Добірка наукової літератури з теми "Chance-constrained optimisation"

Probabilistic Simple Temporal Networks (PSTN) are used to represent scheduling problems under uncertainty. In a temporal network that is Strongly Controllable (SC) there exists a concrete schedule that is robust to any uncertainty. We solve the problem of determining Chance Constrained PSTN SC as a Joint Chance Constrained optimisation problem via column generation, lifting the usual assumptions of independence and Boole's inequality typically leveraged in PSTN literature. Our approach offers on average a 10 times reduction in cost versus previous methods.

Compared with traditional freight transportation, intermodal freight transportation is more competitive which can combine the advantages of different transportation modes. As a consequence, operational research on intermodal freight transportation has received more attention and developed rapidly, but it is still a young research field. In this paper, a stochastic intermodal service network design problem is introduced in a sea-rail transportation system, which considers stochastic travel time, stochastic transfer time, and stochastic container demand. Given candidate train and ship services, we develop a two-stage chance constrained programming model for this problem with the objective of minimising the expected total cost. The first stage allows for the selection of operated services, while the second stage focuses on the determination of intermodal container routes where capacity and on-time delivery chance constraints are presented. A hybrid heuristic algorithm, incorporating sample average approximation and ant colony optimisation, is employed to solve this model. The proposed model is applied to a realistic intermodal sea-rail network, which demonstrates the performance of the model and algorithm as well as the influence of stochasticity on transportation plans. Hence, the proposed methodology can improve effectively the performance of intermodal service network design scheme under stochastic conditions and provide managerial insights for decision-makers.

The automated gain control (AGC) units as well as other non AGC equipment may be utilized in real-time power transmitting (RTPD) to coordinate the operations (RTD). In order to guarantee high-probability system security and to save operating costs, it is essential to correctly define the probable Wind Energy Forecast (WPFE) mistakes in RTD. The Cauchy Distribution (CD) is the perfect match for the "leptokurtic" characteristic of WPFE small-scale distributions, following previous research and our onsite testing. In this study, the CD represents WPFE, which is suggested to provide a chance-controlled real-time dispatch (CCRTD) paradigm (Chance-Constrained Randomization). The suggested CCRTD Model may be analytically converted to the "Convex Optimisation Problem," which takes into consideration the dependency of the wind farm outputs because of the stability and attractive mathematical features of the CD. The inclusion of a refined control method that may also be used in combination with AGC systems is an additional aspect of the suggested model. This technique, when combined with the WPFE RTD Stage, allows the CCRTD to respond to the higher ramping power requirements as well as power variations on WPFE-generated transmittal lines. The proposed technique was shown to be trustworthy and efficient in numerical testing. It is nevertheless extremely effective as well as suitable for usage.

Cette thèse est dediée à l'alanyse numérique de méthodes numériques dans le domaine du contrôle optimal, et est composée de deux parties. La première partie est consacrée à des nouveaux résultats concernant des méthodes numériques pour le contrôle optimal de systèmes hybrides, qui peuvent être contrôlés simultanément par des fonctions mesurables et des sauts discontinus dans la variable d'état. La deuxième partie est dédiée è l'étude d'une application spécifique surl'optimisation de trajectoires pour des lanceurs spatiaux avec contraintes en probabilité. Ici, on utilise des méthodes d'optimisation nonlineaires couplées avec des techniques de statistique non parametrique. Le problème traité dans cette partie appartient à la famille des problèmes d'optimisation stochastique et il comporte la minimisation d'une fonction de coût en présence d'une contrainte qui doit être satisfaite dans les limites d'un seuil de probabilité souhaité
This thesis is devoted to the analysis of numerical methods in the field of optimal control, and it is composed of two parts. The first part is dedicated to new results on the subject of numerical methods for the optimal control of hybrid systems, controlled by measurable functions and discontinuous jumps in the state variable simultaneously. The second part focuses on a particular application of trajectory optimization problems for space launchers. Here we use some nonlinear optimization methods combined with non-parametric statistics techniques. This kind of problems belongs to the family of stochastic optimization problems and it features the minimization of a cost function in the presence of a constraint which needs to be satisfied within a desired probability threshold

Le problème de dimensionnement et planification d'agents en centre d'appels consiste à déterminer sur une période le nombre d'interlocuteurs requis afin d'atteindre la qualité de service exigée et minimiser les coûts induits. Ce sujet fait l'objet d'un intérêt croissant pour son intérêt théorique mais aussi pour l'impact applicatif qu'il peut avoir. Le but de cette thèse est d'établir des approches en contraintes en probabilités en considérant l'incertitude de la demande.Tout d'abord, la thèse présente un modèle en problème d'optimisation stochastique avec contrainte en probabilité jointe traitant la problématique complète en une étape afin d'obtenir un programme facile à résoudre. Une approche basée sur l'idée de continuité est proposée grâce à des lois de probabilité continues, une nouvelle relation entre les taux d'arrivées et les besoins théoriques et la linéarisation de contraintes. La répartition du risque global est faite pendant le processus d'optimisation, permettant une solution au coût réduit. Ces solutions résultantes respectent le niveau de risque tout en diminuant le coût par rapport à d'autres approches.De plus, le modèle en une étape est étendu pour améliorer sa représentation de la réalité. D'une part, le modèle de file d'attente est amélioré et inclus la patience limitée des clients. D'autre part, une nouvelle expression de l'incertitude est proposée pour prendre la dépendance des périodes en compte.Enfin, une nouvelle représentation de l'incertitude est considérée. L'approche distributionally robust permet de modéliser le problème sous l'hypothèse que la loi de probabilité adéquate est inconnue et fait partie d'un ensemble de lois, défini par une moyenne et une variance données. Le problème est modélisé par une contrainte en probabilité jointe. Le risque à chaque période est définie par une variable à optimiser.Un problème déterministe équivalent est proposé et des approximations linéaires permettent d'obtenir une formulation d'optimisation linéaire
The staffing and shift-scheduling problems in call centers consist in deciding how many agents handling the calls should be assigned to work during a given period in order to reach the required Quality of Service and minimize the costs. These problems are subject to a growing interest, both for their interesting theoritical formulation and their possible applicative effects. This thesis aims at proposing chance-constrained approaches considering uncertainty on demand forecasts.First, this thesis proposes a model solving the problems in one step through a joint chance-constrained stochastic program, providing a cost-reducing solution. A continuous-based approach leading to an easily-tractable optimization program is formulated with random variables following continuous distributions, a new continuous relation between arrival rates and theoritical real agent numbers and constraint linearizations. The global risk level is dynamically shared among the periods during the optimization process, providing reduced-cost solution. The resulting solutions respect the targeted risk level while reducing the cost compared to other approaches.Moreover, this model is extended so that it provides a better representation of real situations. First, the queuing system model is improved and consider the limited patience of customers. Second, another formulation of uncertainty is proposed so that the period correlation is considered.Finally, another uncertainty representation is proposed. The distributionally robust approach provides a formulation while assuming that the correct probability distribution is unknown and belongs to a set of possible distributions defined by given mean and variance. The problem is formulated with a joint chance constraint. The risk at each period is a decision variable to be optimized. A deterministic equivalent problem is proposed. An easily-tractable mixed-integer linear formulation is obtained through piecewise linearizations

We describe Employees Provident Funds (EPF) Malaysia. We explain about Defined Contribution and Defined Benefit Pension Funds and examine their similarities and differences. We also briefly discuss and compare EPF schemes in four Commonwealth countries. A family of Stochastic Programming Models is developed for the Employees Provident Fund Malaysia. This is a family of ex-ante decision models whose main aim is to manage, that is, balance assets and liabilities. The decision models comprise Expected Value Linear Programming, Two Stage Stochastic Programming with recourse, Chance Constrained Programming and Integrated Chance Constraints Programming. For the last three decision models we use scenario generators which capture the uncertainties of asset returns, salary contributions and lump sum liabilities payments. These scenario generation models for Assets and liabilities were developed and calibrated using historical data. The resulting decisions are evaluated with in-sample analysis using typical risk adjusted performance measures. Out- of- sample testing is also carried out with a larger set of generated scenarios. The benefits of two stage stochastic programming over deterministic approaches on asset allocation as well as the amount of borrowing needed for each pre-specified growth dividend are demonstrated. The contributions of this thesis are i) an insightful overview of EPF ii) construction of scenarios for assets returns and liabilities with different values of growth dividend, that combine the Markov population model with the salary growth model and retirement payments iii) construction and analysis of generic ex-ante decision models taking into consideration uncertain asset returns and uncertain liabilities iv) testing and performance evaluation of these decisions in an ex-post setting.

L'objectif de ce travail de thèse est de poser, d'analyser et de résoudre le problème multidisciplinaire et multi-objectif de la conception d'avions plus écologiques et plus économiques. Dans ce but, les principaux drivers de l'optimisation des performances d'un avion seront: la géométrie de l'avion, son moteur ainsi que son profil de mission, autrement dit sa trajectoire. Les objectifs à minimiser considérés sont la consommation de carburant, l'impact climatique et le coût d'opération de l'avion. L'étude sera axée sur la stratégie de recherche de compromis entre ces objectifs, afin d'identifier les configurations d'avions optimales selon le critère sélectionné et de proposer une analyse de ces résultats. L'incertitude présente au niveau des modèles utilisés sera prise en compte par des méthodes rigoureusement sélectionnées. Une configuration d'avion hybride est proposée pour atteindre l'objectif de réduction d'impact climatique
The objective of this PhD work is to pose, investigate, and solve the highly multidisciplinary and multiobjective problem of environmentally efficient aircraft design and operation. In this purpose, the main three drivers for optimizing the environmental performance of an aircraft are the airframe, the engine, and the mission profiles. The figures of merit, which will be considered for optimization, are fuel burn, local emissions, global emissions, and climate impact (noise excluded). The study will be focused on finding efficient compromise strategies and identifying the most powerful design architectures and design driver combinations for improvement of environmental performances. The modeling uncertainty will be considered thanks to rigorously selected methods. A hybrid aircraft configuration is proposed to reach the climatic impact reduction objective

Le problème de tournées de véhicules avec contrainte de capacité est un problème important en optimisation combinatoire. L'objectif du problème est de déterminer l'ensemble des routes, nécessaire pour servir les demandes déterministes des clients ayant un cout minimal, tout en respectant la capacité limite des véhicules. Cependant, dans de nombreuses applications réelles, nous sommes confrontés à des incertitudes sur les demandes des clients. La plupart des travaux qui ont traité ce problème ont supposé que les demandes des clients étaient des variables aléatoires. Nous nous proposons dans cette thèse de représenter l'incertitude sur les demandes des clients dans le cadre de la théorie de l'évidence - un formalisme alternatif pour modéliser les incertitudes. Pour résoudre le problème d'optimisation qui résulte, nous généralisons les approches de modélisation classiques en programmation stochastique. Précisément, nous proposons deux modèles pour ce problème. Le premier modèle, est une extension de l'approche chance-constrained programming, qui impose des bornes minimales pour la croyance et la plausibilité que la somme des demandes sur chaque route respecte la capacité des véhicules. Le deuxième modèle étend l'approche stochastic programming with recourse: l'incertitude sur les recours (actions correctives) possibles sur chaque route est représentée par une fonction de croyance et le coût d'une route est alors son coût classique (sans recours) additionné du pire coût espéré des recours. Certaines propriétés de ces deux modèles sont étudiées. Un algorithme de recuit simulé est adapté pour résoudre les deux modèles et est testé expérimentalement
The capacitated vehicle routing problem is an important combinatorial optimisation problem. Its objective is to find a set of routes of minimum cost, such that a fleet of vehicles initially located at a depot service the deterministic demands of a set of customers, while respecting capacity limits of the vehicles. Still, in many real-life applications, we are faced with uncertainty on customer demands. Most of the research papers that handled this situation, assumed that customer demands are random variables. In this thesis, we propose to represent uncertainty on customer demands using evidence theory - an alternative uncertainty theory. To tackle the resulting optimisation problem, we extend classical stochastic programming modelling approaches. Specifically, we propose two models for this problem. The first model is an extension of the chance-constrained programming approach, which imposes certain minimum bounds on the belief and plausibility that the sum of the demands on each route respects the vehicle capacity. The second model extends the stochastic programming with recourse approach: it represents by a belief function for each route the uncertainty on its recourses (corrective actions) and defines the cost of a route as its classical cost (without recourse) plus the worst expected cost of its recourses. Some properties of these two models are studied. A simulated annealing algorithm is adapted to solve both models and is experimentally tested

Constraint handling is difficult in model predictive control (MPC) of linear differential inclusions (LDIs) and linear parameter varying (LPV) systems. The designer is faced with a choice of using conservative bounds that may give poor performance, or accurate ones that require heavy online computation. This thesis presents a framework to achieve a more flexible trade-off between these two extremes by using a state tube, a sequence of parametrised polyhedra that is guaranteed to contain the future state. To define controllers using a tube, one must ensure that the polyhedra are a sub-set of the region defined by constraints. Necessary and sufficient conditions for these subset relations follow from duality theory, and it is possible to apply these conditions to constrain predicted system states and inputs with only a little conservatism. This leads to a general method of MPC design for uncertain-parameter systems. The resulting controllers have strong theoretical properties, can be implemented using standard algorithms and outperform existing techniques. Crucially, the online optimisation used in the controller is a convex problem with a number of constraints and variables that increases only linearly with the length of the prediction horizon. This holds true for both LDI and LPV systems. For the latter it is possible to optimise over a class of gain-scheduled control policies to improve performance, with a similar linear increase in problem size. The framework extends to stochastic LDIs with chance constraints, for which there are efficient suboptimal methods using online sampling. Sample approximations of chance constraint-admissible sets are generally not positively invariant, which motivates the novel concept of ‘sample-admissible' sets with this property to ensure recursive feasibility when using sampling methods. The thesis concludes by introducing a simple, convex alternative to chance-constrained MPC that applies a robust bound to the time average of constraint violations in closed-loop.

Cette thèse a pour objectif la proposition de nouvelles approches algorithmiques et de modélisation pour la résolution de certains problèmes d’optimisation de réseau dans les domaines des transports et des télécommunications. Plus précisément, les problèmes étudiés tombent dans le domaine du transport aérien, nommément le problème d’affectation des niveaux de vol dans l’espace aérienne, et dans le domaine des télécommunications où on traite des problèmes d’allocation de ressources dans les réseaux 5G. Un aspect important qui a été pris en compte dans cette étude est l’incertitude des données, c’est-à-dire le fait qu’une partie des données d’entrée ne sont pas connues de façon précise. Notre tâche a consisté à modéliser chacun des problèmes, proposer une formulation compacte des variantes déterministe et robuste, et proposer des approches appropriées pour les résoudre. Les problèmes étudiés tombent dans la catégorie des problèmes NP-complets et ils sont difficile à résoudre même pour des instances de taille modeste. Ils deviennent encore plus difficiles dans leur version robuste. Pour le problème d’affectation des niveaux de vols, nous avons considéré les incertitudes liées à l’heure de départ qui sont modélisées via un modèle de mélange gaussien. Le problème est modélisé comme un « chance-constrained problem » et résolu par un algorithme heuristique de génération de contraintes. Il s’agit d’une approche générale qui trouvera des applications plus large que ceux étudiés dans cette thèse. Ensuite, nous avons étudié la conception optimale des réseaux sans fil de 5ème génération (5G) dans le contexte de l’architectures Superfluid. Plus précisément, l’architecture 5G Superfluid est basée sur des entités de réseau appelées « Bloc Fonctionnel Réutilisable » (RFB) qui sont à la base des réseaux 5G. Nous avons étudié le problème de conception d’un tel réseau Superfluid à coût minimum pour lequel une formulation en programme linéaire mixte suivie d’une approche de résolution utilisant la décomposition de Benders a été implémentée ont été proposées. Enfin, le problème spécifique de conception de réseaux virtuels a été considéré sous l’angle de l’efficacité énergétique. Nous avons proposé une formulation de programmation linéaire en nombres entiers mixte du problème robuste, et présentons une nouvelle matheuristique basée sur la combinaison d’un algorithme génétique avec la recherche de voisinage. Les résultats numériques ont porté sur des instances de taille réalistes et ont montré la validité des modèles et des approches proposées
This Ph.D. Thesis is focused on proposing new optimization modeling and algorithmic approaches for dealing with real-world network optimization problems arising in the transportation and telecommunications fields. Since the focus has been on real-world applications, a relevant aspect that has been taken into account is data uncertainty, i.e. the fact that the value of a subset of input data of the problem is not exactly known when the problem is solved. More precisely, in the context of transportation problems, it was considered the flight level assignment problem, which arises in air traffic management. It aims at establishing the flight levels of a set of aircraft in order to improve the total assignment revenue, to reduce the total number of flight conflicts and also the total en-route delay. In this context, we proposed a new chance-constrained optimization problem and iterative constraint-generation heuristic which is based on both analytical and sampling methods. Besides transportation problems, this Thesis has also focused on the optimal design of 5th generation of wireless networks (5G) considering Superfluid and virtual architectures. Specifically, the 5G Superfluid architecture is based on atomic virtual entities called Reusable Functional Block (RFB). We investigated the problem of minimizing the total installation costs of a 5G Superfluid network (composed of virtual entities and realized over a physical network) while guaranteeing constraint on user coverage, downlink traffic performance and technical constraints on RFBs of different nature. To solve this hard problem, we proposed a Benders decomposition approach. Concerning instead the design of general virtual networks, we adopted a green paradigm that pursues energy-efficiency and tackled a state-of-the-art robust mixed integer linear programming formulation of the problem, by means of a new matheuris tic based on combining a genetic algorithm with exact large neighborhood searches. Results of computational tests executed considering realistic problem instances have shown the validity of all the new optimization modeling and algorithmic approaches proposed in this Thesis for the transportation and telecommunications problems sketched above

Bio-inspired methods have been widely used to solve stochastic optimisation problems, and they can find high-quality solutions. Motivated by real-world applications such as mining engineering problems where constraint violations have distributive effects, we discuss using chance-constrained optimisation to solve optimisation problems under various uncertainties. This thesis contributes to the theoretical analysis and application of evolutionary algorithms on chance-constrained combinatorial optimisation problems. We address complex problems under stochastic settings and are subject to chance constraints. We start our investigations in two significant areas: chance-constrained knapsack problem (CCKP) and a real-world application problem. The CCKP is a stochastic version of the classical knapsack problem, which aims to maximise the profit of selected items under a constraint that the knapsack capacity bound is violated with a small probability. We first show how to use well-known deviation inequalities as surrogate functions when tacking the chance constraint. Then, we investigate the performance of some classical approaches for solving knapsack problems and the simplest single- and multi-objective evolutionary algorithms on solving the CCKP instances. Our experimental results show that evolutionary algorithms perform better than those classical approaches in computation time and quality of solutions. Afterwards, to improve the performance of the evolutionary algorithms on solving the chance-constrained knapsack problems, we examine the use of two problem-specific operators and present a new multi-objective model of the problem. Our experimental results show that this leads to significant performance improvements when using the proposed operators in multi-objective evolutionary algorithms. Then, we perform a runtime analysis of a randomised search algorithm and a basic evolutionary algorithm for the chance-constrained knapsack problem with correlated uniform weights. Furthermore, we investigate a real-world problem in this thesis, the stockpile blending problem, which aims to blend material from stockpiles to construct concentrate parcels containing optimal metal grades. For this problem, we first present the model of the problem without chance constraints and name it the "deterministic model" and then show that the results obtained by a differential evolution approach are better than the actual results for all instances. We then consider the problem with uncertain source supply, named the stockpile blending problem with chance constraints. We introduce chance-constrained optimisation to guarantee the constraints are violated with a small probability to tackle the stochastic material grades and evaluate the performance of the differential evolution algorithm.
Thesis (Ph.D.) -- University of Adelaide, School of Computer Science, 2021