Derivative-free bound-constrained optimization for solving structured problems with surrogate models
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Computer Science↗
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Adaptive sampling quasi-Newton methods for zeroth-order stochastic optimization
Here, we consider unconstrained stochastic optimization problems with no available gradient information. Such problems arise in settings from derivative-free simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients using finite differences of stochastic function evaluations within a common random number framework. We develop modified versions of a norm test and an inner product quasi-Newton test to control the sample sizes used in the stochastic approximations and provide global convergence results to the neighborhood of a locally optimal solution. We present numerical experiments on simulation optimization problems to illustrate the performance of the proposed algorithm. When compared with classical zeroth-order stochastic gradient methods, we observe that our strategies of adapting the sample sizes significantly improve performance in terms of the number of stochastic function evaluations required.
97 MATHEMATICS AND COMPUTING↗
A method for convex black-box integer global optimization
Here we study the problem of minimizing a convex function on a nonempty, finite subset of the integer lattice when the function cannot be evaluated at noninteger points. We propose a new underestimator that does not require access to (sub)gradients of the objective; such information is unavailable when the objective is a blackbox function. Rather, our underestimator uses secant linear functions that interpolate the objective function at previously evaluated points. These linear mappings are shown to underestimate the objective in disconnected portions of the domain. Therefore, the union of these conditional cuts provides a nonconvex underestimator of the objective. We propose an algorithm that alternates between updating the underestimator and evaluating the objective function. We prove that the algorithm converges to a global minimum of the objective function on the feasible set. We present two approaches for representing the underestimator and compare their computational effectiveness. We also compare implementations of our algorithm with existing methods for minimizing functions on a subset of the integer lattice. We discuss the difficulty of this problem class and provide insights into why a computational proof of optimality is challenging even for moderate problem sizes.
97 MATHEMATICS AND COMPUTING↗
Stochastic average model methods
We consider the solution of finite-sum minimization problems, such as those appearing in nonlinear least-squares or general empirical risk minimization problems. We are motivated by problems in which the summand functions are computationally expensive and evaluating all summands on every iteration of an optimization method may be undesirable. Here we present the idea of stochastic average model (SAM) methods, inspired by stochastic average gradient methods. SAM methods sample component functions on each iteration of a trust-region method according to a discrete probability distribution on component functions; the distribution is designed to minimize an upper bound on the variance of the resulting stochastic model. We present promising numerical results concerning an implemented variant extending the derivative-free model-based trust-region solver POUNDERS, which we name SAM-POUNDERS.
97 MATHEMATICS AND COMPUTING↗
Koopman-Based Approach to Nonintrusive Reduced Order Modeling: Application to Aerodynamic Shape Optimization and Uncertainty Propagation
A methodology for nonintrusive projection-based nonlinear model reduction originally presented by Renganathan et al. is further extended here toward parametric systems with a focus on application to aerospace design. Specifically, the method is extended to address static systems with parametric geometry (that deforms the mesh) in addition to parametric freestream boundary conditions. The main idea is to first perform a transformation on the governing equations such that it is lifted to a higher-dimensional but linear underdetermined system. This enables one to extract the system matrices easily as compared to that of the original nonlinear system. The underdetermined system is closed with a set of model-dependent nonlinear constraints upon which the model reduction is finally performed. The methodology is validated on the subsonic and transonic inviscid flows past the NACA0012 and the RAE2822 airfoils with parametrized shapes. The utility of the approach is further demonstrated by applying it to two common problems in aerospace design, namely, derivative-free global optimization and parametric uncertainty quantification with Monte Carlo sampling. Overall, the methodology is shown to achieve accuracy up to 5% and computational speedup of two to three orders of magnitude relative to the full order model. Comparison against another nonintrusive model reduction method revealed that the proposed approach is more robust, accurate, and retains the consistency between the state variables.
97 MATHEMATICS AND COMPUTING↗
Long-term missing value imputation for time series data using deep neural networks
We present an approach that uses a deep learning model, in particular, a MultiLayer Perceptron, for estimating the missing values of a variable in multivariate time series data. We focus on filling a long continuous gap (e.g., multiple months of missing daily observations) rather than on individual randomly missing observations. Our proposed gap filling algorithm uses an automated method for determining the optimal MLP model architecture, thus allowing for optimal prediction performance for the given time series. We tested our approach by filling gaps of various lengths (three months to three years) in three environmental datasets with different time series characteristics, namely daily groundwater levels, daily soil moisture, and hourly Net Ecosystem Exchange. We compared the accuracy of the gap-filled values obtained with our approach to the widely used R-based time series gap filling methods ImputeTS and mtsdi. The results indicate that using an MLP for filling a large gap leads to better results, especially when the data behave nonlinearly. Thus, our approach enables the use of datasets that have a large gap in one variable, which is common in many long-term environmental monitoring observations.
97 MATHEMATICS AND COMPUTING↗
Asynchronously parallel optimization solver for finding multiple minima
This paper proposes and analyzes an asynchronously parallel optimization algorithm for finding multiple, high-quality minima of nonlinear optimization problems. Our multistart algorithm considers all previously evaluated points when determining where to start or continue a local optimization run. Theoretical results show that, under certain assumptions, the algorithm almost surely starts a finite number of local optimization runs and identifies, or has a single local optimization run converging to, every minimum. The algorithm is applicable to general optimization settings, but our numerical results focus on the case when derivatives are unavailable. In numerical tests, a PYTHON implementation of the algorithm is shown to yield good approximations of many minima (including a global minimum), and this ability scales well with additional resources. Our implementation’s time to solution is shown also to scale well even when the time to evaluate the function evaluation is highly variable.
97 MATHEMATICS AND COMPUTING↗
Two-Stage Estimation and Variance Modeling for Latency-Constrained Variational Quantum Algorithms
The quantum approximate optimization algorithm (QAOA) has enjoyed increasing attention in noisy, intermediate-scale quantum computing with its application to combinatorial optimization problems. QAOA has the potential to demonstrate a quantum advantage for NP-hard combinatorial optimization problems. As a hybrid quantum-classical algorithm, the classical component of QAOA resembles a simulation optimization problem in which the simulation outcomes are attainable only through a quantum computer. The simulation that derives from QAOA exhibits two unique features that can have a substantial impact on the optimization process: (i) the variance of the stochastic objective values typically decreases in proportion to the optimality gap, and (ii) querying samples from a quantum computer introduces an additional latency overhead. In this paper, we introduce a novel stochastic trust-region method derived from a derivative-free, adaptive sampling trust-region optimization method intended to efficiently solve the classical optimization problem in QAOA by explicitly taking into account the two mentioned characteristics. The key idea behind the proposed algorithm involves constructing two separate local models in each iteration: a model of the objective function and a model of the variance of the objective function. Exploiting the variance model allows us to restrict the number of communications with the quantum computer and also helps navigate the nonconvex objective landscapes typical in QAOA optimization problems. In conclusion, we numerically demonstrate the superiority of our proposed algorithm using the SimOpt library and Qiskit when we consider a metric of computational burden that explicitly accounts for communication costs.
Derivative-free Optimization↗
Computing the shape gradient of stellarator coil complexity with respect to the plasma boundary
Coil complexity is a critical consideration in stellarator design. The traditional two-step optimization approach, in which the plasma boundary is optimized for physics properties and the coils are subsequently optimized to be consistent with this boundary, can result in plasma shapes which cannot be produced with sufficiently simple coils. To address this challenge, we propose a method to incorporate considerations of coil complexity in the optimization of the plasma boundary. Coil complexity metrics are computed from the current potential solution obtained with the REGCOIL code (Landreman, Nucl. Fusion , vol. 57, 2017, 046003). While such metrics have previously been included in derivative-free fixed-boundary optimization (Drevlak et al. , Nucl. Fusion , vol. 59, 2018, 016010), we compute the local sensitivity of these metrics with respect to perturbations of the plasma boundary using the shape gradient (Landreman & Paul, Nucl. Fusion , vol. 58, 2018, 076023). We extend REGCOIL to compute derivatives of these metrics with respect to parameters describing the plasma boundary. In keeping with previous research on winding surface optimization (Paul et al. , Nucl. Fusion , vol. 58, 2018, 076015), the shape derivatives are computed with a discrete adjoint method. In contrast with the previous work, derivatives are computed with respect to the plasma surface parameters rather than the winding surface parameters. To further reduce the resolution required to compute the shape gradient, we present a more efficient representation of the plasma surface which uses a single Fourier series to describe the radial distance from a coordinate axis and a spectrally condensed poloidal angle. This representation is advantageous over the standard cylindrical representation used in the VMEC code (Hirshman & Whitson, Phys. Fluids , vol. 26, 1983, pp. 3553–3568), as it provides a uniquely defined poloidal angle, eliminating a null space in the optimization of the plasma surface. In comparison with previous spectral condensation methods (Hirshman & Breslau, Phys. Plasmas , vol. 5, 1998, p. 2664), the modified poloidal angle is obtained algebraically rather than through the solution of a nonlinear optimization problem. The resulting shape gradient highlights features of the plasma boundary that are consistent with simple coils and can be used to couple coil and fixed-boundary optimization.
Physics↗
An improved hyperbolic embedding algorithm
Because hyperbolic space has properties that make it amenable to graph representations, there is significant interest in scalable hyperbolic-space embedding methods. These embeddings enable constant-time approximation of shortest-path distances, and so are significantly more efficient than full shortest-path computations. In this article, we improve on existing landmark-based hyperbolic embedding algorithms for large-scale graphs. Whereas previous methods compute the embedding by using the derivative-free Nelder–Mead simplex optimization method, our approach uses the limited-memory BFGS (LBFGS) method, which is quasi-Newton optimization, with analytic gradients. Our method is not only significantly faster but also produces higher-quality embeddings. Moreover, we are able to include the hyperbolic curvature as a variable in the optimization. We compare our hyperbolic embedding method implementation in Python (called Hypy) against the best publicly available software, Rigel. Our method is an order of magnitude faster and shows significant improvements in the accuracy of the shortest-path distance calculations. Furthermore, tests are performed on a variety of real-world networks, and we show the scalability of our method by embedding a graph with 1.8 billion edges and 65 million nodes.
97 MATHEMATICS AND COMPUTING↗
Scalable computations for nonstationary Gaussian processes
Nonstationary Gaussian process models can capture complex spatially varying dependence structures in spatial datasets. However, the large number of observations in modern datasets makes fitting such models computationally intractable with conventional dense linear algebra. In addition, derivative-free or even first-order optimization methods can be very slow to converge when estimating many spatially varying parameters. In this paper, we present a computational framework which couples an algebraic block diagonal plus low-rank covariance matrix approximation with stochastic trace estimation to facilitate the efficient use of second-order solvers for maximum likelihood estimation of Gaussian process models with many parameters. We demonstrate the effectiveness of these methods by simultaneously fitting 192 parameters in the popular nonstationary model of Paciorek and Schervish using 107,600 sea surface temperature anomaly measurements.
97 MATHEMATICS AND COMPUTING↗
Adaptive Sampling Trust Region Method for Bi-fidelity Simulation Optimization [SWR-25-166]
Adaptive Sampling Trust Region Method for Bi-fidelity Simulation Optimization aims to demonstrate the effect of adaptive sampling-based bi-fidelity stochastic trust region method (ASTRO-BFDF). ASTRO-BFDF, derived from a derivative-free adaptive sampling trust-region optimization (ASTRO-DF) (Shashaani et al. 2018, Ha and Shashaani 2023), intended to efficiently solve the bi-fidelity simulation optimization.
Mueller, Juliane [National Laboratory of the Rocki↗
Numerical Optimization Using Computer Experiments
Engineering design optimization often gives rise to problems in which expensive objective functions are minimized by derivative-free methods. We propose a method for solving such problems that synthesizes ideas from the numerical optimization and computer experiment literatures. Our approach relies on kriging known function values to construct a sequence of surrogate models of the objective function that are used to guide a grid search for a minimizer. Results from numerical experiments on a standard test problem are presented.
Trosset, Michael W.↗
Black-Box Optimization for Design of Concentrating Solar Power and Photovoltaic Hybrid Systems with Optimal Dispatch Decisions
The hybridization of concentrating solar power (CSP) and photovoltaics (PV) can enable dispatchable renewable electricity generation at a lower price than current stand-alone CSP systems. However, designing a CSP-PV hybrid system can be challenging because of the many degrees of freedom in design that affect the internal and external system interactions and trade-offs. We develop a methodology to determine optimal designs for CSP-PV hybrids by implementing NLopt's derivative-free, or “black-box,” algorithms around pre-existing CSP-PV hybrid simulation software that utilizes the National Renewable Energy Laboratory’s System Advisor Model (SAM); we then employ a dispatch optimization model to determine operational decisions that maximize a plant’s profits. We present optimal designs for CSP-PV hybrid systems dispatching against four time-of-delivery (ToD) pricing structures. NLopt’s algorithms can improve the base case design’s power purchase agreement (PPA) price by 15% to 21%, depending on the ToD pricing structure. In addition, we present the resulting optimal CSP-PV hybrid design’s annual performance metrics, which tend to have capacity factors between 50% and 62%, but are able to generate electricity during the year’s highest-valued periods about 90% of the time. Lastly, we investigate the trade-offs between capacity factor and PPA price using Pareto fronts and demonstrate that, for some ToD pricing structures, the system capacity factor can increase by 20% but at the expense of a 2% increase in PPA price.
black-box↗
Manifold Sampling for Optimizing Nonsmooth Nonconvex Compositions
Here we propose a manifold sampling algorithm for minimizing a nonsmooth composition $f= h\circ F$, where we assume $h$ is nonsmooth and may be inexpensively computed in closed form and $F$ is smooth but its Jacobian may not be available. We additionally assume that the composition $h\circ F$ defines a continuous selection. Manifold sampling algorithms can be classified as model-based derivative-free methods, in that models of $F$ are combined with particularly sampled information about $h$ to yield local models for use within a trust-region framework. We demonstrate that cluster points of the sequence of iterates generated by the manifold sampling algorithm are Clarke stationary. We consider the tractability of three particular subproblems generated by the manifold sampling algorithm and the extent to which inexact solutions to these subproblems may be tolerated. Numerical results demonstrate that manifold sampling as a derivative-free algorithm is competitive with state-of-the-art algorithms for nonsmooth optimization that utilize first-order information about $f$.
97 MATHEMATICS AND COMPUTING↗
Enabling Scale-Up Through Multi-Fidelity Adaptive Computing
We present ideas from our ongoing work in adaptive computing - an optimization framework that allows us to strategically deploy various fidelity level experiments and simulations to guide decision making. The framework aims to enable uncertainty quantified scale-up of simulations and experiments, which causes increased complexity. A key feature of the framework is the integration of user-specified local model trustworthiness estimates. Adaptive sampling strategies allow us to optimally exploit the multiple fidelity level information and trustworthiness measures to arrive at the best decisions within a highly limited budget of objective function evaluations.
adaptive sampling↗
Physics-Informed Evolutionary Strategy Based Control for Mitigating Delayed Voltage Recovery
Here, in this work we propose a novel data-driven, real-time power system voltage stability control method based on the physics-informed guided meta evolutionary strategy (ES). The main objective is to quickly provide an adaptive control strategy to secure system voltage stability. The problem is challenging due to the high-dimensional feature of the power system model and the fast-changing and uncertain nature of power system operation scenarios. To this end, a model-free and derivative-free guided ES method is applied. The method is further combined with a meta-learning strategy to make the learnt control policy automatically adapted to unseen operation conditions and fault scenarios, which is highly desired for real-time emergency control. Last but not least, physical knowledge is embedded in the above method through a trainable action mask technique to rule out unnecessary load shedding actions for better learning and control performance. Case studies on the IEEE 300-bus system and comparisons with other state-of-the-art benchmark methods verify the superiority of the proposed physics-informed guided meta ES method in realizing fast and adaptive power system voltage stability control.
42 ENGINEERING↗
HFBTHO-AD: Differentiation of a nuclear energy density functional code
The HFBTHO code implements a nuclear energy density functional solver to model the structure of atomic nuclei. HFBTHO has previously been used to calibrate energy functionals and perform sensitivity analysis by using derivative-free methods. To enable derivative-based optimization and uncertainty quantification approaches, we must compute the derivatives of HFBTHO outputs with respect to the parameters of the energy functional, which are a subset of all input parameters of the code. Here, we use the algorithmic/automatic differentiation (AD) tool Tapenade to differentiate HFBTHO. We compare the derivatives obtained using AD against finite-difference approximation and examine the performance of the derivative computation.
Algorithmic differentiation↗