Machine learning models are promising as surrogates in optimization when replacing difficult to solve equations or black-box type models. This work demonstrates the viability of linear model decision trees as piecewise-linear surrogates in decision-making problems. Linear model decision trees can be represented exactly in mixed-integer linear programming (MILP) and mixed-integer quadratic constrained programming (MIQCP) formulations. Furthermore, they can represent discontinuous functions, bringing advantages over neural networks in some cases. We present several formulations using transformations from Generalized Disjunctive Programming (GDP) formulations and modifications of MILP formulations for gradient boosted decision trees (GBDT). We then compare the computational performance of these different MILP and MIQCP representations in an optimization problem and illustrate their use on engineering applications. We observe faster solution times for optimization problems with linear model decision tree surrogates when compared with GBDT surrogates using the Optimization and Machine Learning Toolkit (OMLT).
This report documents the Resilience Enhancements through Deep Learning Yields (REDLY) project, a three-year effort to improve electrical grid resilience by developing scalable methods for system operators to protect the grid against threats leading to interrupted service or physical damage. The computational complexity and uncertain nature of current real-world contingency analysis presents significant barriers to automated, real-time monitoring. While there has been a significant push to explore the use of accurate, high-performance machine learning (ML) model surrogates to address this gap, their reliability is unclear when deployed in high-consequence applications such as power grid systems. Contemporary optimization techniques used to validate surrogate performance can exploit ML model prediction errors, which necessitates the verification of worst-case performance for the models.
This manuscript presents the recent advances in Mixed-Integer Nonlinear Programming (MINLP) and Generalized Disjunctive Programming (GDP) with a particular scope for superstructure optimization within Process Systems Engineering (PSE). We present an environment of open-source software packages written in Python and based on the algebraic modeling language Pyomo. These packages include MindtPy, a solver for MINLP that implements decomposition algorithms for such problems, CORAMIN, a toolset for MINLP algorithms providing relaxation generators for nonlinear constraints, Pyomo.GDP, a modeling extension for Generalized Disjunctive Programming that allows users to represent their problem as a GDP natively, and GDPOpt, a collection of algorithms explicitly tailored for GDP problems. Combining these tools has allowed us to solve several problems relevant to PSE, which we have gathered in an easily installable and accessible library, GDPLib. We show two examples of these models and how the flexibility of modeling given by Pyomo.GDP allows for efficient solutions to these complex optimization problems. Finally, we show an example of integrating these tools with the framework IDAES PSE, leading to optimal process synthesis and conceptual design with advanced multi-scale PSE modeling systems.
Neural networks (NN)s have been increasingly proposed as surrogates for approximation of systems with computationally expensive physics for rapid online evaluation or exploration. As these surrogate models are integrated into larger optimization problems used for decision making, there is a need to verify their behavior to ensure adequate performance over the desired parameter space. We extend the ideas of optimization-based neural network verification to provide guarantees of surrogate performance over the feasible optimization space. In doing so, we present formulations to represent neural networks within decision-making problems, and we develop verification approaches that use model constraints to provide increasingly tight error estimates. We demonstrate the capabilities on a simple steady-state reactor design problem.
This work focuses on estimation of unknown states and parameters in a discrete-time, stochastic, SEIR model using reported case counts and mortality data. An SEIR model is based on classifying individuals with respect to their status in regards to the progression of the disease, where S is the number individuals who remain susceptible to the disease, E is the number of individuals who have been exposed to the disease but not yet infectious, I is the number of individuals who are currently infectious, and R is the number of recovered individuals. For convenience, we include in our notation the number of infections or transmissions, T, that represents the number of individuals transitioning from compartment S to compartment E over a particular interval. Similarly, we use C to represent the number of reported cases.
We present scalable stochastic optimization approaches for improving power systems' resilience to extreme weather events. We consider both proactive redispatch and transmission line hardening as alternatives for mitigating expected load shed due to extreme weather, resulting in large-scale stochastic linear programs (LPs) and mixed-integer linear programs (MILPs). We solve these stochastic optimization problems with progressive hedging (PH), a parallel, scenario-based decomposition algorithm. Our computational experiments indicate that our proposed method for enhancing power system resilience can provide high-quality solutions efficiently. With up to 128 scenarios on a 2,000-bus network, the operations (redispatch) and investment (hardening) resilience problems can be solved in approximately 6 min and 2 h of wall-clock time, respectively. Additionally, we solve the investment problems with up to 512 scenarios, demonstrating that the approach scales very well with the number of scenarios. Moreover, the method produces high quality solutions that result in statistically significant reductions in expected load shed. Our proposed approach can be augmented to incorporate a variety of other operational and investment resilience strategies, or a combination of such strategies.