Engineering topics

Woodruff, David L.

Publications and source records attributed to Woodruff, David L..

2 records

DOE OSTI2023

A parallel hub-and-spoke system for large-scale scenario-based optimization under uncertainty

Practical solution of stochastic programming problems generally requires the use of parallel computing resources. Here, we describe the open source package mpi-sppy, in which efficient and scalable parallelization is a central feature. We report computational experiments that demonstrate the ability to solve very large stochastic programming problems - including mixed-integer variants - in minutes of wall clock time, efficiently leveraging significant parallel computing resources. We report results for the largest publicly available instances of stochastic mixed-integer unit commitment problems, solving to provably tight optimality gaps. In addition, we introduce a novel software architecture that facilitates combinations of methods for accelerating convergence that can be combined in plug-and-play manner. Finally, the mpi-sppy package is written in Python, leverages the widely used Pyomo (http://www.pyomo.org) library for modeling mathematical programs, builds on existing MPI implementations to ensure efficiency and scalability, and is available via http://github.com/Pyomo/mpi-sppy.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2023

Projective Hedging Algorithms for Multistage Stochastic Programming, Supporting Distributed and Asynchronous Implementation

Here we propose a decomposition algorithm for multistage stochastic programming that resembles the progressive hedging method of Rockafellar and Wets but is provably capable of several forms of asynchronous operation. We derive the method from a class of projective operator splitting methods fairly recently proposed by Combettes and Eckstein, significantly expanding the known applications of those methods. Our derivation assures convergence for convex problems whose feasible set is compact, subject to some standard regularity conditions and a mild “fairness” condition on subproblem selection. The method’s convergence guarantees are deterministic and do not require randomization, in contrast to other proposed asynchronous variations of progressive hedging. Computational experiments described in an online appendix show the method to outperform progressive hedging on large-scale problems in a highly parallel computing environment.

97 MATHEMATICS AND COMPUTING↗