Ignacio E. Grossmann

Alternative Regularizations for OA Algorithms for Convex MINLP

  • David E. Bernal Neira
  • Ignacio E. Grossmann
  • Jan Kronqvist
  • Zedong Peng
    • Categories (Mixed) Integer Nonlinear Programming, Integer Programming, Nonsmooth Optimization

    In this work, we extend the regularization framework from Kronqvist et al. (https://doi.org/10.1007/s10107-018-1356-3) by incorporating several new regularization functions and develop a regularized single-tree search method for solving convex mixed-integer nonlinear programming (MINLP) problems. We propose a set of regularization functions based on distance-metrics and Lagrangean approximations, used in the projection problem for finding new … Read more

    Mixed-integer Linear Programming Models and Algorithms for Generation and Transmission Expansion Planning of Power Systems

  • Antonio Conejo
  • Ignacio E. Grossmann
  • Can Li
  • Peng Liu
  • Benjamin Omell
  • John D. Siirola
    • Categories Applications - Science and Engineering, Energy Tags , , , ,

    With the increasing penetration of renewable generating units, especially in remote areas not well connected with load demand, there are growing interests to co-optimize generation and transmission expansion planning (GTEP) in power systems. Due to the volatility in renewable generation, a planner needs to include the operating decisions into the planning model to guarantee feasibility. … Read more

    Sample Average Approximation for Stochastic Nonconvex Mixed Integer Nonlinear Programming via Outer Approximation

  • David E. Bernal Neira
  • Kevin C Furman
  • Ignacio E. Grossmann
  • Can Li
    • Categories (Mixed) Integer Nonlinear Programming, Stochastic Programming Tags , , ,

    Stochastic mixed-integer nonlinear programming (MINLP) is a very challenging type of problem. Although there have been recent advances in developing decomposition algorithms to solve stochastic MINLPs, none of the existing algorithms can address stochastic MINLPs with continuous distributions. We propose a sample average approximation-based outer approximation algorithm (SAAOA) that can address nonconvex two-stage stochastic programs … Read more

    A Review on the Performance of Linear and Mixed Integer Two-Stage Stochastic Programming Algorithms and Software

  • Robert Apap
  • Ignacio E. Grossmann
  • Can Li
  • Juan Torres
    • Categories (Mixed) Integer Linear Programming, Stochastic Programming Tags

    This paper presents a tutorial on the state-of-the-art methodologies for the solution of two-stage (mixed-integer) linear stochastic programs and provides a list of software designed for this purpose. The methodologies are classifi ed according to the decomposition alternatives and the types of the variables in the problem. We review the fundamentals of Benders Decomposition, Dual Decomposition … Read more

    A generalized Benders decomposition-based branch and cut algorithm for two-stage stochastic programs with nonconvex constraints and mixed-binary fi rst and second stage variables

  • Ignacio E. Grossmann
  • Can Li
    • Categories Stochastic Programming

    In this paper, we propose a generalized Benders decomposition-based branch and cut algorithm for solving two stage stochastic mixed-integer nonlinear programs (SMINLPs) with mixed binary rst and second stage variables. At a high level, the proposed decomposition algorithm performs spatial branch and bound search on the rst stage variables. Each node in the branch and … Read more

    A Review and Comparison of Solvers for Convex MINLP

  • David E. Bernal Neira
  • Ignacio E. Grossmann
  • Andreas Lundell
  • Jan Kronqvist
    • Categories (Mixed) Integer Nonlinear Programming, Optimization Software Benchmark

    In this paper, we present a review of deterministic software for solving convex MINLP problems as well as a comprehensive comparison of a large selection of commonly available solvers. As a test set, we have used all MINLP instances classified as convex in the problem library MINLPLib, resulting in a test set of 366 convex … Read more

    A finite ε-convergence algorithm for two-stage convex 0-1 mixed-integer nonlinear stochastic programs with mixed-integer first and second stage variables

  • Ignacio E. Grossmann
  • Can Li
    • Categories Stochastic Programming Tags , , ,

    In this paper, we propose a generalized Benders decomposition-based branch and bound algorithm, GBDBAB, to solve two-stage convex 0-1 mixed-integer nonlinear stochastic programs with mixed-integer variables in both first and second stage decisions. In order to construct the convex hull of the MINLP subproblem for each scenario in closed-form, we first represent each MINLP subproblem … Read more

    Using Regularization and Second Order Information in Outer Approximation for Convex MINLP

  • David E. Bernal Neira
  • Ignacio E. Grossmann
  • Jan Kronqvist
    • Categories (Mixed) Integer Nonlinear Programming Tags , ,

    In this paper, we present two new methods for solving convex mixed-integer nonlinear programming problems based on the outer approximation method. The first method is inspired by the level method and uses a regularization technique to reduce the step size when choosing new integer combinations. The second method combines ideas from both the level method … Read more

    Improving the performance of DICOPT in convex MINLP problems using a feasibility pump

  • David E. Bernal Neira
  • Ignacio E. Grossmann
  • Francisco Trespalacios
  • Stefan Vigerske
    • Categories (Mixed) Integer Nonlinear Programming

    The solver DICOPT is based on an outer-approximation algorithm used for solving mixed- integer nonlinear programming (MINLP) problems. This algorithm is very effective for solving some types of convex MINLPs. However, there are certain problems that are dicult to solve with this algorithm. One of these problems is when the nonlinear constraints are so restrictive … Read more

    Electric Power Infrastructure Planning: Mixed-Integer Programming Model and Nested Decomposition Algorithm

  • Ignacio E. Grossmann
  • Dimitri J. Papageorgiou
  • Cristiana L. Lara
  • D. Mallapragada
  • A. Venkatesh
    • Categories (Mixed) Integer Linear Programming, Applications - Science and Engineering Tags , , , , ,

    This paper addresses the long-term planning of electric power infrastructures considering high renewable penetration. To capture the intermittency of these sources, we propose a deterministic multi-scale Mixed-Integer Linear Programming (MILP) formulation that simultaneously considers annual generation investment decisions and hourly operational decisions. We adopt judicious approximations and aggregations to improve its tractability. Moreover, to overcome … Read more