Continuous Linear Programs Research Articles

Integer‐Sheet‐Pump Quantization for Hexahedral Meshing

AbstractSeveral state‐of‐the‐art algorithms for semi‐structured hexahedral meshing involve a so called quantization step to decide on the integer DoFs of the meshing problem, corresponding to the number of hexahedral elements to embed into certain regions of the domain. Existing reliable methods for quantization are based on solving a sequence of integer quadratic programs (IQP). Solving these in a timely and predictable manner with general‐purpose solvers is a challenge, even more so in the open‐source field. We present here an alternative robust and efficient quantization scheme that is instead based on solving a series of continuous linear programs (LP), for which solver availability and efficiency are not an issue. In our formulation, such LPs are used to determine where inflation or deflation of virtual hexahedral sheets are favorable. We compare our method to two implementations of the former IQP formulation (using a commercial and an open‐source MIP solver, respectively), finding that (a) the solutions found by our method are near‐optimal or optimal in most cases, (b) these solutions are found within a much more predictable time frame, and (c) the state of the art run time is outperformed, in the case of using the open‐source solver by orders of magnitude.

A conflict-directed approach to chance-constrained mixed logical linear programming

Resistance to the adoption of autonomous systems comes in part from the perceived unreliability of the systems. The concerns can be addressed by deploying decision making algorithms that defines what it means to fail, and look for plans with the highest reward while limiting the probability of failure.This chance-constrained approach thus explicitly imposes a set of constraints that must be satisfied for success, and provides upper-bounds on the probability of violating such constraints. A chance-constrained mixed logical-linear program (CC-MLLP) is a natural formulation, allowing for the specification of linear and logical constraints, with probabilistic continuous variables. The formalism can be used to describe problems ranging from autonomous underwater vehicle path planning, to network routing under uncertainty.While naive encodings of CC-MLLPs can be solved with generalised solvers, the solution time may be unreasonable. In this work, we study architectures to speed up solutions by partitioning CC-MLLPs into the discrete and continuous portions. In order to provide faster solutions, we investigate methods for speeding up the solutions to the continuous chance-constrained linear programs. Further, by exploiting the new solution methods, we develop techniques for guiding the discrete decision making portion of the problem. The resulting algorithm achieves 10 times speed up over prior approaches on autonomous path planning benchmarks.

An optimization framework for opportunistic planning of preventive maintenance activities

Methodologies for designing maintenance policies, such as Reliability Centered Maintenance (RCM), provide a list of recommended preventive maintenance (PM) activities as well as the periodicity for their execution, to comply with safety and reliability standards. This information is then used to elaborate PM plans, defining the instants of execution of each PM activity in the policy throughout a planning horizon, while assuring adequate levels of equipment availability, labor and resource coordination, and spare parts management. Preferably, it is sought to group PM activities executions to form opportunistic work packages to reduce functionality interruptions on the equipment. To address the latter issue, this paper presents an optimization framework for the medium-term opportunistic planning of PM activities on a single machine. The proposed framework is formulated as a computationally tractable continuous time mixed-integer linear program (MILP) that determines the execution instants of PM activities, considering time window tolerances for advancing or delaying executions to maximize the number of grouped executions or, equivalently, minimizing the number of stoppages needed to comply with a PM policy. Diverse numerical experiments are conducted, considering variants of the model regarding the conservativeness in use of the time window tolerances and the inclusion of resource constraints for planning. The results show that the reductions on the number of stoppages of the PM plans, that can be achieved from different levels of time window tolerances, are more significant for PM policies composed by activities with more heterogeneous periodicities of execution.

Inverse conic linear programs in Banach spaces

Given the costs and a feasible solution for a finite-dimensional linear program (LP), inverse optimization involves finding new costs that are close to the original and that also render the given solution optimal. Ahuja and Orlin employed the absolute sum norm and the maximum absolute norm to quantify distances between cost vectors, and applied duality to establish that the inverse LP problem can be formulated as another finite-dimensional LP. This was recently extended to semi-infinite LPs, countably infinite LPs, and finite-dimensional conic optimization problems. These works provide sufficient conditions so that the inverse problem also belongs to the same class as the forward problem. This paper extends this result to conic LPs in potentially infinite-dimensional Banach spaces. Moreover, the paper presents concrete derivations for continuous conic LPs, whose special cases include continuous linear programs and continuous conic programs; normed cone programs in Banach spaces, which include second-order cone programs as a special case; and semi-definite programs in Hilbert spaces. These derivations reveal the sharper result that, in each case, the inverse problem belongs to the same specific subclass as the forward problem. Instances where existing forward algorithms can then be adapted to solve the inverse problems are identified. Results in this paper may enable the application of inverse optimization to as yet unexplored areas such as continuous-time economic planning, continuous-time job-shop scheduling, continuous-time network flow, maximum flow with time-varying edge-capacities, and wireless optimization with time-varying coverage requirements.

Dynamic Matching for Real-Time Ride Sharing

In a ride-sharing system, arriving customers must be matched with available drivers. These decisions affect the overall number of customers matched, because they impact whether future available drivers will be close to the locations of arriving customers. A common policy used in practice is the closest driver policy, which offers an arriving customer the closest driver. This is an attractive policy because it is simple and easy to implement. However, we expect that parameter-based policies can achieve better performance. We propose matching policies based on a continuous linear program (CLP) that accounts for (i) the differing arrival rates of customers and drivers in different areas of the city, (ii) how long customers are willing to wait for driver pickup, (iii) how long drivers are willing to wait for a customer, and (iv) the time-varying nature of all the aforementioned parameters. We prove asymptotic optimality of a forward-looking CLP-based policy in a large market regime and of a myopic linear program–based matching policy when drivers are fully utilized. When pricing affects customer and driver arrival rates and parameters are time homogeneous, we show that asymptotically optimal joint pricing and matching decisions lead to fully utilized drivers under mild conditions.

Robust continuous linear programs

Continuous linear programs (CLPs) arise in applications such as production/economic planning, continuous-time network flow problems, fluid relaxations of multiclass queueing networks, and control. To the best of the author’s knowledge, this paper proposes the first robust optimization framework for CLPs. The main result of the paper is that the robust counterpart of a CLP is also a CLP. Thus, any computational method for the original problem can be applied to the robust problem. For instance, a recent polynomial-time approximation algorithm applies. Further, if the original problem possesses a so-called separable structure, then the robust problem is also separable. Then existing Simplex-type and other discretization-based solution methods can be applied to the robust problem. The paper also provides a bound on the probability that an optimal solution to the robust counterpart violates a constraint in the original problem. Qualitative properties of this bound are discussed and compared with similar bounds for robust finite-dimensional linear programs.

A simplex-type algorithm for continuous linear programs with constant coefficients

We consider continuous linear programs over a continuous finite time horizon $T$, with a constant coefficient matrix, linear right hand side functions and linear cost coefficient functions, where we search for optimal solutions in the space of measures or of functions of bounded variation. These models generalize the separated continuous linear programming models and their various duals, as formulated in the past by Anderson, by Pullan, and by Weiss. In previous papers we have shown that these problems possess optimal strongly dual solutions. We also have presented a detailed description of optimal solutions and have defined a combinatorial analogue to basic solutions of standard LP. In this paper we present an algorithm which solves this class of problems in a finite bounded number of steps, using an analogue of the simplex method, in the space of measures.

Energy-efficient real-time scheduling for two-type heterogeneous multiprocessors

We propose three novel mathematical optimization formulations that solve the same two-type heterogeneous multiprocessor scheduling problem for a real-time taskset with hard constraints. Our formulations are based on a global scheduling scheme and a fluid model. The first formulation is a mixed-integer nonlinear program, since the scheduling problem is intuitively considered as an assignment problem. However, by changing the scheduling problem to first determine a task workload partition and then to find the execution order of all tasks, the computation time can be significantly reduced. Specifically, the workload partitioning problem can be formulated as a continuous nonlinear program for a system with continuous operating frequency, and as a continuous linear program for a practical system with a discrete speed level set. The latter problem can therefore be solved by an interior point method to any accuracy in polynomial time. The task ordering problem can be solved by an algorithm with a complexity that is linear in the total number of tasks. The work is evaluated against existing global energy/feasibility optimal workload allocation formulations. The results illustrate that our algorithms are both feasibility optimal and energy optimal for both implicit and constrained deadline tasksets. Specifically, our algorithm can achieve up to 40% energy saving for some simulated tasksets with constrained deadlines. The benefit of our formulation compared with existing work is that our algorithms can solve a more general class of scheduling problems due to incorporating a scheduling dynamic model in the formulations and allowing for a time-varying speed profile.

Capacity and Stable Scheduling in Heterogeneous Wireless Networks

Heterogeneous wireless networks (HetNets) provide a means to increase network capacity by introducing small cells and adopting a layered architecture. HetNets allocate resources flexibly through time sharing and cell range expansion/contraction allowing a wide range of possible schedulers. In this paper, we define the capacity of a HetNet down link in terms of the maximum number of downloads per second, which can be achieved for a given offered traffic density. Given this definition we show that the capacity is determined via the solution to a continuous linear program (LP). If the solution is smaller than 1 then there is a scheduler such that the number of mobiles in the network has ergodic properties with finite mean waiting time. If the solution is greater than 1 then no such scheduler exists. These results have clear implications for network planning. The above results continue to hold if a more general class of schedulers is considered.

Structure of Solutions for Continuous Linear Programs with Constant Coefficients

We consider continuous linear programs over a continuous finite time horizon $T$, with linear cost coefficient functions, linear right-hand side functions, and a constant coefficient matrix, as well as their symmetric dual. We search for optimal solutions in the space of measures or of functions of bounded variation. These models generalize the separated continuous linear programming models and their various duals, as formulated in the past by Anderson, by Pullan, and by Weiss. In a recent paper, we have shown that under a Slater-type condition, these problems possess optimal strongly dual solutions. In this paper, we give a detailed description of optimal solutions and define a combinatorial analogue to basic solutions of standard LP. We also show that feasibility implies existence of strongly dual optimal solutions without requiring the Slater condition. We present several examples to illustrate the richness and complexity of these solutions.

Symmetric Strong Duality for a Class of Continuous Linear Programs with Constant Coefficients

We consider Continuous Linear Programs over a continuous finite time horizon $T$, with linear cost coefficient functions and linear right hand side functions and a constant coefficient matrix, where we search for optimal solutions in the space of measures or of functions of bounded variation. These models generalize the Separated Continuous Linear Programming models and their various duals, as formulated in the past by Anderson, by Pullan, and by Weiss. We present simple necessary and sufficient conditions for feasibility. We formulate a symmetric dual and investigate strong duality by considering discrete time approximations. We prove that under a Slater type condition there is no duality gap and there exist optimal solutions which have impulse controls at $0$ and $T$ and have piecewise constant densities in $(0,T)$. Moreover, we show that under non-degeneracy assumptions all optimal solutions are of this form, and are uniquely determined over $(0,T)$.

Piecewise Linear Multicriteria Programs: The Continuous Case and Its Discontinuous Generalization

In this paper we study piecewise linear multicriteria programs, that is, multicriteria programs with either a continuous or discontinuous piecewise linear objective function and a polyhedron set constraint. We obtain an algebraic representation of a semi-closed polyhedron and apply it to show that the image of a semi-closed polyhedron under a continuous linear function is always one semi-closed polyhedron. We establish that the (weak) Pareto solution/point set of a piecewise linear multicriteria program is the union of finitely many semi-closed polyhedra. We propose an algorithm for finding the Pareto point set of a continuous piecewise linear bi-criteria program and generalize it to the discontinuous case. We apply our algorithm to solve the discontinuous bi-criteria portfolio selection problem with an l∞ risk measure and transaction costs and show that this algorithm can be improved by using an ideal point strategy.

Polynomial Approximations for Continuous Linear Programs

Continuous linear programs have attracted considerable interest due to their potential for modeling manufacturing, scheduling, and routing problems. While efficient simplex-type algorithms have been developed for separated continuous linear programs, crude time discretization remains the method of choice for solving general (nonseparated) problem instances. In this paper we propose a more generic approximation scheme for nonseparated continuous linear programs, where we approximate the functional decision variables (policies) by polynomial and piecewise polynomial decision rules. This restriction results in an upper bound on the original problem, which can be computed efficiently by solving a tractable semidefinite program. To estimate the approximation error, we also compute a lower bound by solving a dual continuous linear program in (piecewise) polynomial decision rules. We establish the convergence of the primal and dual approximations under Slater-type constraint qualifications. We also highlight the...

Solution Algorithms for a Class of Continuous Linear Programs with Fuzzy Valued Objective Functions

This paper discusses a class of continuous linear programs with fuzzy valued objective functions. A member of this class is called a fuzzy separated continuous linear program (FSCLP). Such problems have applications in a number of domains, including, production and inventory systems, communication networks, and pipeline systems for transportation. The discretization approach is used to construct two ordinary fuzzy linear programming problems, which give a lower and an upper bound on the optimal value of FSCLP. It is then shown how to construct an improved feasible solution for FSCLP starting from a nonoptimal one. This leads to the development of a class of algorithms based on a sequence of discrete approximations to FSCLP. Numerical examples in the context of continuous-time networks are presented to show the applicability of the proposed method.

Robust network optimization under polyhedral demand uncertainty is [formula omitted]-hard

Minimum cost network design/dimensioning problems where feasibility has to be ensured w.r.t. a given (possibly infinite) set of scenarios of requirements form an important subclass of robust L P problems with right-hand side uncertainty. Such problems arise in many practical contexts such as Telecommunications, logistic networks, power distribution networks, etc. Though some evidence of the computational difficulty of such problems can be found in the literature, no formal NP-hardness proof was available up to now. In the present paper, this pending complexity issue is settled for all robust network optimization problems featuring polyhedral demand uncertainty, both for the single-commodity and multicommodity case, even if the corresponding deterministic versions are polynomially solvable as regular (continuous) linear programs. A new family of polynomially solvable instances is also discussed.

Near optimal control of queueing networks over a finite time horizon

We propose a method for the control of multi-class queueing networks over a finite time horizon. We approximate the multi-class queueing network by a fluid network and formulate a fluid optimization problem which we solve as a separated continuous linear program. The optimal fluid solution partitions the time horizon to intervals in which constant fluid flow rates are maintained. We then use a policy by which the queueing network tracks the fluid solution. To that end we model the deviations between the queuing and the fluid network in each of the intervals by a multi-class queueing network with some infinite virtual queues. We then keep these deviations stable by an adaptation of a maximum pressure policy. We show that this method is asymptotically optimal when the number of items that is processed and the processing speed increase. We illustrate these results through a simple example of a three stage re-entrant line.

A simplex based algorithm to solve separated continuous linear programs

We consider the separated continuous linear programming problem with linear data. We characterize the form of its optimal solution, and present an algorithm which solves it in a finite number of steps, using an analog of the simplex method, in the space of bounded measurable functions.

Primal-dual stability in continuous linear optimization

Any linear (ordinary or semi-infinite) optimization problem, and also its dual problem, can be classified as either inconsistent or bounded or unbounded, giving rise to nine duality states, three of them being precluded by the weak duality theorem. The remaining six duality states are possible in linear semi-infinite programming whereas two of them are precluded in linear programming as a consequence of the existence theorem and the non-homogeneous Farkas Lemma. This paper characterizes the linear programs and the continuous linear semi-infinite programs whose duality state is preserved by sufficiently small perturbations of all the data. Moreover, it shows that almost all linear programs satisfy this stability property.

Efficient Algorithms for Separated Continuous Linear Programs: The Multicommodity Flow Problem with Holding Costs and Extensions

We give an approximation scheme for separated continuous linear programming problems. Such problems arise as fluid relaxations of multiclass queueing networks and are used to find approximate solutions to complex job shop scheduling problems. In a network with linear flow costs and linear, per-unit-time holding costs, our algorithm finds a drainage of the network that, for given constants ε > 0 and δ > 0, has total cost (1 + ε)OPT + δ, where OPT is the cost of the minimum cost drainage. The complexity of our algorithm is polynomial in the size of the input network, 1/ε, and log(1/δ). The fluid relaxation is a continuous problem. While the problem is known to have a piecewise constant solution, it is not known to have a polynomially sized solution. We introduce a natural discretization of polynomial size and prove that this discretization produces a solution with low cost. This is the first polynomial time algorithm with a provable approximation guarantee for fluid relaxations.

An extended algorithm for separated continuous linear programs

Separated continuous linear programs (SCLP) are a class of continuous linear programs which, among other things, can serve as a useful model for dynamic network problems where storage is permitted at the nodes. Recent work on SCLP has produced a detailed duality theory, conditions under which an optimal solution exists with a finite number of breakpoints, a purification algorithm, as well as a convergent algorithm for solving SCLP under certain assumptions on the problem data. This paper combines much of this work to develop a possible approach for solving a wider range of SCLP problems, namely those with fairly general costs. The techniques required to implement the algorithm are no more than standard (finite-dimensional) linear programming and line searching, and the resulting algorithm is simplex-like in nature. We conclude the paper with the numerical results obtained by using a simple implementation of the algorithm to solve a small problem.