An official website of the United States government
Abstract We introduce the concept of decision‐focused surrogate modeling for solving computationally challenging nonlinear optimization problems in real‐time settings. The proposed data‐driven framework seeks to learn a simpler, for example, convex, surrogate optimization model that is trained to minimize thedecision prediction error, which is defined as the difference between the optimal solutions of the original and the surrogate optimization models. The learning problem, formulated as a bilevel program, can be viewed as a data‐driven inverse optimization problem to which we apply a decomposition‐based solution algorithm from previous work. We validate our framework through numerical experiments involving the optimization of common nonlinear chemical processes such as chemical reactors, heat exchanger networks, and material blending systems. We also present a detailed comparison of decision‐focused surrogate modeling with standard data‐driven surrogate modeling methods and demonstrate that our approach is significantly more data‐efficient while producing simple surrogate models with high decision prediction accuracy.
more »
« less
Nonlinear variable selection algorithms for surrogate modeling
Abstract Having the ability to analyze, simulate, and optimize complex systems is becoming more important in all engineering disciplines. Decision‐making using complex systems usually leads to nonlinear optimization problems, which rely on computationally expensive simulations. Therefore, it is often challenging to detect the actual structure of the optimization problem and formulate these problems with closed‐form analytical expressions. Surrogate‐based optimization of complex systems is a promising approach that is based on the concept of adaptively fitting and optimizing approximations of the input–output data. Standard surrogate‐based optimization assumes the degrees of freedom are known a priori; however, in real applications the sparsity and the actual structure of the black‐box formulation may not be known. In this work, we propose to select the correct variables contributing to each objective function and constraints of the black‐box problem, by formulating the identification of the true sparsity of the formulation as a nonlinear feature selection problem. We compare three variable selection criteria based on Support Vector Regression and develop efficient algorithms to detect the sparsity of black‐box formulations when only a limited amount of deterministic or noisy data is available.
more »
« less
- Award ID(s):
- 1805724
- PAR ID:
- 10461522
- Publisher / Repository:
- Wiley Blackwell (John Wiley & Sons)
- Date Published:
- Journal Name:
- AIChE Journal
- Volume:
- 65
- Issue:
- 8
- ISSN:
- 0001-1541
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
More Like this
-
-
Surrogate based optimization (SBO) methods have gained popularity in the field of constrained optimization of expensive black-box functions. However, constraint handling methods do not usually guarantee strictly feasible candidates during optimization. This can become an issue in applied engineering problems where design variables must remain feasible for simulations to not fail. We propose a simple constraint-handling method for computationally inexpensive constraint functions which guarantees strictly feasible candidates when using a surrogate-based optimizer. We compare our method to other SBO algorithms and an EA on five analytical test functions, and an applied fully-resolved Computational Fluid Dynamics (CFD) problem concerned with optimization of an undulatory swimming of a fish-like body, and show that the proposed algorithm shows favorable results while guaranteeing feasible candidates.more » « less
-
Abstract We present a deterministic global optimization method for nonlinear programming formulations constrained by stiff systems of ordinary differential equation (ODE) initial value problems (IVPs). The examples arise from dynamic optimization problems exhibiting both fast and slow transient phenomena commonly encountered in model‐based systems engineering applications. The proposed approach utilizes unconditionally stable implicit integration methods to reformulate the ODE‐constrained problem into a nonconvex nonlinear program (NLP) with implicit functions embedded. This problem is then solved to global optimality in finite time using a spatial branch‐and‐bound framework utilizing convex/concave relaxations of implicit functions constructed by a method which fully exploits problem sparsity. The algorithms were implemented in the Julia programming language within the EAGO.jl package and demonstrated on five illustrative examples with varying complexity relevant in process systems engineering. The developed methods enable the guaranteed global solution of dynamic optimization problems with stiff ODE–IVPs embedded.more » « less
-
null (Ed.)We develop a framework for learning sparse nonparametric directed acyclic graphs (DAGs) from data. Our approach is based on a recent algebraic characterization of DAGs that led to a fully continuous program for score-based learning of DAG models parametrized by a linear structural equation model (SEM). We extend this algebraic characterization to nonparametric SEM by leveraging nonparametric sparsity based on partial derivatives, resulting in a continuous optimization problem that can be applied to a variety of nonparametric and semiparametric models including GLMs, additive noise models, and index models as special cases. Unlike existing approaches that require specific modeling choices, loss functions, or algorithms, we present a completely general framework that can be applied to general nonlinear models (e.g. without additive noise), general differentiable loss functions, and generic black-box optimization routines.more » « less
-
We develop a framework for learning sparse nonparametric directed acyclic graphs (DAGs) from data. Our approach is based on a recent algebraic characterization of DAGs that led to a fully continuous program for scorebased learning of DAG models parametrized by a linear structural equation model (SEM). We extend this algebraic characterization to nonparametric SEM by leveraging nonparametric sparsity based on partial derivatives, resulting in a continuous optimization problem that can be applied to a variety of nonparametric and semiparametric models including GLMs, additive noise models, and index models as special cases. Unlike existing approaches that require specific modeling choices, loss functions, or algorithms, we present a completely general framework that can be applied to general nonlinear models (e.g. without additive noise), general differentiable loss functions, and generic black-box optimization routines.more » « less
