, June 22 2017

Abstract:This paper describes the software architecture and the implementation of a fully operational testbed that demonstrates the benefits of flexible, dynamic resource allocation with virtualized LTE-A nodes. The testbed embodies and specializes the general software architecture devised within the Flex5Gware EU project, and focuses on two intelligent programs: the first one is a Global Scheduler, that coordinates radio resource allocation among interfering nodes; the second one is a Global Power Manager, which switches on/off nodes based on their expected and measured load over a period of minutes. The software framework is written using open-source software, and includes fast, scalable optimization algorithms at both components. Moreover, it supports virtualized BaseBand Units, implemented using OpenAir-Interface, that can run on physical and virtual machines. We present the results obtained via on-field measurements, that demonstrate the feasibility and benefits of our approach.

Keywords: Coordinated Scheduling, power saving, software framework, Cloud-RAN, testbed, OpenAirInterface, Flex5Gware

The final publication is available at http://dx.doi.org/10.23919/CLEEN.2017.8045910. Thanks to the provisions of IEEE Copyright Transfer Agreement, you can download the accepted manuscript version here.


Flexible dynamic Coordinated Scheduling in Virtual-RAN deployments

N. Iardella, G. Nardini, G. Stea, A. Virdis, A. Frangioni, L. Galli, D. Sabella, F. Mauro, G. Dell'Aera, M. Caretti

IEEE International Conference on Communications – Workshop on Flexible Networks (IEEE ICC2017 - FlexNets 2017), Paris, May 21-25 2017

Abstract: Using Coordinated Scheduling (CS), eNodeBs in a cellular network dynamically agree on which Resource Blocks (not) to use, so as to reduce the interference, especially for cell-edge users. This paper describes a software framework that allows dynamic CS to occur among a relatively large number of nodes, as part of a more general framework of network management devised within the Flex5Gware project. The benefits of dynamic CS, in terms of spectrum efficiency and resource saving, are illustrated by means of simulation and with live measurements on a prototype implementation using virtualized eNodeBs.

Keywords: Coordinated Scheduling, CoMP, Virtual RAN

The final publication is available at http://dx.doi.org/10.1109/ICCW.2017.7962645. Thanks to the provisions of IEEE Copyright Transfer Agreement, you can download the accepted manuscript version here.


Scalability and Energy Efficiency of Coordinated Scheduling in Cellular Networks Towards 5G

G. Nardini, G. Stea, A. Virdis, A. Frangioni, L. Galli, D. Sabella, G. Dell'Aera

Fifth International Workshop on Cloud Technologies and Energy Efficiency in Mobile Communication Networks (CLEEN 2017), Turin, June 22 2017

Abstract: Coordinated Scheduling (CS) is one of the main techniques to control inter-cell interference in present (4G) and future (5G) cellular networks. We show that coordination of a cluster of nodes can be formulated as an optimization problem, i.e., placing the Resource Blocks in each nodes' subframe with the least possible overlapping with neighboring nodes. We provide a clever formulation, which allow optimal solutions to be computed in clusters of ten nodes, and algorithms that compute good suboptimal solutions for clusters of several tens of nodes, fast enough for a network to respond to traffic changes in real time. This allows us to assess the relationship between the scale at which CS is performed and its benefits in terms of network energy efficiency and cell-edge user rate. Our results show that optimal CS allows a significant protection of cell-edge users. Moreover, this goes hand-in-hand with a significant reduction in the number of allocated Resource Blocks, which in turn allows an operator to reduce its energy consumption. Both benefits actually increase with the size of the clusters.

Keywords: CoMP-CS, energy-efficiency, scheduling, mobile networks, optimization, simulation

The final publication is available at http://dx.doi.org/10.23919/CLEEN.2017.8045909 . Thanks to the provisions of IEEE Copyright Transfer Agreement, you can download the accepted manuscript version here.


2016


Inexact Stabilized Benders' Decomposition Approaches, with Application to Chance-Constrained Problems with Finite Support

W. van Ackooij, A. Frangioni, W. de Oliveira

Computational Optimization and Applications 65(3), 637–669, 2016

Abstract: We explore modifications of the standard cutting-plane approach for minimizing a convex nondifferentiable function, given by an oracle, over a combinatorial set, which is the basis of the celebrated (generalized) Benders' decomposition approach. Specifically, we combine stabilization–in two ways: via a trust region in the L1 norm, or via a level constraint–and inexact function computation (solution of the subproblems). Managing both features simultaneously requires a nontrivial convergence analysis; we provide it under very weak assumptions on the handling of the two parameters (target and accuracy) controlling the informative on-demand inexact oracle corresponding to the subproblem, strengthening earlier know results. This yields new versions of Benders' decomposition, whose numerical performance are assessed on a class of hybrid robust and chance-constrained problems that involve a random variable with an underlying discrete distribution, are convex in the decision variable, but have neither separable nor linear probabilistic constraints. The numerical results show that the approach has potential, especially for instances that are difficult to solve with standard techniques.

Keywords: Benders' decomposition, Chance-Constrained Problems, Mixed-Integer Optimization, Nonsmooth Optimization, Stabilization, Inexact Function Computation

The final publication is available at Springer via http://dx.doi.org/10.1007/s10589-016-9851-z. Thanks to the provisions of Springer's Copyright Transfer Statement, you can download the Author's accepted manuscript version here.


Approximated Perspective Relaxations: a Project&Lift Approach

A. Frangioni, F. Furini, C. Gentile

Computational Optimization and Applications 63(3), 705–735, 2016

Abstract: The Perspective Reformulation (PR) of a Mixed-Integer NonLinear Program with semi-continuous variables is obtained by replacing each term in the (separable) objective function with its convex envelope. Solving the corresponding continuous relaxation requires appropriate techniques. Under some rather restrictive assumptions, the Projected PR (P^2R) can be defined where the integer variables are eliminated by projecting the solution set onto the space of the continuous variables only. This approach produces a simple piecewise-convex problem with the same structure as the original one; however, this prevents the use of general-purpose solvers, in that some variables are then only implicitly represented in the formulation. We show how to construct an Approximated Projected PR (AP^2R) whereby the projected formulation is "lifted" back to the original variable space, with each integer variable expressing one piece of the obtained piecewise-convex function. In some cases, this produces a reformulation of the original problem with exactly the same size and structure as the standard continuous relaxation, but providing substantially improved bounds. In the process we also substantially extend the approach beyond the original P^2R development by relaxing the requirement that the objective function be quadratic and the left endpoint of the domain of the variables be non-negative. While the AP^2R bound can be weaker than that of the PR, this approach can be applied in many more cases and allows direct use of off-the-shelf MINLP software; this is shown to be competitive with previously proposed approaches in some applications.

Keywords: Mixed-Integer NonLinear Problems, Semicontinuous Variables, Perspective Reformulation, Projection

The final publication is available at Springer via http://dx.doi.org/10.1007/s10589-015-9787-8. Thanks to the provisions of Springer's Copyright Transfer Statement, you can download the Author's accepted manuscript version here.


Statistically Sound Experiments with OpenAirInterface Cloud-RAN Prototypes

N. Iardella, G. Stea, A. Virdis, D. Sabella, A. Frangioni

in Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering 172, Cognitive Radio Oriented Wireless Networks, D. Noguet, K. Moessner and J. Palicot (Eds.), 754–766, Springer-Verlag, 2016

Abstract: Research on 4G/5G cellular networks is progressively shifting to paradigms that involve virtualization and cloud computing. Within this context, prototyping assumes a growing importance as a performance evaluation method, besides large-scale simulations, as it allows one to evaluate the computational requirements of the system. Both approaches share the need for a structured and statistically sound experiment management, with the goal of reducing errors in both planning and measurement collection. In this paper, we describe how we solve the problem with OpenAirInterface (OAI), an open-source system for prototyping 4/5G cellular networks. We show how to integrate a sound, validated software, namely ns2-measure, with OAI, so as to enable harvesting samples of arbitrary metrics in a structured way, and we describe scripts that al-low structured experiment management, such as launching a parametric simula-tion campaign and harvesting its results in a plot-ready format. We complete the paper by demonstrating some advantages brought about by our modifications.

Keywords: LTE-A, Cloud-RAN, OpenAirInterface, performance evaluation, experimentation, ns2-measure

The publication is available at Springer via http://dx.doi.org/10.1007/978-3-319-40352-6_62.


2015


Accelerated Multigrid for Graph Laplacian Operators

P. Dell'Acqua, A. Frangioni, S. Serra Capizzano

Applied Mathematics and Computation 270, 193–215, 2015

Abstract: We consider multigrid type techniques for the numerical solution of large linear systems whose coefficient matrices show the structure of (weighted) graph Laplacian operators. We combine ad hoc coarser-grid operators with iterative techniques used as smoothers. Empirical tests suggest that the most effective smoothers have to be of Krylov type with subgraph preconditioners, while the projectors, which define the coarser-grid operators, have to be designed for maintaining as much as possible the graph structure of the projected matrix at the inner levels. The main theoretical contribution of the paper is the characterization of necessary and sufficient conditions for preserving the graph structure. In this framework it is possible to explain why the classical projectors inherited from differential equations are good in the differential context and why they may behave unsatisfactorily for unstructured graphs. Furthermore, we report and discuss several numerical experiments, showing that our approach is effective even in very difficult cases where the known approaches are rather slow. As a conclusion, the main advantage of the proposed approach is the robustness, since our multigrid type technique behaves uniformly well in all cases, without requiring either the setting or the knowledge of critical parameters, as it happens when using the best known preconditioned Krylov methods.

Keywords: Graph Matrices, Multigrid, Conditioning and Preconditioning

The final publication is available at http://dx.doi.org/10.1016/j.amc.2015.08.033. Thanks to the provisions about Scholarly Sharing, you can also download the Author's accepted manuscript version here.


Delay-Constrained Shortest Paths: Approximation Algorithms and Second-Order Cone Models

A. Frangioni, L. Galli, M.G. Scutellà

Journal of Optimization Theory and Applications 164(3), 1051–1077, 2015

Abstract: Routing real-time traffic with maximum packet delay in contemporary telecommunication networks requires not only choosing a path, but also reserving transmission capacity along its arcs, as the delay is a nonlinear function of both components. The problem is known to be solvable in polynomial time under quite restrictive assumptions, i.e., Equal Rate Allocations (all arcs are reserved the same capacity) and identical reservation costs, whereas the general problem is NP-hard. We first extend the approaches to the ERA version to a pseudo-polynomial Dynamic Programming one for integer arc costs, and a FPTAS for the case of general arc costs. We then show that the general problem can be formulated as a mixed-integer Second-Order Cone (SOCP) program, and therefore solved with off-the-shelf technology. We compare two formulations: one based on standard big-M constraints, and one where Perspective Reformulation techniques are used to tighten the continuous relaxation. Extensive computational experiments on both real-world networks and randomly-generated realistic ones show that the ERA approach is fast and provides an effective heuristic for the general problem whenever it manages to find a solution at all, but it fails for a significant fraction of the instances that the SOCP models can solve. We therefore propose a three-pronged approach that combines the fast running time of the ERA algorithm and the effectiveness of the SOCP models, and show that it is capable of solving realistic-sized instances with high accuracy at different levels of network load in a time compatible with real-time usage in an operating environment.

Keywords: Delay-constrained Routing, Approximation Algorithms, Mixed-Integer NonLinear Programing, Second-Order Cone Model, Perspective Reformulation

The final publication is available at Springer via http://dx.doi.org/10.1007/s10957-014-0624-5, but a Technical Report version can be freely downloaded. The paper is also available on SharedIt.


New MIP Formulations for the Single-Unit Commitment Problems with Ramping Constraints

A. Frangioni, C. Gentile

Technical Report, IASI R. 15-06, 2015

Abstract: The Unit Commitment (UC) problem in electrical power production requires to optimally operate a set of power generation units over a short time horizon (one day to a week). Operational constraints depend on the type of the generation units (e.g., thermal, hydro, nuclear, ...). The Single-Unit Commitment (1UC) problem is the restriction of UC that considers only one unit; it is useful in deregulated systems (for the so-called self-scheduling), and when decomposition methods are applied to (multi-units) UC. Typical constraints in (1UC) concern minimum and maximum power output, minimum-up and -down time, start-up and shut-down limits, ramp-up and ramp-down limits. In this work we present the first MIP formulation that describes the convex hull of the feasible solutions of (1UC) further improved to include also ramp-up and ramp-down constraints. Our formulation has a polynomial number of both variables and constraints and it is based on the efficient Dynamic Programming algorithm proposed in [A16].

Keywords: Unit Commitment problem, Ramp Constraints, MIP Formulations, Dynamic Programming

Download.


Optimal Joint Path Computation and Rate Allocation for Real-time Traffic

A. Frangioni, L. Galli. G. Stea

The Computer Journal 58(6), 1416–1430, 2015

Abstract: Computing network paths under worst-case delay constraints has been the subject of abundant literature in the past two decades. Assuming Weighted Fair Queueing scheduling at the nodes, this translates to computing paths and reserving rates at each link. The problem is NP-hard in general, even for a single path; hence polynomial-time heuristics have been proposed in the past, that either assume equal rates at each node, or compute the path heuristically and then allocate the rates optimally on the given path. In this paper we show that the above heuristics, albeit finding optimal solutions quite often, can lead to failing of paths at very low loads, and that this could be avoided by solving the problem, i.e., path computation and rate allocation, jointly at optimality. This is possible by modeling the problem as a mixed-integer second-order cone program and solving it optimally in split-second times for relatively large networks on commodity hardware; this approach can also be easily turned into a heuristic one, trading a negligible increase in blocking probability for one order of magnitude of computation time. Extensive simulations show that these methods are feasible in today's ISPs networks and they significantly outperform the existing schemes in terms of blocking probability.

Keywords: QoS Routing, Delay bounds, Joint Path Computation and Rate Allocation, Second-Order Cone Model, Simulations

The published paper is available at http://dx.doi.org/10.1093/comjnl/bxu053, but thanks to the Oxford Journals License to Publish, having passed 12 months from the on-line publication date you can download the POST-PRINT version of the Article here.


Large-scale Unit Commitment under uncertainty

M. Tahanan, W. van Ackooij, A. Frangioni, F. Lacalandra

4OR 13(2), 115–171, 2015

Abstract: The Unit Commitment problem in energy management aims at finding the optimal productions schedule of a set of generation units while meeting various system-wide constraints. It has always been a large-scale, non-convex difficult problem, especially in view of the fact that operational requirements imply that it has to be solved in an unreasonably small time for its size. Recently, the ever increasing capacity for renewable generation has strongly increased the level of uncertainty in the system, making the (ideal) Unit Commitment model a large-scale, non-convex, uncertain (stochastic, robust, chance-constrained) program. We provide a survey of the literature on methods for the Uncertain Unit Commitment problem, in all its variants. We start with a review of the main contributions on solution methods for the deterministic versions of the problem, focusing on those based on mathematical programming techniques that are more relevant for the uncertain versions of the problem. We then present and categorize the approaches to the latter, also providing entry points to the relevant literature on optimization under uncertainty.

Keywords: Unit Commitment, Uncertainty, Large-Scale Optimization, Survey

The published paper is available at http://dx.doi.org/10.1007/s10288-014-0279-y. Thanks to the provisions of Springer's Copyright Transfer Statement, you can download the Author's accepted manuscript version here. The paper is also available on SharedIt.


2014


Pairwise Compatibility Graphs of Caterpillars

T. Calamoneri, A. Frangioni, B. Sinamieri

The Computer Journal 57(11), 1616–1623, 2014

Abstract: A graph G = (V, E) is called a pairwise compatibility graph (PCG) if there exists an edge-weighted tree T and two non-negative real numbers dmin and dmax such that each leaf lu of T corresponds to a vertex u in V and there is an edge (u, v) in E if and only if dmin <= dT,w(lu, lv) <= dmax, where dT,w(lu, lv) is the sum of the weights of the edges on the unique path from lu to lv in T. In this paper, we focus our attention on PCGs for which the witness tree is a caterpillar. We first give some properties of graphs that are PCGs of a caterpillar. We formulate this problem as an integer linear programming problem and we exploit this formulation to show that for the wheels on n vertices Wn, n = 7, ... , 11, the witness tree cannot be a caterpillar. Related to this result, we conjecture that no wheel is PCG of a caterpillar. Finally, we state a more general result proving that any pairwise compatibility graph admits a full binary tree as witness tree T.

Keywords: Pairwise Comparability Graphs, Caterpillar, Centipede, Wheel

The published paper is available at http://dx.doi.org/10.1093/comjnl/bxt068, but thanks to the Oxford Journals License to Publish, having passed 12 months from the on-line publication date you can download the POST-PRINT version of the Article here.


Perspective Reformulations of the CTA Problem with L2 Distances

J. Castro, A. Frangioni, C. Gentile

Operations Research 62(4), 891–909, 2014

Abstract: Any institution that disseminates data in aggregated form has the duty to ensure that individual confidential information is not disclosed, either by not releasing data or by perturbing the released data, while maintaining data utility. Controlled tabular adjustment (CTA) is a promising technique of the second type where a protected table that is close to the original one in some chosen distance is constructed. The choice of the specific distance shows a trade-off: while the Euclidean distance has been shown (and is confirmed here) to produce tables with greater "utility", it gives rise to Mixed Integer Quadratic Problems (MIQPs) with pairs of linked semi-continuous variables that are more difficult to solve than the Mixed Integer Linear Problems corresponding to linear norms. We provide a novel analysis of Perspective Reformulations (PRs) for this special structure; in particular, we devise a Projected PR (P2R) which is piecewise-conic but simplifies to a (nonseparable) MIQP when the instance is symmetric. We then compare different formulations of the CTA problem, showing that the ones based on P2R most often obtain better computational results.

Keywords: Mixed Integer Quadratic Programming, Perspective Reformulation, Data Privacy, Statistical Disclosure Control, Tabular Data Protection, Controlled Tabular Adjustment

The published paper is available at http://dx.doi.org/10.1287/opre.2014.1293. A Technical Report version is available here.


Computational Evaluation of Multi-Iterative Approaches for Solving Graph-Structured Large Linear Systems

P. Dell'Acqua, A. Frangioni, S. Serra Capizzano

CALCOLO 52(4), 425–444, 2015

Abstract: We analyze the practical efficiency of multi-iterative techniques for the numerical solution of graph-structured large linear systems. In particular we evaluate the effectiveness of several combinations of coarser-grid operators which preserve the graph structure of the projected matrix at the inner levels and smoothers. We also discuss and evaluate some possible strategies (inverse projection and dense projection) to connect coarser-grid operators and graph-based preconditioners. Our results show that an appropriate choice of adaptive projectors and tree-based preconditioned conjugate gradient methods result in highly effective and robust approaches, that are capable to efficiently solve large-scale, difficult systems, for which the known iterative solvers alone can be rather slow.

Keywords: Graph Matrices, Multigrid, Conditioning and Preconditioning

The final publication is available at Springer via http://dx.doi.org/10.1007/s10092-014-0123-y. A large part of the content of this article can be found in this Technical Report version The paper is also available on SharedIt.


Bicriteria Data Compression

A. Farruggia, P. Ferragina, A. Frangioni, R. Venturini

Proceedings of the 25th Annual ACM-SIAM Symposium on Discrete Algorithms (SODA14), 1582–1595, Portland, January 5-7 2014

Abstract: The advent of massive datasets (and the consequent design of high-performing distributed storage systems) have reignited the interest of the scientific and engineering community towards the design of lossless data compressors which achieve effective compression ratio and very efficient decompression speed. Lempel-Ziv's LZ77 algorithm is the de facto choice in this scenario because of its decompression speed and its flexibility in trading decompression speed versus compressed-space efficiency. Each of the existing implementations offers a trade-off between space occupancy and decompression speed, so software engineers have to content themselves by picking the one which comes closer to the requirements of the application in their hands. Starting from these premises, and for the first time in the literature, we address in this paper the problem of trading optimally, and in a principled way, the consumption of these two resources by introducing the Bicriteria LZ77-Parsing problem, which formalizes in a principled way what data-compressors have traditionally approached by means of heuristics. The goal is to determine an LZ77 parsing which minimizes the space occupancy in bits of the compressed file, provided that the decompression time is bounded by a fixed amount (or vice-versa). This way, the software engineer can set its space (or time) requirements and then derive the LZ77 parsing which optimizes the decompression speed (or the space occupancy, respectively). We solve this problem efficiently in O(n log2 n) time and optimal linear space within a small, additive approximation, by proving and deploying some specific structural properties of the weighted graph derived from the possible LZ77-parsings of the input file. The preliminary set of experiments shows that our novel proposal dominates all the highly engineered competitors, hence offering a win-win situation in theory&practice.

The published paper is available at http://dx.doi.org/10.1137/1.9781611973402.115. A Technical Report version is available here.


Generalized Bundle Methods for Sum-Functions with "Easy" Components: Applications to Multicommodity Network Design

A. Frangioni, E. Gorgone

Mathematical Programming 145(1), 133–161, 2014

Abstract: We propose a version of the bundle scheme for convex nondifferentiable optimization suitable for the case of a sum-function where some of the components are "easy", that is, they are Lagrangian functions of explicitly known compact convex programs. This corresponds to a stabilized partial Dantzig-Wolfe decomposition, where suitably modified representations of the "easy" convex subproblems are inserted in the master problem as an alternative to iteratively inner-approximating them by extreme points, thus providing the algorithm with exact information about a part of the dual objective function. The resulting master problems are potentially larger and less well-structured than the standard ones, ruling out the available specialized techniques and requiring the use of general-purpose solvers for their solution; this strongly favors piecewise-linear stabilizing terms, as opposed to the more usual quadratic ones, which in turn may have an adverse effect on the convergence speed of the algorithm, so that the overall performance may depend on appropriate tuning of all these aspects. Yet, very good computational results are obtained in at least one relevant application: the computation of tight lower bounds for Fixed-Charge Multicommodity Min-Cost Flow problems.

Keywords: Nondifferentiable Optimization, Bundle methods, Lagrangian Relaxation, Partial Dantzig-Wolfe Decomposition, Multicommodity Network Design.

The published paper is available at http://dx.doi.org/10.1007/s10107-013-0642-3. Thanks to the provisions of Springer's Copyright Transfer Statement, the author's final version of the paper is available here. Actually, the final version of the paper has been simplified somewhat w.r.t. the initial development in order to only use linear duality (as opposed to Fenchel's duality); readers interested in the Convex Analysis perspective of the results may want to consult the Technical Report version as well. The paper is also available on SharedIt.


2013


A Nonmonotone Proximal Bundle Method With (Potentially) Continuous Step Decisions

A. Astorino, A. Frangioni, A. Fuduli, E. Gorgone

SIAM Journal on Optimization 23(3), 1784–1809, 2013

Abstract: We present a convex nondifferentiable minimization algorithm of proximal bundle type that does not rely on measuring descent of the objective function to declare the so-called "serious steps"; rather, a merit function is defined which is decreased at each iteration, leading to a (potentially) continuous choice of the stepsize between zero (the null step) and one (the serious step). By avoiding the discrete choice the convergence analysis is simplified, and we can more easily obtain efficiency estimates for the method. Some choices for the step selection actually reproduce the dichotomic behavior of standard proximal bundle methods, but shedding new light on the rationale behind the process, and ultimately with different rules; furthermore, using nonlinear upper models of the function in the step selection process can lead to actual fractional steps.

Keywords: Nonsmooth Optimization, Bundle Methods, Nonmonotone Algorithm

The published paper is available at http://dx.doi.org/10.1137/120888867. Due to the provisions of SIAM Copyright Assignment Agreement, it can also be downloaded here.


A Stabilized Structured Dantzig-Wolfe Decomposition Method

A. Frangioni, B. Gendron

Mathematical Programming 140, 45–76, 2013

Abstract: We discuss an algorithmic scheme, which we call the stabilized structured Dantzig-Wolfe decomposition method, for solving large-scale structured linear programs. It can be applied when the subproblem of the standard Dantzig-Wolfe approach admits an alternative master model amenable to column generation, other than the standard one in which there is a variable for each of the extreme points and extreme rays of the corresponding polyhedron. Stabilization is achieved by the same techniques developed for the standard Dantzig-Wolfe approach and it is equally useful to improve the performance, as shown by computational results obtained on an application to the multicommodity capacitated network design problem.

Keywords: Dantzig-Wolfe Decomposition Method, Structured Linear Program, Multicommodity Capacitated Network Design Problem, Reformulation, Stabilization

The published paper is available at http://dx.doi.org/10.1007/s10107-012-0626-8. Thanks to the provisions of Springer's Copyright Transfer Statement, the author's final version of the paper is available here. A somewhat different presentation of the results is available in the Technical Report version.


A Library for Continuous Convex Separable Quadratic Knapsack Problems

A. Frangioni, E. Gorgone

European Journal of Operational Research 229(1), 37–40, 2013

Abstract: The Continuous Convex Separable Quadratic Knapsack problem (CQKnP) is an easy but useful model that has very many different applications. Although the problem can be solved quickly, it must typically be solved very many times within approaches to (much) more difficult models; hence an efficient solution approach is required. We present and discuss a small open-source library for its solution that we have recently developed and distributed.

Keywords: Quadratic Programming, Continuous Nonlinear Resource Allocation Problem, Lagrangian Relaxation, Optimization Software.

The published paper is available at http://dx.doi.org/10.1016/j.ejor.2013.02.038. Thanks to the provisions of Elsevier's Journal Publishing Agreement about Permitted Scholarly Posting, the Accepted Author Manuscript is available here.


2012


Beyond Canonical DC-Optimization: the Single Reverse Polar Problem

G. Bigi, A. Frangioni, Q.H. Zhang

Journal of Optimization Theory and Applications, 155(2), 430–452, 2012

Abstract: We propose a novel generalization of the Canonical Difference of Convex problem (CDC), and we study the convergence of outer approximation algorithms for its solution, which use an approximated oracle for checking the global optimality conditions. Although the approximated optimality conditions are similar to those of CDC, this new class of problems is shown to significantly differ from its special case. Indeed, outer approximation approaches for CDC need be substantially modified in order to cope with the more general problem, bringing to new algorithms. We develop a hierarchy of conditions that guarantee global convergence, and we build three different cutting plane algorithms relying on them.

Keywords: Single Reverse Polar Problems, Approximate Optimality Conditions, Cutting Plane Algorithms

The published paper is available at http://dx.doi.org/10.1007/s10957-012-0069-7. A Technical Report version is available here. The paper is also available on SharedIt.


A Storm of Feasibility Pumps for Nonconvex MINLP

C. D'Ambrosio, A. Frangioni, L. Liberti, A. Lodi

Mathematical Programming 136(2), 375–402, 2012

Abstract: One of the foremost difficulties in solving Mixed-Integer Nonlinear Programs, either with exact or heuristic methods, is to find a feasible point. We address this issue with a new feasibility pump algorithm tailored for nonconvex Mixed-Integer Nonlinear Programs. Feasibility pumps are algorithms that iterate between solving a continuous relaxation and a mixed-integer relaxation of the original problems. Such approaches currently exist in the literature for Mixed-Integer Linear Programs and convex Mixed-Integer Nonlinear Programs: both cases exhibit the distinctive property that the continuous relaxation can be solved in polynomial time. In nonconvex Mixed-Integer Nonlinear Programming such a property does not hold, and therefore special care has to be exercised in order to allow feasibility pump algorithms to rely only on local optima of the continuous relaxation. Based on a new, high level view of feasibility pump algorithms as a special case of the well-known successive projection method, we show that many possible different variants of the approach can be developed, depending on how several different (orthogonal) implementation choices are taken. A remarkable twist of feasibility pump algorithms is that, unlike most previous successive projection methods from the literature, projection is "naturally" taken in two different norms in the two different subproblems. To cope with this issue while retaining the local convergence properties of standard successive projection methods we propose the introduction of appropriate norm constraints in the subproblems; these actually seem to significantly improve the practical performance of the approach. We present extensive computational results on the MINLPLib, showing the effectiveness and efficiency of our algorithm.

Keywords: Feasibility Pump, MINLP, Global Optimization, nonconvex NLP.

The published paper is available at http://dx.doi.org/10.1007/s10107-012-0608-x. Thanks to the provisions of Springer's Copyright Transfer Statement, the author's final version of the paper is available here. The paper is also available on SharedIt.


2011


Piecewise Quadratic Approximations in Convex Numerical Optimization

A. Astorino, A. Frangioni, M. Gaudioso, E. Gorgone

SIAM Journal on Optimization 21(4), 1418–1438, 2011

Abstract: We present a bundle method for convex nondifferentiable minimization where the model is a piecewise quadratic convex approximation of the objective function. Unlike standard bundle approaches, the model only needs to support the objective function from below at a properly chosen (small) subset of points, as opposed to everywhere. We provide the convergence analysis for the algorithm, with a general form of master problem which combines features of trust-region stabilization and proximal stabilization, taking care of all the important practical aspects such as proper handling of the proximity parameters and of the bundle of information. Numerical results are also reported.

Keywords: NonDifferentiable Optimization, Bundle methods, Quadratic model.

The published paper is available at http://dx.doi.org/10.1137/100817930. Due to the provisions of SIAM Copyright Assignment Agreement, it can also be downloaded here.


A Linear Programming Model for Traffic Engineering in 100% Survivable Networks Under Combined IS-IS/OSPF and MPLS-TE Protocols

D. Cherubini, A. Fanni, A. Frangioni, A. Mereu, C. Murgia, M.G. Scutellà, P. Zuddas

Computers & Operations Research 38(12), 1805–1815, 2011

Abstract: This paper concerns the problem of minimizing the maximum link utilization of IP telecommunication networks under the joint use of traditional IGP routing protocols, such as IS-IS and OSPF, and the more sophisticated MPLS-TE technology. It is shown that the problem of choosing the optimal routing, both under working conditions and under single link failure scenarios, can be casted as a Linear Program of reasonable size. The proposed model is validated by a computational experimentation performed on synthetic and real networks: the obtained results show that the new approach considerably reduces the maximum link utilization of the network with respect to simply optimizing the IGP weights, at the cost of adding a limited number of label switched paths (LSPs). Optimizing the set of IGP weights within the overall approach further improves performances. The computational time needed to solve the models matches well with real-time requirements, and makes it possible to consider network design problems.

Keywords: Routing problems, LP models, Robustness

The published paper is available at http://dx.doi.org/10.1016/j.cor.2011.02.019. A Technical Report version is available here.


Projected Perspective Reformulations With Applications in Design Problems

A. Frangioni, C. Gentile, E. Grande, A. Pacifici

Operations Research 59(5), 1225–1232, 2011

Abstract: The Perspective Relaxation (PR) is a general approach for constructing tight approximations to Mixed Integer Non Linear Programs (MINLP) with semicontinuous variables. The PR of a MINLP can be formulated either as a Mixed Integer Second Order Cone Program (provided that the original objective function is SOCP-representable), or as a Semi-Infinite MINLP. In this paper, we show that under some further assumptions (rather restrictive, but satisfied in several practical applications), the PR of a Mixed Integer Quadratic Program can also be reformulated as a piecewise quadratic problem, ultimately yielding a QP relaxation of roughly the same size of the standard continuous relaxation. Furthermore, if the original problem has some exploitable structure, then this structure is typically preserved in the reformulation, thus allowing the construction of specialized approaches for solving the PR. We report on implementing these ideas on two MIQPs with appropriate structure: a sensor placement problem and a quadratic-cost (single-commodity) network design problem.

Keywords: Mixed Integer Non Linear Problems, Semicontinuous Variables, Perspective Relaxation, Sensor Placement Problem, Network Design Problem

The published paper is available at http://dx.doi.org/10.1287/opre.1110.0930. A Technical Report version is available here.


Sequential Lagrangian-MILP Approaches for Unit Commitment Problems

A. Frangioni, C. Gentile, F. Lacalandra

International Journal of Electrical Power and Energy Systems 33, 585–593, 2011

Abstract: The short-term Unit Commitment (UC) problem in hydro-thermal power generation is a fundamental problem in short-term electrical generation scheduling. Historically, Lagrangian techniques have been used to tackle this large-scale, difficult Mixed-Integer NonLinear Program (MINLP); this requires being able to efficiently solve the Lagrangian subproblems, which has only recently become possible (efficiently enough) for units subject to significant ramp constraints. In the last years, alternative approaches have been devised where the nonlinearities in the problem are approximated by means of piecewise-linear functions, so that UC can be approximated by a Mixed-Integer Linear Program (MILP); in particular, using a recently developed class of valid inequalities for the problem, called "Perspective Cuts", significant improvements have been obtained in the efficiency and effectiveness of the solution algorithms. These two different approaches have complementary strengths; Lagrangian ones provide very good lower bounds quickly, but they require sophisticated heuristics–which may need to be changed every time that the mathematical model changes–for producing actual feasible solutions. MILP approaches have been shown to be able to provide very good feasible solutions quickly, but their lower bound is significantly worse. We present a sequential approach which combines the two methods, trying to exploit each one's strengths; we show, by means of extensive computational experiments on realistic instances, that the sequential approach may exhibit significantly better efficiency than either of the two basic ones, depending on the degree of accuracy requested to the feasible solutions.

Keywords: Hydro-Thermal Unit Commitment, Mixed-Integer NonLinear Program Formulations, Lagrangian Relaxation

The published paper is available at http://dx.doi.org/10.1016/j.ijepes.2010.12.013. A Technical Report version is available here.


Static and Dynamic Routing Under Disjoint Dominant Extreme Demands

A. Frangioni, F. Pascali, M.G. Scutellà

Operations Research Letters 39(1), 36–39, 2011

Abstract: This paper considers the special case of the robust network design problem where the dominant extreme points of the demand polyhedron have a disjoint support. In this case static and dynamic routing lead to the same optimal solution, both for the splittable and the unspittable case. As a consequence, the robust network design problem with (splittable) dynamic routing is polynomially solvable, whereas it is coNP-Hard in the general case. This result applies to particular instances of the single-source Hose model.

Keywords: Robust Optimization, Network Design, Hose Model

The published paper is available at http://dx.doi.org/10.1016/j.orl.2010.11.009. A Technical Report version is available here (but be advised that the final paper has changed significantly).


Transforming Mathematical Models Using Declarative Reformulation Rules

A. Frangioni, L. Perez Sanchez

in Lecture Notes in Computer Science 6683, 5th Learning and Intelligent OptimizatioN Conference - LION 5, C.A. Coello Coello (Ed.), 407–422, Springer-Verlag, 2011

Abstract: Reformulation is one of the most useful and widespread activities in mathematical modeling, in that finding a "good" formulation is a fundamental step in being able so solve a given problem. Currently, this is almost exclusively a human activity, with next to no support from modeling and solution tools. In this paper we show how the reformulation system defined in [13] allows to automatize the task of exploring the formulation space of a problem, using a specific example (the Hyperplane Clustering Problem). This nonlinear problem admits a large number of both linear and nonlinear formulations, which can all be generated by defining a relatively small set of general Atomic Reformulation Rules (ARR). These rules are not problem-specific, and could be used to reformulate many other problems, thus showing that a general-purpose reformulation system based on the ideas developed in [13] could be feasible.

The published paper is available at www.springerlink.com. Thanks to the copyright agreement of Lecture Notes on Computer Science, the author's final version is available here.


2010


Outer Approximation Algorithms for Canonical DC Problems

G. Bigi, A. Frangioni, Q.H. Zhang

Journal of Global Optimization 46(2), 163–189, 2010

Abstract: The paper discusses a general framework for outer approximation type algorithms for the canonical DC optimization problem. The algorithms rely on a polar reformulation of the problem and exploit an approximated oracle in order to check global optimality. Consequently, approximate optimality conditions are introduced and bounds on the quality of the approximate global optimal solution are obtained. A thorough analysis of properties which guarantee convergence is carried out; two families of conditions are introduced which lead to design six implementable algorithms, whose convergence can be proved within a unified framework.

Keywords: DC problems, Polar Set, Approximate Optimality Conditions, Cutting Plane Algorithms

The published paper is available at http://dx.doi.org/10.1007/s10898-009-9415-1. A Technical Report version is available here. The paper is also available on SharedIt.


Experiments with a Feasibility Pump Approach for Non-Convex MINLPs

C. D'Ambrosio, A. Frangioni, L. Liberti, A. Lodi

in Lecture Notes in Computer Science 6049, 9th International Symposium on Experimental Algorithms - SEA 2010, P. Festa (Ed.), Springer-Verlag, 350–360, 2010

Abstract: We present a new Feasibility Pump algorithm tailored for nonconvex Mixed Integer Nonlinear Programming problems. Differences with the previously proposed Feasibility Pump algorithms and difficulties arising from nonconvexities in the models are extensively discussed. The main methodological innovations of this variant are: (a) the first subproblem is a nonconvex continuous Nonlinear Program, which is solved using global optimization techniques; (b) the solution method for the second subproblem is complemented by a tabu list. We exhibit computational results showing the good performance of the algorithm on instances taken from the MINLPLib.

Keywords: Mixed-Integer Nonlinear Programming, nonconvex, heuristic method, experiments.

The original publication is available at www.springerlink.com. Thanks to the copyright agreement of Lecture Notes on Computer Science, the author's final version is available here.


On Interval-subgradient and No-good Cuts

C. D'Ambrosio, A. Frangioni, L. Liberti, A. Lodi

Operations Research Letters 38, 341–345, 2010

Abstract: Interval-gradient cuts are (nonlinear) valid inequalities derived from continuously differentiable nonconvex constraints. In this paper we define interval-subgradient cuts, a generalization to nondifferentiable constraints, and show that no-good cuts with 1-norm are a special case of interval-subgradient cuts. We then briefly discuss what happens if other norms are used.

The published paper is available at http://dx.doi.org/10.1016/j.orl.2010.05.010. A Technical Report version is available here


Projected Perspective Reformulations for MIQP problems

A. Frangioni, C. Gentile, E. Grande, A. Pacifici

Proceedings of the European Workshop on Mixed Integer Nonlinear Programming 2010 (EWMINLP10), P. Bonami, L. Liberti, A.J. Miller, A. Sartenaer editors, Marseille, April 12-16 2010

Abstract: The Perspective Relaxation (PR) is a general approach for constructing tight approximations to Mixed-Integer NonLinear Problems with semicontinuous variables. The PR of a MINLP can be formulated either as a Mixed-Integer Second-Order Cone Program, provided that the original objective function is SOCP-representable, or as a Semi-Infinite MINLP. We show that under some further assumptions-rather restrictive, but satisfied in several practical applications-the PR of Mixed-Integer Quadratic Programs can also be reformulated as a piecewise linear-quadratic problem of roughly the same size of the standard continuous relaxation. Furthermore, if the original problem has some exploitable structure, this is typically preserved in the reformulation, allowing to construct specialized approaches for solving the PR. We report on implementing these ideas on two MIQPs with appropriate structure: a sensor placement problem and a Quadratic-cost (single-commodity) network design problem.

Keywords: Mixed-Integer Quadratic Problems, Perspective Relaxation

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Searching the Best (Formulation, Solver, Configuration) for Structured Problems

A. Frangioni, L. Perez Sanchez

in Complex Systems Design & Management: Proceedings of the First International Conference on Complex Systems Design & Management CSDM 2010, M. Aiguier, F. Bretaudeau and D. Krob (Eds.), Springer-Verlag, 85–97, 2010

Abstract: Complex, hierarchical, multi-scale industrial and natural systems generate increasingly large mathematical models. I-DARE is a structure-aware modeling-reformulating-solving environment based on Declarative Programming, that allows the construction of complex structured models. The main aim of the system is to produce models that can be automatically and algorithmically reformulated to search for the "best" formulation, intended as the one for which the most efficient solution approach is available. This requires exploration of a high-dimensional space comprising all (structured) reformulations of a given instance, all available solvers for (each part of) the formulation, and all possible configurations of the relevant algorithmic parameters for each solver. A fundamental pre-requisite for this exploration is the ability to predict the efficiency of a given (set of) algorithm(s), considering their configuration(s), for a given instance; this is, however, a vastly nontrivial task. This article describes how the I-DARE system organizes the information on the instance at hand in order to make the search in the (formulation, solver, configuration) space possible with several different exploration techniques. In particular, we propose a way to combine general machine learning mechanisms and ad-hoc methods, where available, in order to effectively compute the "objective function" of the search, i.e., the prediction of the effectiveness of a point in the space. We also discuss how this mechanism can take upon itself part of the exploration, the one in the sub-space of configurations, thus simplifying the task to the rest of the system by reducing the dimensionality of the search space it has to traverse.

Keywords: Mathematical Models, Machine Learning, Automatic Algorithm Selection, Reformulation

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2009


On the Choice of Explicit Stabilizing Terms in Column Generation

H. Ben Amor, J. Desrosiers, A. Frangioni

Discrete Applied Mathematics 157(6), 1167–1184, 2009

Abstract: Column generation algorithms are instrumental in many areas of applied optimization, where linear programs with an enormous number of columns need to be solved. Although succesfully employed in many applications, these approaches suffer from well-known instability issues that somewhat limit their efficiency. Building on the theory developed for nondifferentiable optimization algorithms, a large class of stabilized column generation algorithms can be defined which avoid the instability issues by using an explicit stabilizing term in the dual; this amounts at considering a (generalized) augmented Lagrangian of the primal master problem. Since the theory allows for a great degree of flexibility in the choice and in the management of the stabilizing term, one can use piecewise-linear or quadratic functions that can be efficiently dealt with off-the-shelf solvers. The effectiveness in practice of this approach is demonstrated by extensive computational experiments on large-scale Vehicle and Crew Scheduling problems. Also, the results of a detailed computational study on the impact of the different choices in the stabilization term (shape of the function, parameters), and their relationships with the quality of the initial dual estimates, on the overall effectiveness of the approach are reported, providing practical guidelines for selecting the most appropriate variant in different situations.

Keywords: Column Generation, Proximal Point methods, Bundle methods, Vehicle and Crew Scheduling problems

The published paper is available at http://dx.doi.org/10.1016/j.dam.2008.06.021. A Technical Report version is available here.


Approximate Optimality Conditions and Stopping Criteria in Canonical DC Programming

G. Bigi, A. Frangioni, Q.H. Zhang

Optimization Methods and Software 25(1), 19–27, 2009

Abstract: In this paper we study approximate optimality conditions for the Canonical DC (CDC) optimization problem and their relationships with stopping criteria for a large class of solution algorithms for the problem. In fact, global optimality conditions for CDC are very often restated in terms of a nonconvex optimization problem, that has to be solved each time the optimality of a given tentative solution has to be checked. Since this is in principle a costly task, it makes sense to only solve the problem approximately, leading to an inexact stopping criteria and therefore to approximate optimality conditions. In this framework, it is important to study the relationships between the approximation in the stopping criteria and the quality of the solutions that the corresponding approximated optimality conditions may eventually accept as optimal, in order to ensure that a small tolerance in the stopping criteria does not lead to a disproportionally large approximation of the optimal value of the CDC problem. We develop conditions ensuring that this is the case; these turn out to be closely related with the well-known concept of regularity of a CDC problem, actually coinciding with the latter if the reverse-constraint set is a polyhedron.

Keywords: DC problems, Approximate Optimality Conditions, Value Function, Lipschitz Property

The published paper is available at http://dx.doi.org/10.1080/10556780903178048. Most of the material of this paper can be found in Sections 2 and 3 of this Technical Report.


Primary and Backup Paths Optimal Design for Traffic Engineering in Hybrid IGP/MPLS Networks

D. Cherubini, A. Fanni, A. Frangioni, A. Mereu

in Proceedings of the 7th International Workshop on the Design of Reliable Communication Networks (DRCN 2009), D. Medhi, J. Doucette and D. Tipper editors, IEEE, 273–280, October 25-28 2009

Abstract: The paper describes an optimization model which aims at minimizing the maximum link utilization of IP telecommunication networks under the joint use of the traditional IGP protocols and the more sophisticated MPLS-TE technology. The survivability of the network is taken into account in the optimization process implementing the path restoration scheme. This scheme benefits of the Fast Re-Route (FRR) capability allowing service providers to offer high availability and high revenue SLAs (Service Level Agreements). The hybrid IGP/MPLS approach relies on the formulation of an innovative Linear Programming mathematical model that, while optimizing the network utilization, provides optimal user performance, efficient use of network resources, and 100% survivability in case of single link failure. The possibility of performing an optimal exploitation of the network resources throughout the joint use of the IGP and MPLS protocols provides a flexible tool for the ISP (Internet Service Provider) networks traffic engineers. The efficiency of the proposed approach is validated by a wide experimentation performed on synthetic and real networks. The obtained results show that a small number of LSP tunnels have to be set up in order to significantly reduce the congestion level of the network while at the same time guaranteeing the survivability of the network.

Keywords: Network Reliability, Optimal Design, Path Restoration, Routing

The published paper is available at http://dx.doi.org/10.1109/DRCN.2009.5339995. A Technical Report version is available here


Convergence Analysis of Deflected Conditional Approximate Subgradient Methods

G. d'Antonio, A. Frangioni

SIAM Journal on Optimization 20(1), 357–386, 2009

Abstract: Subgradient methods for nondifferentiable optimization benefit from deflection, i.e., defining the search direction as a combination of the previous direction and the current subgradient. In the constrained case they also benefit from projection of the search direction onto the feasible set prior to computing the steplength, that is, from the use of conditional subgradient techniques. However, combining the two techniques is not straightforward, especially if an inexact oracle is available which can only compute approximate function values and subgradients. We present a convergence analysis of several different variants, both conceptual and implementable, of approximate conditional deflected subgradient methods. Our analysis extends the available results in the literature by using the main stepsize rules presented so far while allowing deflection in a more flexible way. Furthermore, to allow for (diminishing/square summable) rules where the stepsize is tightly controlled a-priori, we propose a new class of deflection-restricted approaches where it is the deflection parameter, rather than the stepsize, which is dynamically adjusted using the "target value" of the optimization sequence. For both Polyak-type and diminishing/square summable stepsizes, we propose a "correction" of the standard formula which shows that, in the inexact case, knowledge about the error computed by the oracle (which is available in several practical applications) can be exploited in order to strengthen the convergence properties of the method. The analysis allows for several variants of the algorithm; at least one of them is likely to show numerical performances similar to these of "heavy ball" subgradient methods, popular within backpropagation approaches to train neural networks, while possessing stronger convergence properties.

Keywords: Convex Programming, Nondifferentiable Optimization, Subgradient Methods, Convergence Analysis, Lagrangian relaxation, Backpropagation

The published paper is available at http://dx.doi.org/10.1137/080718814. Due to the provisions of SIAM Copyright Assignment Agreement, it can also be downloaded here.


0-1 Reformulations of the Multicommodity Capacitated Network Design Problem

A. Frangioni, B. Gendron

Discrete Applied Mathematics 157(6), 1229–1241, 2009

Abstract: We study 0-1 reformulations of the multicommodity capacitated network design problem, which is usually modeled with general integer variables to represent design decisions on the number of facilities to install on each arc of the network. The reformulations are based on the multiple choice model, a generic approach to represent piecewise linear costs using 0-1 variables. This model is improved by the addition of extended linking inequalities, derived from variable disaggregation techniques. We show that these extended linking inequalities for the 0-1 model are equivalent to the residual capacity inequalities, a class of valid inequalities derived for the model with general integer variables. In this paper, we compare two cutting-plane algorithms to compute the same lower bound on the optimal value of the problem: one based on the generation of residual capacity inequalities within the model with general integer variables, and another based on the addition of extended linking inequalities to the 0-1 reformulation. To further improve the computational results of the latter approach, we develop a column-and-row generation approach; the resulting algorithm is shown to be competitive with the approach relying on residual capacity inequalities.

Keywords: Multicommodity Capacitated Network Design, Reformulation, Valid Inequalities, Cutting-Plane Method, Column Generation

The published paper is available at http://dx.doi.org/10.1016/j.dam.2008.04.022. A Technical Report version is available here.


A Computational Comparison of Reformulations of the Perspective Relaxation: SOCP vs. Cutting Planes

A. Frangioni, C. Gentile

Operations Research Letters 37(3), 206–210, 2009

Abstract: The Perspective Reformulation is a general approach for constructing tight approximations to MINLP problems with semicontinuous variables. Two different reformulations have been proposed for solving it, one resulting in a Second-Order Cone Program, the other based on representing the perspective function by (an infinite number of) cutting planes. We compare the two reformulations on two sets of MIQPs to determine which one is most effective in the context of exact or approximate Branch-and-Cut algorithms.

Keywords: Mixed-Integer Non Linear Programs, Reformulations, Second-Order Cone Programs, Valid Inequalities, Unit Commitment problem, Portfolio Optimization

The published paper is available at http://dx.doi.org/10.1016/j.orl.2009.02.003. A Technical Report version is available here


Projected Perspective Reformulations for NonLinear Network Design Problems

A. Frangioni, C. Gentile, E. Grande, A. Pacifici

Proceedings of the 4th International Network Optimization Conference (INOC2009), G. Bigi, A. Frangioni and M.G. Scutellà editors, paper MD3-1, Pisa, April 26-29, 2009

Abstract: The Perspective Relaxation (PR) is a general approach for constructing tight approximations to Mixed-Integer NonLinear Problems with semicontinuous variables. The PR of a MINLP can be formulated either as a Mixed-Integer Second-Order Cone Program (provided that the original objective function is SOCP-representable), or as a Semi-Infinite MINLP. While these reformulations significantly improve the lower bound and the running times of the corresponding enumerative approaches, they may spoil some valuable structure of the problem, such as the presence of network constraints. In this paper, we show that under some further assumptions the PR of a Mixed-Integer Quadratic Program can also be reformulated as a piecewise linear-quadratic problem, ultimately yielding a QP relaxation of roughly the same size of the standard continuous relaxation and where the (network) structure of the original problem is safeguarded. We apply this approach to a quadratic-cost single-commodity network design problem, comparing the newly developed algorithm with those based on both the standard continuous relaxation and the two usual variants of PR relaxation.

Keywords: Mixed-Integer NonLinear Problems, Semicontinuous Variables, Perspective Relaxation, Nonlinear Network Design Problem

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Tighter Approximated MILP Formulations for Unit Commitment Problems

A. Frangioni, C. Gentile, F. Lacalandra

IEEE Transactions on Power Systems 24(1), 105–113, 2009

Abstract: The short-term Unit Commitment (UC) problem in hydro-thermal power generation is a large-scale, Mixed-Integer NonLinear Program (MINLP), which is difficult to solve efficiently, especially for large-scale instances. It is possible to approximate the nonlinear objective function of the problem by means of piecewise-linear functions, so that UC can be approximated by a Mixed-Integer Linear Program (MILP); applying the available efficient general-purpose MILP solvers to the resulting formulations, good quality solutions can be obtained in a relatively short amount of time. We build on this approach, presenting a novel way to approximating the nonlinear objective function based on a recently developed class of valid inequalities for the problem, called "Perspective Cuts". At least for many realistic instances of a general basic formulation of UC, a MILP-based heuristic obtains comparable or slightly better solutions in less time when employing the new approach rather than the standard piecewise linearizations, while being not more difficult to implement and use. Furthermore, "dynamic" formulations, whereby the approximation is iteratively improved, provide even better results if the approximation is appropriately controlled.

Keywords: Hydro-Thermal Unit Commitment, Mixed-Integer Linear Program Formulations, Valid Inequalities

The original publication is available at http://dx.doi.org/10.1109/TPWRS.2008.2004744. A Technical Report version is available here.


Artificial Intelligence Techniques for Automatic Reformulation of Complex Problems: the I-DARE Project

A. Frangioni, L. Perez Sanchez

Technical Report 09-13, Dipartimento di Informatica, Università di Pisa, 2009

Abstract: Complex, hierarchical, multi-scale industrial and natural systems generate increasingly large mathematical models. Practitioners are usually able to formulate such models in their "natural" form; however, solving them often requires finding an appropriate reformulation to reveal structures in the model which make it possible to apply efficient, specialized approaches. I-DARE is a structure-aware modeling-reformulation-solving environment based on Declarative Programming. It allows the construction of complex structured models, that can be automatically and algorithmically reformulated to search for the best formulation, intended as the one for which the most efficient solution approach is available. In order to accommodate (potentially) all possible specialized solution methods, it defines a general software framework for solvers, that are "registered" to specific problem structures. This article describes in details the application of Artificial Intelligence in the modeling and reformulation modules of I-DARE, showing how Declarative Programming can be used to design a structure-aware modeling environment that allows for a new automatic reformulation methodology.

Keywords: Mathematical Models, Optimization Problems, Artificial Intelligence, Declarative Programming

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Chance Constrained Network Design

F. Pascali, M.G. Scutellà, A. Frangioni

Proceedings of the 4th International Network Optimization Conference (INOC2009), G. Bigi, A. Frangioni and M.G. Scutellà editors, paper TC2-2, Pisa, April 26-29, 2009

Abstract: When designing or upgrading a communication network, operators are faced with a major issue, as uncertainty on communication demands makes it difficult to correctly provision the network capacity. When a probability on traffic matrices is given, finding the cheapest capacity allocation that guarantees, within a prescribed level of confidence, that each arc can support the traffic demands peaks turns out to be, in general, a difficult non convex optimization problem belonging to the class of chance constrained problems. Drawing from some very recent results in the literature we highlight the relationships between chance constrained network design problems and robust network optimization. We then compare several different ways to build uncertainty sets upon deviation measures, comprised the recently proposed backward and forward deviation measures that capture possible asymmetries of the traffic demands distribution. We report results of a computational study aimed at comparing the performance of different models when built upon the same set of historical traffic matrices.

Keywords: Chance Constraint, Robust Optimization, Network Design, Deviation Measures, Routing.

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2008


Miglioramenti Algoritmici nella Soluzione di Problemi Reali di Schedulazione di Veicoli e Personale

F. Bernazzani, S. Carosi, A. Frangioni, A. Gaffi, L. Girardi

Chapter 30 of Scienza delle decisioni in Italia: applicazioni della ricerca operativa a problemi aziendali, G. Felici e A. Sciomachen (Eds.), EGIC Genova, 429–442, 2008

Abstract: Molti problemi reali di schedulazione di veicoli e personale possono essere formulati come varianti di problemi di Set Partitioning, con vincoli complicanti, di grandissime dimensioni. Questi problemi possono essere risolti mediante tecniche basate sulla generazione di colonne, utilizzando sottoproblemi di tipo cammino minimo vincolato. M.A.I.O.R. utilizza da molti anni questo tipo di tecnologie per i propri clienti che operano nell'ambito del trasporto su gomma urbano ed extraurbano, aereo e ferroviario. Recentemente, nella suite degli strumenti M.A.I.O.R. sono stati introdotti alcuni miglioramenti algoritmici che hanno portato a consistenti miglioramenti dell'efficacia degli approcci in tutte le applicazioni. In questo capitolo descriviamo tali miglioramenti ed il loro impatto sulle prestazioni degli algoritmi in diverse applicazioni reali, focalizzandoci in particolare su quei problemi in cui la necessità di risolvere formulazioni nonstandard e/o con molti vincoli complicanti rendeva il precedente approccio scarsamente funzionale, mentre le nuove tecniche permettono di ottenere risultati di buona qualità.


Solving Unit Commitment Problems with General Ramp Contraints

A. Frangioni, C. Gentile, F. Lacalandra

International Journal of Electrical Power and Energy Systems 30, 316–326, 2008

Abstract: Lagrangian Relaxation (LR) algorithms are among the most successful approaches for solving large-scale hydro-thermal Unit Commitment (UC) problems; this is largely due to the fact that the Single-Unit Commitment (1UC) problems resulting from the decomposition, incorporating many kinds of technical constraints such as minimum up- and down-time requirements and time-dependent startup costs, can be efficiently solved by Dynamic Programming (DP) techniques. Ramp constraints have historically eluded efficient exact DP approaches; however, this has recently changed [A16]. We show that the newly proposed DP algorithm for ramp-constrained (1UC) problems allows to extend existing LR approaches to ramp-constrained (UC); this is not obvious since the heuristic procedures typically used to recover a primal feasible solution are not easily extended to take ramp limits into account. However, dealing with ramp constraints in the subproblems turns out to be sufficient to provide the LR heuristic enough guidance to produce good feasible solutions even with no other modification of the approach; this is due to the fact that (sophisticated) LR algorithms to (UC) duly exploit the primal information computed by the Lagrangian Dual, which in the proposed approach is ramp feasible. We also show by computational experiments that the LR is competitive with those based on general-purpose Mixed-Integer Program (MIP) solvers for large-scale instances, especially hydro-thermal ones.

Keywords: Hydro-Thermal Unit Commitment, Ramp Limits, Lagrangian Relaxation

The published paper is available at http://dx.doi.org/10.1016/j.ijepes.2007.10.003. A Technical Report version is available here.


2007


Experiments with Hybrid Interior Point/Combinatorial Approaches for Network Flow Problems

A. Frangioni, C. Gentile

Optimization Methods and Software 22(4), 573–585, 2007

Abstract: Interior Point (IP) algorithms for Min Cost Flow (MCF) problems have been shown to be competitive with combinatorial approaches, at least on some problem classes and for very large instances. This is in part due to availability of specialized crossover routines for MCF; these allow early termination of the IP approach, sparing it with the final iterations where the KKT systems become more difficult to solve. As the crossover procedures are nothing but combinatorial approaches to MCF that are only allowed to perform few iterations, the IP algorithm can be seen as a complex "multiple crash start" routine for the combinatorial ones. We report our experiments about allowing one primal-dual combinatorial algorithm to MCF to perform as many iterations as required to solve the problem after being warm-started by an IP approach. Our results show that the efficiency of the combined approach critically depends on the accurate selection of a set of parameters among very many possible ones, for which designing accurate guidelines appears not to be an easy task; however, they also show that the combined approach can be competitive with the original combinatorial algorithm, at least on some "difficult" instances.

Keywords: Min Cost Flow problems, Interior Point Algorithms, Relaxation Method, Crossover

Download the author's version of the work, posted here by permission of Taylor & Francis for personal use, not for redistribution. The definitive version was published in Optimization Methods and Software http://dx.doi.org/10.1080/00207160600848017.


Prim-based Support-Graph Preconditioners for Min-Cost Flow Problems

A. Frangioni, C. Gentile

Computational Optimization and Applications, 36(2-3), 271–287, 2007

Abstract: Support-graph preconditioners have been shown to be a valuable tool for the iterative solution, via a Preconditioned Conjugate Gradient method, of the KKT systems that must be solved at each iteration of an Interior Point algorithm for the solution of Min Cost Flow problems. These preconditioners extract a proper triangulated subgraph, with ``large'' weight, of the original graph: in practice, trees and Brother-Connected Trees (BCTs) of depth two have been shown to be the most computationally efficient families of subgraphs. In the literature, approximate versions of the Kruskal algorithm for maximum-weight spanning trees have most often been used for choosing the subgraphs; Prim-based approaches have been used for trees, but no comparison have ever been reported. We propose Prim-based heuristics for BCTs, which require nontrivial modifications w.r.t. the previously proposed Kruskal-based approaches, and present a computational comparison of the different approaches, which shows that Prim-based heuristics are most often preferable to Kruskal-based ones.

Keywords: Min Cost Flow problems, Interior Point Algorithms, Preconditioned Conjugated Gradient method, Prim Algorithm

The published paper is available at http://dx.doi.org/10.1007/s10589-006-9005-9. A Technical Report version is available here. The paper is also available on SharedIt.


SDP Diagonalizations and Perspective Cuts for a Class of Nonseparable MIQP

A. Frangioni, C. Gentile

Operations Research Letters 35(2), 181–185, 2007

Abstract: Perspective cuts are a computationally effective family of valid inequalities, belonging to the general family of disjunctive cuts, for Mixed-Integer Convex NonLinear Programming problems with a specific structure. The required structure can be forced upon models that would not originally display it by decomposing the Hessian of the problem into the sum of two positive semidefinite matrices, a generic and a diagonal one, so that the latter is "as large as possible". We compare two ways for computing the diagonal matrix: an inexpensive approach requiring a minimum eigenvalue computation and a more costly procedure which require the solution of a SemiDefinite Programming problem. The latter dramatically outperforms the former at least upon instances of the Mean-Variance problem in portfolio optimization.

Keywords: Mixed-Integer Quadratic Programs, Valid Inequalities, SemiDefinite Programming, Portfolio Optimization

The published paper is available at http://dx.doi.org/10.1016/j.orl.2006.03.008. A Technical Report version is available here.


2006


Perspective Cuts for a Class of Convex 0-1 Mixed Integer Programs

A. Frangioni, C. Gentile

Mathematical Programming 106(2), 225–236, 2006

Abstract: We show that the convex envelope of the objective function of Mixed-Integer Programming problems with a specific structure is the perspective function of the continuous part of the objective function. Using a characterization of the subdifferential of the perspective function, we derive "perspective cuts", a family of valid inequalities for the problem. Perspective cuts can be shown to belong to the general family of disjunctive cuts, but they do not require the solution of a potentially costly nonlinear programming problem to be separated. Using perspective cuts substantially improves the performance of Branch-and-Cut approaches for at least two models that, either "naturally" or after a proper reformulation, have the required structure: the Unit Commitment problem in electrical power production and the Mean-Variance problem in portfolio optimization.

Keywords: Mixed-Integer Programs, Valid Inequalities, Unit Commitment Problem, Portfolio Optimization

The published paper is available at http://dx.doi.org/10.1007/s10107-005-0594-3. A Technical Report version is available here. The paper is also available on SharedIt.


Solving Nonlinear Single-Unit Commitment Problems with Ramping Constraints

A. Frangioni, C. Gentile

Operations Research 54(4), 767–775, 2006

Abstract: We present a dynamic programming algorithm for solving the single-Unit Commitment (1UC) problem with ramping constraints and arbitrary convex cost function. The algorithm is based on a new approach for efficiently solving the single-unit Economic Dispatch (ED) problem with ramping constraints and arbitrary convex cost functions, improving on previously known ones that were limited to piecewise-linear functions. For simple convex functions, such as the quadratic ones typically used in applications, the solution cost of all the involved (ED) problems, comprised that of finding an optimal primal and dual solution, is O(n3). Coupled with a "smart" visit of the state-space graph in the dynamic programming algorithm, this enables one to solve (1UC) in O(n3) overall.

Keywords: Dynamic Programming, Unit Commitment Problem, Ramping Constraints

The published paper is available at http://dx.doi.org/10.1287/opre.1060.0309. The Author's version is available here.


New Lagrangian Heuristics for Ramp-Constrained Unit Commitment Problems

A. Frangioni, C. Gentile, F. Lacalandra

in Proceedings of the 19th Mini-EURO Conference in Operational Research Models and Methods in the Energy Sector (ORMMES 2006), Coimbra, 6-8 September 2006

Abstract: Lagrangian Relaxation (LR) algorithms are among the most successful approaches for solving large-scale hydro-thermal Unit Commitment (UC) problems; this is largely due to the fact that the Single-Unit Commitment (1UC) problems resulting from the decomposition can be efficiently solved by Dynamic Programming (DP) techniques. Ramp constraints have historically eluded efficient exact DP approaches; however, this has recently changed [A16]. We show that the newly proposed DP algorithm for ramp-constrained (1UC) problems, together with a new heuristic phase that explicitly takes into account ramp limits on the maximum and minimum available power at each hour, can reliably find good-quality solutions to even large-scale (UC) instances in short time.

Keywords: Hydro-Thermal Unit Commitment, Ramp Limits, Lagrangian Relaxation

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A Computational Study of Cost Reoptimization for Min Cost Flow Problems

A. Frangioni, A. Manca

INFORMS Journal On Computing 18(1), 61–70, 2006

Abstract: In the last two decades, a number of algorithms for the linear single-commodity Min Cost Flow problem (MCF) have been proposed, and several efficient codes are available that implement different variants of the algorithms. The practical significance of the algorithms has been tested by comparing the time required by their implementations for solving "from scratch" instances of (MCF), of different classes, as the size of the problem (number of nodes and arcs) increases. However, in many applications several closely related instances of (MCF) have to be sequentially solved, so that reoptimization techniques can be used to speed up computations, and the most attractive algorithm is the one which minimizes the total time required to solve all the instances in the sequence. In this paper we compare the performances of four different efficient implementations of algorithms for (MCF) under cost reoptimization in the context of decomposition algorithms for the Multicommodity Min Cost Flow problem (MMCF), showing that for some classes of instances the relative performances of the codes doing "from scratch" optimization do not accurately predict the relative performances when reoptimization is used. Since the best solver depends both on the class and on the size of the instance, this work also shows the usefulness of a standard interface for (MCF) problem solvers that we have proposed and implemented.

Keywords: Min Cost Flow problem, Multicommodity Min Cost Flow Problem, Reoptimization.

The published paper is available at http://dx.doi.org/10.1287/ijoc.1040.0081, as well as here


2005


About Lagrangian Methods in Integer Optimization

A. Frangioni

Annals of Operations Research 139, 163–193, 2005

Abstract: It is well-known that the Lagrangian dual of an Integer Linear Program (ILP) provides the same bound as a continuous relaxation involving the convex hull of all the optimal solutions of the Lagrangian relaxation. It is less often realized that this equivalence is effective, in that basically all known algorithms for solving the Lagrangian dual either naturally compute an (approximate) optimal solution of the "convexified relaxation", or can be modified to do so. After recalling these results we elaborate on the importance of the availability of primal information produced by the Lagrangian dual within both exact and approximate approaches to the original (ILP), using three optimization problems with different structure to illustrate some of the main points.

Keywords: Lagrangian dual, Integer Linear Programs

The published paper is available at http://dx.doi.org/10.1007/s10479-005-3447-9. A Technical Report version is available here.


0-1 Reformulations of the Network Loading Problem

A. Frangioni, B. Gendron

Proceedings of the 2nd International Network Optimization Conference (INOC2005), L. Gouveia and C. Mourao editors, Vol. B1, 38–43, Lisbon, 20-23 March 2005

Abstract: We study 0-1 reformulations of the Network Loading problem, a capacitated network design problem which is usually modeled with general integer variables to represent design decisions on the number of facilities to install on each arc of the network. The reformulations are based on the multiple choice model, a generic approach to represent piecewise linear costs using 0-1 variables. This model is improved by the addition of extended linking inequalities, derived from variable disaggregation techniques. We show that these extended linking inequalities for the 0-1 model are equivalent to the residual capacity inequalities, a class of valid inequalities derived for the model with general integer variables. This result yields three strategies to compute the same lower bound on the optimal value of the problem: 1) A Dantzig-Wolfe (DW) approach applied to the model with general integer variables; 2) A cutting-plane algorithm based on the residual capacity inequalities; 3) A Structured DW method that solves the 0-1 reformulation with extended linking inequalities by variables and constraints generation.

Keywords: Capacitated Network Design, Network Loading, Reformulation, Dantzig-Wolfe Decomposition

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New Approaches for Optimizing over the Semimetric Polytope

A. Frangioni, A. Lodi and G. Rinaldi

Mathematical Programming 104(2-3), 375–388, 2005

Abstract: The semimetric polytope is an important polyhedral structure lying at the heart of hard combinatorial problems. Therefore, linear optimization over the semimetric polytope is crucial for a number of relevant applications. Building on some recent polyhedral and algorithmic results about a related polyhedron, the rooted semimetric polytope, we develop and test several approaches, mainly based over Lagrangian relaxation and application of Non Differentiable Optimization algorithms, for linear optimization over the semimetric polytope. We show that some of these approaches can obtain very accurate primal and dual solutions in a small fraction of the time required for the same task by state-of-the-art general purpose linear programming technology. In some cases, good estimates of the dual optimal solution (but not of the primal solution) can be obtained even quicker.

Keywords: Semimetric Polytope, Lagrangian Methods, Max-Cut, Network Design

The published paper is available at http://dx.doi.org/10.1007/s10107-005-0620-5. A Technical Report version is available here. The paper is also available on SharedIt.


2004


A Multi-exchange Neighborhood for Minimum Makespan Machine Scheduling Problems

A. Frangioni, M.G. Scutellà and E. Necciari

Journal of Combinatorial Optimization 8, 195–220, 2004

Abstract: We propose new local search algorithms for minimum makespan machine scheduling problems, which perform multiple exchanges of jobs among machines. Inspired by the work of Thompson and Orlin (1989) on cyclic transfer neighborhood structures, we model multiple exchanges of jobs as special disjoint cycles and paths in a suitably defined improvement graph, by extending definitions and properties introduced in the context of VRP (Thompson and Psaraftis, 1993) and of CMST (Ahuja, Orlin and Sharma, 1998). Several algorithms for searching the neighborhood are suggested. We report the results of a wide computational experimentation, on different families of benchmark instances, performed for the case of identical machines. The minimum makespan machine scheduling problem with identical machines has been selected as a case study to perform a comparison among the alternative algorithms, and to discover families of instances for which the proposed neighborhood may be promising in practice. The obtained results are very interesting. On some families of instances, which are very hard to solve exactly, the most promising multi-exchange algorithms proved to dominate, in gap and in time, competitive benchmark heuristics.

Keywords: Production/scheduling, Approximations/heuristic: Multi-Exchange Neighborhood. Networks/graphs, Flow Algorithms: Disjoint Cycle Computation

The published paper is available at http://dx.doi.org/10.1023/B:JOCO.0000031420.05971.29. A Technical Report version is available here. The paper is also available on SharedIt.


Optimizing over Semimetric Polytopes

A. Frangioni, A. Lodi and G. Rinaldi

in Integer Programming and Combinatorial Optimization - IPCO 2004, D. Bienstock and G. Nemhauser (Eds.), Lecture Notes in Computer Science 3064, Springer-Verlag, 431–443, 2004

The original publication is available at www.springerlink.com. Thanks to the copyright agreement of Lecture Notes on Computer Science, you can download the author's final version here.


New Preconditioners for KKT Systems of Network Flow Problems

A. Frangioni, C. Gentile

SIAM Journal on Optimization 14(3), 894–913, 2004

Abstract: We propose a new set of preconditioners for the iterative solution, via a Preconditioned Conjugate Gradient (PCG) method, of the KKT systems that must be solved at each iteration of an Interior Point (IP) algorithm for the solution of linear Min Cost Flow (MCF) problems. These preconditioners are based on the idea of extracting a proper triangulated subgraph of the original graph which strictly contains a spanning tree. We define a new class of triangulated graphs, called Brother-Connected Trees (BCT), and discuss some fast heuristics for finding BCTs of "large" weight. Computational experience shows that the new preconditioners can complement tree preconditioners, outperforming them both in iterations count and in running time on some classes of graphs.

Keywords: Min Cost Flow problems, Interior Point Algorithms, Preconditioned Conjugated Gradient method, Triangulated Graphs.

The published paper is available at http://dx.doi.org/10.1137/S105262340240519X. Due to the provisions of SIAM Copyright Assignment Agreement, it can also be downloaded here.


2003


Lagrangian Heuristics Based on Disaggregated Bundle Methods for Hydrothermal Unit Commitment

A. Borghetti, A. Frangioni, F. Lacalandra and C.A. Nucci

IEEE Transactions on Power Systems, 18(1), 313–323, 2003

Abstract:The paper presents a simple and effective Lagrangian relaxation approach for the solution of the optimal short-term unit commitment problem in hydrothermal power-generation systems. The proposed approach, based on a disaggregated Bundle method for the solution of the dual problem, with a new warm-starting procedure, achieves accurate solutions in few iterations. The adoption of a disaggregated Bundle method not only improves the convergence of the proposed approach but also provides information that are suitably exploited for generating a feasible solution of the primal problem and for obtaining an optimal hydro scheduling. A comparison between the proposed Lagrangian approach and other ones, based on subgradient and Bundle methods, is presented for a simple yet reasonable formulation of the Hydrothermal Unit Commitment problem.

Keywords: Power Generation Operation, Hydrothermal Unit Commitment, Power Generation Dispatch, Lagrangian Relaxation, Bundle Methods

The published paper is available at http://dx.doi.org/10.1109/TPWRS.2002.807114. A Technical Report version is available here.


Using of a Cost-based Unit Commitment Algorithm to Assist Bidding Strategy Decisions

A. Borghetti, A. Frangioni, F. Lacalandra, C.A. Nucci, P. Pelacchi

in Proceedings IEEE 2003 Powerteck Bologna Conference, A. Borghetti, C.A. Nucci and M. Paolone editors, Paper n. 547, 2003

Abstract: The paper describes a procedure developed to assist a generating company in choosing the most convenient bidding strategies for a day-ahead electricity energy market. According to the proposed method, the profit maximization problem is transformed into a minimization problem that can be solved by a traditional hydro-thermal unit commitment program after implementing a few modifications. The paper describes the modifications introduced in a unit commitment program based on the Lagrangian relaxation approach and on a disaggregated Bundle method for the solution of the dual problem. It also presents some results obtained for a realistic data set of hydrothermal power plants. The results are discussed in order to emphasize how the method can be applied to assess the bidding strategy choice of a given company.

Keywords: Unit Commitment, Electricity Market, Bidding Strategies

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Symmetric and Asymmetric Parallelization of a Cost-Decomposition Algorithm for Multi-Commodity Flow Problems

P. Cappanera, A. Frangioni

INFORMS Journal on Computing 15(4), 369–384, 2003

Abstract: We study the coarse-grained parallelization of an efficient bundle-based cost-decomposition algorithm for the solution of multicommodity min-cost flow (MMCF) problems. We show that a code exploiting only the natural parallelism inherent in the cost-decomposition approach, i.e., solving the min-cost flow subproblems in parallel, obtains satisfactory efficiencies even with many processors on large, difficult MMCF problems with many commodities. This is exactly the class of instances where the decomposition approach attains its best results in sequential. The parallel code we developed is highly portable and flexible, and it can be used on different machines. We also show how to exploit a common characteristic of current supercomputer facilities, i.e., the side-to-side availability of massively parallel and vector supercomputers, to implement an asymmetric decomposition algorithm where each architecture is used for the tasks for which it is best suited.

Keywords: Networks-Graphs, Multicommodity; Programming, Large-Scale Systems; Programming, Nondifferentiable

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Tecniche di Decomposizione e Rilassamenti Lagrangiani

A. Frangioni

Atti della Scuola CIRO 2002, A. Agnetis and G. Di Pillo editors, 159–264, Pitagora Editrice, 2003

Abstract: Una tecnica molto diffusa per costruire rilassamenti di problemi di Programmazione Lineare Intera (PLI) o mista, ed anche per risolvere problemi di Programmazione Lineare (PL) di grande dimensione, è quella del rilassamento Lagrangiano. È ben noto che il duale Lagrangiano di un problema di PL è equivalente al duale lineare del problema, e quindi al problema stesso, mentre il duale Lagrangiano di un problema di PLI è equivalente al "rilassamento convessificato" del problema in cui appare l'inviluppo convesso dei punti interi che soddisfano i vincoli non rilassati, ossia una rappresentazione poliedrale della regione ammissibile del rilassamento Lagrangiano. È forse meno noto che gli algoritmi utilizzati per risolvere duali Lagrangiani calcolano automaticamente, o possono farlo con modifiche minori, una soluzione (approssimata) del rilassamento convessificato, fornendo quindi informazione primale che può risultare molto utile quando queste tecniche sono utilizzate all'interno di approcci, esatti o euristici, per risolvere il problema di PLI originale. Mostreremo come questo sia il caso per l'algoritmo dei piani di taglio, noto nel contesto della PL come metodo di decomposizione di Dantzig-Wolfe, e per molte sue varianti, così come per i più recenti algoritmi del tipo subgradiente. Discuteremo poi il possibile uso dell'informazione primale così ottenuta all'interno di approcci per la PLI.

Keywords: Tecniche di Decomposizione, Rilassamenti Lagrangiani, Programmazione Lineare Intera.

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PaTre: a Method for Paralogy Trees Construction

N. Pisanti, R. Marangoni, P. Ferragina, A. Frangioni, A. Savona, C. Pisanelli and F. Luccio

Journal of Computational Biology, 10(5), 791–802, 2003

Abstract: Genes belonging to the same organism are called paralogs when they show a significant similarity in the sequences, even if they have a different biological function. It is an emergent biological paradigm that the families of paralogs in a genome derive from a mechanism of iterated gene duplication-with-modification. In order to investigate the evolution of organisms, it can be useful to infer the duplications that have taken place starting from an hypothetical original gene, and that have led to the current paralog genes family. This information can naturally be represented in a paralogy tree. Here we present a method, called PaTre, to generate a paralogy tree from a family of paralog genes. PaTre uses new techniques motivated by the specific application. The reliability of the inferential process is tested by means of a simulator that implements different hypotheses on the duplication-with-modification paradigm, and checked on real data.

Keywords: Paralog Genes, Paralogy Trees, Transformation Distance, Lightest Spanning Arborescence

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2002


Generalized Bundle Methods

A. Frangioni

SIAM Journal on Optimization 13(1), 117–156, 2002

Abstract: We study a class of generalized bundle methods for which the stabilizing term can be any closed convex function satisfying certain properties. This setting covers several algorithms from the literature that have been so far regarded as distinct. Under a different hypothesis on the stabilizing term and/or the function to be minimized, we prove finite termination, asymptotic convergence, and finite convergence to an optimal point, with or without limits on the number of serious steps and/or requiring the proximal parameter to go to infinity. The convergence proofs leave a high degree of freedom in the crucial implementative features of the algorithm, i.e., the management of the bundle of subgradients (β-strategy) and of the proximal parameter (t-strategy). We extensively exploit a dual view of bundle methods, which are shown to be a dual ascent approach to one nonlinear problem in an appropriate dual space, where nonlinear subproblems are approximately solved at each step with an inner linearization approach. This allows us to precisely characterize the changes in the subproblems during the serious steps, since the dual problem is not tied to the local concept of ε-subdifferential. For some of the proofs, a generalization of inf-compactness, called *-compactness, is required; this concept is related to that of asymptotically well-behaved functions.

Keywords: Nondifferentiable Optimization, Bundle Methods

The published paper is available at http://dx.doi.org/10.1137/S1052623498342186. Due to the provisions of SIAM Copyright Assignment Agreement, it can also be downloaded here.


2001


Lagrangian Relaxation and Tabu Search Approaches for the Unit Commitment Problem

A. Borghetti, A. Frangioni, F. Lacalandra, A. Lodi, S. Martello, C.A. Nucci and A. Trebbi

in Proceedings IEEE 2001 Powerteck Porto Conference, J.T. Saraiva and M.A. Matos editors, Vol. 3, Paper n. PSO5-397, 2001

Abstract: The paper deals with the solution of the optimal short-term unit commitment (UC) problem in an electric power system. The optimization model takes into account the main operating constraints and physical characteristics of the power generation system. A comparison between Lagrangian heuristics and Tabu Search techniques on different classes of realistic instances is presented. Such a comparison is aimed at highlighting the strong features and the weaknesses of each technique, in view of their application in computer models for competitive electricity markets in progressive evolution. The comparison may provide insights for the construction of hybrid techniques that incorporate the best of both approaches.

Keywords: Lagrangian Relaxation, Optimization Methods, Power Generation Dispatch, Tabu Search, Unit Commitment

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A Parallel Implementation of an Interior-Point Algorithm for Multicommodity Network Flows

J. Castro, A. Frangioni

in Lecture Notes in Computer Science 1981, Vector and Parallel Processing - VECPAR 2000, J.M. Palma. J. Dongarra and V. Hernandez (Eds.), Springer-Verlag, 301–315, 2001

Abstract: A parallel implementation of the specialized interior-point algorithm for multicommodity network fows introduced in [5] is presented. In this algorithm, the positive defnite systems of each iteration are solved through a scheme that combines direct factorization and a preconditioned conjugate gradient (PCG) method. Since the solution of at least k independent linear systems is required at each iteration of the PCG, k being the number of commodities, a coarse-grained parallellization of the algorithm naturally arises, where these systems are solved on different processors. Also, several other minor steps of the algorithm are easily parallelized by commodity. An extensive set of computational results on a shared memory machine is presented, using problems of up to 2.5 million variables and 260,000 constraints. The results show that the approach is especially competitive on large, diffcult multicommodity flow problems.

Keywords: Multicommodity Flows, Interior-Point Algorithms, Preconditioned Conjugate Gradient (PCG) Method, Parallel Computing

The original publication is available at www.springerlink.com. Thanks to the copyright agreement of Lecture Notes on Computer Science, you can download the author's final version here.


Spectral Analysis of (Sequences of) Graph Matrices

A. Frangioni, S. Serra Capizzano

SIAM Journal on Matrix Analysis and Applications 23(2), 339–348, 2001

Abstract: We study the extreme singular values of incidence graph matrices, obtaining lower and upper estimates that are asymptotically tight. This analysis is then used for obtaining estimates on the spectral condition number of some weighted graph matrices. A short discussion on possible preconditioning strategies within interior-point methods for network flow problems is also included.

Keywords:Graph Matrices, Conditioning and Preconditioning

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Bundle-based Relaxation Methods for Multicommodity Capacitated Fixed Charge Network Design Problems

B. Gendron, T.G. Crainic and A. Frangioni

Discrete Applied Mathematics, 112(1-3), 73–99, 2001

Abstract:To efficiently derive bounds for large-scale instances of the capacitated fixed-charge network design problem, Lagrangian relaxations appear promising. This paper presents the results of comprehensive experiments aimed at calibrating and comparing bundle and subgradient methods applied to the optimization of Lagrangian duals arising from two Lagrangian relaxations. This study substantiates the fact that bundle methods appear superior to subgradient approaches because they converge faster and are more robust relative to different relaxations, problem characteristics, and selection of the initial parameter values. It also demonstrates that effective lower bounds may be computed efficiently for large-scale instances of the capacitated fixed-charge network design problem. Indeed, in a fraction of the time required by a standard simplex approach to solve the linear programming relaxation, the methods we present attain very high quality solutions.

Keywords: Multicommodity Capacitated Fixed-Charge Network Design, Lagrangian Relaxation, Subgradient Methods, Bundle Methods

The published paper is available at http://dx.doi.org/10.1016/S0166-218X(00)00310-3. A Technical Report version is available here.


2000


Embedding a Bundle Method in a Branch and Bound Framework: an Application-Oriented Development

P. Cappanera, A. Frangioni

Technical Report 00-09, Dipartimento di Informatica, Università di Pisa, 2000

Abstract: An effective Branch and Bound algorithm based on Lagrangian heuristic is presented, which aims at reducing the gap between the lower and upper bounds. The Branch and Bound method proposed exploits the information gathered while going down in the enumeration tree in order to solve effciently the subproblems related to other nodes. This is accomplished by using a bundle method to solve at each node the Lagrangian dual. A discrete combined location-routing model, which we refer to as Obnoxious Facility Location and Routing model (OFLR), is used as a benchmark to validate the effciency of the method proposed. Such model simultaneously locates obnoxious facilities and routes obnoxious materials between a set of built-up areas and the facilities. Obnoxious facilities are those facilities which cause nuisance to people as well as to the environment i.e. dump sites, chemical industrial plants, electric power supplier networks, nuclear reactors and so on. OFLR is a particular case of the Obnoxious Network Design problem which occurs when also an obnoxious network has to be designed such as the case of electric power supplier networks. These are meaningful problems given the industrial development and the increasing importance of environmental issues in our society. The use of the B&B to solve this latter problem is under development.

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1999


Multicommodity Capacitated Network Design

T.G. Crainic, A. Frangioni and B. Gendron

Chapter 1 in Telecommunications Network Planning, P. Soriano and B. Sanso editors, Kluwer Academics Publisher, 1–19, 1999

Abstract: This paper presents a comprehensive survey of models and algorithms for multicommodity capacitated network design problems, which are mostly encountered in telecommunications and transportation network planning. These problems are important not only due to the major relevance of their applications, but also because they pose considerable modeling and algorithmic challenges. We present a general arc-based model, describe useful alternative formulations and survey the literature on simplex-based cutting plane and Lagrangian relaxation approaches. We then focus on our own contributions that develop and compare several relaxation methods for a particular case of this model, the fixed-charge problem. These methods are based on Lagrangian relaxation and nondifferentiable optimization techniques, namely, the subgradient and bundle approaches. Our experimental results, while very encouraging, indicate that solving effciently these diffcult problems requires a judicious combination of cutting planes, Lagrangian relaxation methods and sophisticated heuristics. In addition, due to their inherent decomposition properties, these techniques can be adapted to parallel computing environments, which is highly desirable in order to solve realistically sized instances.

Keywords: Multicommodity Capacitated Network Design, Cutting Planes, Lagrangian Relaxation, Nondifferentiable Optimization, Parallel Computing

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A Bundle Type Dual-Ascent Approach to Linear Multicommodity Min Cost Flow Problems

A. Frangioni, G. Gallo

INFORMS Journal On Computing 11(4), 370–393, 1999

Abstract: We present a Cost Decomposition approach for the linear Multicommodity Min-Cost Flow problem, where the mutual capacity constraints are dualized and the resulting Lagrangian Dual is solved with a dual-ascent algorithm belonging to the class of Bundle methods. Although decomposition approaches to block-structured Linear Programs have been reported not to be competitive with general-purpose software, our extensive computational comparison shows that, when carefully implemented, a decomposition algorithm can outperform several other approaches, especially on problems where the number of commodities is "large" with respect to the size of the graph. Our specialized Bundle algorithm is characterized by a new heuristic for the trust region parameter handling, and embeds a specialized Quadratic Program solver that allows the efficient implementation of strategies for reducing the number of active Lagrangian variables. We also exploit the structural properties of the single-commodity Min-Cost Flow subproblems to reduce the overall computational cost. The proposed approach can be easily extended to handle variants of the problem.

Keywords: Multicommodity Flows, Bundle methods, Decomposition Methods, Lagrangian Dual

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Fast Lower Bounds for the Capacitated Minimum Spanning Tree Problem

A. Frangioni, D. Pretolani and M.G. Scutellà

Technical Report 99-05, Dipartimento di Informatica, Università di Pisa, 1999

Abstract: We propose some techniques, based on minimum cost flow computations, for efficiently computing lower bounds for the Capacitated Minimum Spanning Tree problem (CMST). With respect to other methods proposed in the literature, our approaches often provide comparable bounds, with a substantially lower computational cost. For this reason, and for other features discussed in the paper, the proposed methods may be particularly promising in the context of exact algorithms for CMST.

Keywords: Capacitated Minimum Spanning Tree, Minimum Cost Flow, Lagrangian Relaxations

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1996


Solving Semidefinite Quadratic Problems Within Nonsmooth Optimization Algorithms

A. Frangioni

Computers & Operations Research 23(11), 1099–1118, 1996

Abstract: Bundle methods for Nondifferentiable Optimization are widely recognised as one of the best choices for the solution of Lagrangian Duals; one of their major drawbacks is that they require the solution of a Semidefinite Quadratic Programming subproblem at every iteration. We present an active-set method for the solution of such problems, that enhances upon the ones in the literature by distinguishing among bases with different properties and exploiting their structure in order to reduce the computational cost of the basic step. Furthermore, we show how the algorithm can be adapted to the several needs that arises in practice within Bundle algorithms; we describe how it is possible to allow constraints on the primal direction, how special (box) constraints can be more efficiently dealt with and how to accommodate changes in the number of variables of the nondifferentiable function. Finally, we describe the important implementation issues, and we report some computational experience to show that the algorithm is competitive with other QP codes when used within a Bundle code for the solution of Lagrangian Duals of large-scale (Integer) Linear Programs.

Keywords: Nondifferentiable Optimization, Bundle Methods, Quadratic Programming, Least Squares

The published paper is available at http://dx.doi.org/10.1016/0305-0548(96)00006-8. A Technical Report version is available here.


1995


Applying Bundle Methods to Optimization of Polyhedral Functions: an Applications-Oriented Development

P. Carraresi, A. Frangioni and M. Nonato

Ricerca Operativa XXV, n. 74, 5–49, 1995

Abstract: Among practical methods for large-scale Nondifferentiable Optimization (NDO), Bundle methods are widely recognized to play a relevant role; despite thier potential, however, they are not often utilized for maximization of polyhedral functions, that appears in many different contexts such as Lagrangian Duals and decomposition algorithms, since simpler-to-program but less efficient approaches like subgradient methods are preferred. The aim of this work is to provide an applications-oriented survey of the theory of Bundle methods when applied to problems arising in continuous and combinatorial optimization, with an introduction to the several variants of Bundle approaches that can be built up by using a limited set of basic concepts and tools.

Keywords: Nondifferentiable Optimization, Bundle methods, Lagrangian Duals

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On a New Class of Bilevel Programming Problems and its Use for Reformulating Mixed Integer Problems

A. Frangioni

European Journal of Operational Research 82(3), 615–646, 1995

Abstract: We extend some known results about the Bilevel Linear Problem (BLP), a hierarchical two-stage optimization problem, showing how it can be used to reformulate any Mixed Integer (Linear) Problem; then, we introduce some new concepts, which might be useful to fasten almost all the known algorithms devised for BLP. As this kind of reformulation appears to be somewhat artificial, we define a natural generalization of BLP, the Bilevel Linear/Quadratic Problem (BL/QP), and show that most of the exact and/or approximate algorithms originally devised for the BLP, such as GSA or K-th Best, can be extended to this new class of Bilevel Programming Problems. For BL/QP, more "natural" reformulations of MIPs are available, leading to the use of known (nonexact) algorithms for BLP as (heuristic) approaches to MIPs: we report some contrasting results obtained in the Network Design Problem case, showing that, although the direct application of our (Dual) GSA algorithm is not of any practical use, we obtain as a by-product a good theoretical characterization of the optimal solutions set of the NDP, along with a powerful scheme for constructing fast algorithms for the Minimum Cost Flow Problem with piecewise convex linear cost functions.

Keywords: Bilevel Problems, Integer Programming, Network Programming

The published paper is available at http://dx.doi.org/10.1016/0377-2217(93)E0217-L. No Technical Report was done at the time; I aopolgize but I was young, I haden't learnt the trick already. Should you fancy a copy, please be sure to ask.