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An Asynchronous Bundle-Trust-Region Method for Dual Decomposition of Stochastic Mixed-Integer Programming

Journal Article · · SIAM Journal on Optimization
DOI:https://doi.org/10.1137/17M1148189· OSTI ID:1497321
 [1];  [2];  [3]
  1. Argonne National Lab. (ANL), Lemont, IL (United States)
  2. Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
  3. Univ. of Wisconsin-Madison, Madison, WI (United States)
+ Show Author Affiliations

Here, we present an asynchronous bundle-trust-region algorithm within the context of Lagrangian dual decomposition for stochastic mixed-integer programs. The approach solves the Lagrangian master problem by using a bundle method with a trust-region constraint. This scheme enables asynchronous computations and can thus help mitigate severe load imbalance issues (associated with the solution of scenario subproblems) and improve parallel efficiency. We provide a convergence analysis and an implementation of the proposed scheme. We also present extensive numerical results on eighty instances of a large-scale stochastic unit commitment problem, and demonstrate that the proposed approach provides significant reductions in solution time and achieves strong scaling.

Research Organization:
Lawrence Livermore National Laboratory (LLNL), Livermore, CA (United States)
Sponsoring Organization:
USDOE National Nuclear Security Administration (NNSA)
Grant/Contract Number:
AC52-07NA27344
OSTI ID:
1497321
Alternate ID(s):
OSTI ID: 1510481
Report Number(s):
LLNL-JRNL--738242; 890992
Journal Information:
SIAM Journal on Optimization, Journal Name: SIAM Journal on Optimization Journal Issue: 1 Vol. 29; ISSN 1052-6234
Publisher:
SIAMCopyright Statement
Country of Publication:
United States
Language:
English

References (17)

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Temporal Decomposition for Improved Unit Commitment in Power System Production Cost Modeling journal September 2018
Data Centers as Dispatchable Loads to Harness Stranded Power journal January 2017
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Incremental Subgradient Methods for Nondifferentiable Optimization journal January 2001
An Incremental Method for Solving Convex Finite Min-Max Problems journal February 2006
Multiarea Stochastic Unit Commitment for High Wind Penetration in a Transmission Constrained Network journal June 2013

Cited By (1)

Asynchronous level bundle methods journal July 2019

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Related Subjects

97 MATHEMATICS AND COMPUTING
asynchronous
bundle method
parallel computing
stochastic integer programming