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Hierarchy of Relaxations for Convex Nonlinear Generalized Disjunctive Programs and Extensions to Nonconvex Optimization

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Abstract:
This presentation deals with the theory of reformulations and numerical solution of generalized disjunctive programming (GDP) problems, which are expressed in terms of Boolean and continuous variables, and involve algebraic constraints, disjunctions and propositional logic statements. We propose a framework to generate alternative MINLP formulations for convex nonlinear GDPs that lead to stronger relaxations by generalizing the seminal work by Egon Balas (1988) for linear disjunctive programs. We define for the case of convex nonlinear GDPs an operation equivalent to a basic step for linear disjunctive programs that takes a disjunctive set to another one with fewer conjuncts. We show that the strength of relaxations increases as the number of conjuncts decreases, leading to a hierarchy of relaxations. We prove that the tightest of these relaxations, allows in theory the solution of the convex GDP problem as an NLP problem. We present a guide for the generation of strong relaxations without incurring in an exponential increase of the size of the reformulated MINLP. We apply the proposed theory for generating strong relaxations to a dozen convex GDPs which are solved with a NLP-based branch and bound method. Compared to the reformulation based on the hull relaxation, the computational results show that with the proposed reformulations significant improvements can be obtained in the predicted lower bounds, which in turn translates into a smaller number of nodes for the branch and bound enumeration.

We next address the extension of the above ideas to the solution of nonconvex GDPs that involve bilinear and concave terms. In order to solve these nonconvex problems with a spatial branch and bound method, a convex GDP relaxation is obtained by using suitable under- and over-estimating functions of the nonconvex constraints such as the convex envelopes proposed by McCormick (1976). In order to predict tighter lower bounds to the global optimum we exploiting the hierarchy of relaxations for linear GDP problems. A family of tighter reformulations is obtained by performing a sequence of basic steps on the original disjunctive set. Since each intersection usually creates new variables and constraints some general rules are described to limit the size of the problem. We illustrate the application of these ideas with linear relaxations of several bilinear and concave GDPs related to the optimization of process systems to demonstrate the computational savings that can be achieved with the tighter lower bounds.

Type of Seminar:
IfA Seminar
Speaker:
Prof. Ignacio Grossmann
Department of Chemical Engineering, Carnegie Mellon University
Date/Time:
Jan 27, 2011   17.15
Location:

ETZ E6, Gloriastrasse 35
Contact Person:

Manfred Morari
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Biographical Sketch:
Ignacio E. Grossmann is the Rudolph R. and Florence Dean University Professor of Chemical Engineering, and former Department Head at Carnegie Mellon University . He obtained his B.S. degree in Chemical Engineering at the Universidad Iberoamericana , Mexico City, in 1974, and his M.S. and Ph.D. in Chemical Engineering at Imperial College in 1975 and 1977, respectively. After working as an R&D engineer at the Instituto Mexicano del Petróleo in 1978, he joined Carnegie Mellon in 1979. He was Director of the Synthesis Laboratory from the Engineering Design Research Center in 1988-93. He is director of the "Center for Advanced Process Decision-making" which comprises a total of 20 petroleum, chemical and engineering companies. Ignacio Grossmann is a member of the National Academy of Engineering , Mexican Academy of Engineering, and associate editor of AIChE Journal and member of editorial board of Computers and Chemical Enginering, Journal of Global Optimization, Optimization and Engineering, Latin American Applied Research, and Process Systems Engineering Series. He was Chair of the Computers and Systems Technology Division of AIChE , and co-chair of the 1989 Foundations of Computer-Aided Process Design Conference and 2003 Foundations of Computer-Aided Process Operations Conference. He is a member of the American Institute of Chemical Engineers, Sigma Xi, Institute for Operations Research and Management Science, and American Chemical Society.