Algorithme du simplexe | EPFL Graph Search

Lalgorithme du simplexe est un algorithme de résolution des problèmes d'optimisation linéaire. Il a été introduit par George Dantzig à partir de 1947. C'est probablement le premier algorithme permettant de minimiser une fonction sur un ensemble défini par des inégalités. De ce fait, il a beaucoup contribué au démarrage de l'optimisation numérique. L'algorithme du simplexe a longtemps été la méthode la plus utilisée pour résoudre les problèmes d'optimisation linéaire. Depuis les années 1985-90, il est concurrencé par les méthodes de points intérieurs, mais garde une place de choix dans certaines circonstances (en particulier si l'on a une idée des contraintes d'inégalité actives en la solution). Le nom de l'algorithme est dérivé de la notion de simplexe et a été suggéré par Motzkin. En réalité, l'algorithme n'utilise pas de simplexes, mais certaines interprétations de l'ensemble admissible du problème renvoient au concept de simplexe. Connaissances supposées : l'algèbre linéaire, le

A prescriptive Dirichlet power allocation policy with deep reinforcement learning

Yuan Tian

Prescribing optimal operation based on the condition of the system, and thereby potentially prolonging its remaining useful lifetime, has tremendous potential in terms of actively managing the availability, maintenance, and costs of complex systems. Reinforcement learning (RL) algorithms are particularly suitable for this type of problem given their learning capabilities. A special case of a prescriptive operation is the power allocation task, which can be considered as a sequential allocation problem whereby the action space is bounded by a simplex constraint. A general continuous action-space solution of such sequential allocation problems has still remained an open research question for RL algorithms. In continuous action space, the standard Gaussian policy applied in reinforcement learning does not support simplex constraints, while the Gaussian-softmax policy introduces a bias during training. In this work, we propose the Dirichlet policy for continuous allocation tasks and analyze the bias and variance of its policy gradients. We demonstrate that the Dirichlet policy is bias-free and provides significantly faster convergence, better performance, and better robustness to hyperparameter changes as compared to the Gaussian-softmax policy. Moreover, we demonstrate the applicability of the proposed algorithm on a prescriptive operation case in which we propose the Dirichlet power allocation policy and evaluate its performance on a case study of a set of multiple lithium-ion (Li-I) battery systems. The experimental results demonstrate the potential to prescribe optimal operation, improving the efficiency and sustainability of multi-power source systems.

2022

Extension d'algorithmes d'ordre zéro pour l'optimisation stochastique

Pierre Huguenin

The electrical discharge machining process (EDM) was discovered in the 1950s, and was then used essentially to destroy unrecoverable damaged screws. Since then, huge progress has been achieved in making this process reliable and able to perform the most complex machining operations on the most sophisticated materials. Two main processes use electrical discharge machining. First, Die Sinking EDM (DSEDM) in which an electrode, moved along a usually vertical axis, makes an imprint into a mechanical element ; second, Wire EDM (WEDM), uses a wire as an electrode and makes it possible to perform cut operations. Two specific aspects of the EDM process make it particularly challenging for optimization. First, the process evolves with the machining position. In the DSEDM process, where the electrode sinks deeply into the material, the fragments spawn by erosion (contamination) are trapped, thus modifying the sparking conditions. In the WEDM process, the main factors that drive the evolution of the process are the machining operations. Second, the measurements are very noisy, which is due to underlying, mainly random, physical phenomenon ; this is particularly true to spark triggering. The process evolution influences the single criterion to be minimized : total machining time. However, the latter is only known once the operations are completed. As a result, the whole history of manipulated variables influences the final criterion to minimize in this case of dynamic optimization. A major contribution of this work is a proof that a first-order model of the DSEDM process, with the machining position as a state variable, makes it possible to transform a dynamic optimization problem into a static optimization problem. The tools used in this demonstration are Pontryagin's Minimum Principle as well as Parametric Programming. The conclusion is that in order to achieve minimum machining time, maximum speed must be sought all along the trajectory. The online search for maximum speed is another important contribution of this thesis. Noisy efficiency functions are, indeed, known to be a significant challenge to the reliability of optimization algorithms. To address this issue the Golden Ratio Search and the Nelder-Mead Simplex algorithms were chosen as the starting point, as they do not rely explicitly on the gradient of the efficiency function. The addition of a further dilation condition makes these algorithms more effective in stochastic mode. This condition is based on the detection of contradictory measurement samples as compared to the shape of the efficiency function, which is assumed to be unimodal. As a result of this modification, the density of the final optimization points is well centred relative to the theoretical optimum, and dispersion is small. Moreover, the size of the search region for both algorithms never approaches zero. Consequently, as the machining conditions evolve, the optimizer can target a new optimum. This adaptability proves to be a significant improvement over existing algorithms. In the case of the DSEDM process, a simple model of the efficiency surface as a function of the control variables, which has been calibrated on sample measures, has allowed for a validation of the static optimization. For the WEDM process, conclusive results for the modified algorithms have been obtained both by simulation and during machine-based tests.

EPFL2005

Tight Bounds for Online Edge Coloring

David Wajc

Vizing's celebrated theorem asserts that any graph of maximum degree Delta admits an edge coloring using at most Delta + 1 colors. In contrast, Bar-Noy, Motwani and Naor showed over a quarter century ago that the trivial greedy algorithm, which uses 2 Delta - 1 colors, is optimal among online algorithms. Their lower bound has a caveat, however: it only applies to low-degree graphs, with Delta = O(log n), and they conjectured the existence of online algorithms using Delta (1+o(1)) colors for Delta = omega(log n). Progress towards resolving this conjecture was only made under stochastic arrivals (Aggarwal et al., FOCS'03 and Bahmani et al., SODA'10). We resolve the above conjecture for adversarial vertex arrivals in bipartite graphs, for which we present a (1+o(1))Delta-edge-coloring algorithm for Delta = omega(log n) known a priori. Surprisingly, if Delta is not known ahead of time, we show that no (e/e-1 - Omega(1)) Delta-edge-coloring algorithm exists. We then provide an optimal, (e/e-1 + o(1))Delta-edge-coloring algorithm for unknown Delta = omega(log n). To obtain our results, we study a nonstandard fractional relaxation for edge coloring, for which we present optimal fractional online algorithms and a near-lossless online rounding scheme, yielding our optimal randomized algorithms.

IEEE COMPUTER SOC2019

Extension d'algorithmes d'ordre zéro pour l'optimisation stochastique

Pierre Huguenin

EPFL2005