论文标题
使用混合整数二次编程的全局优化
Global optimization using mixed integer quadratic programming on non-convex two-way interaction truncated linear multivariate adaptive regression splines
论文作者
论文摘要
多元自适应回归花纹(MARS)是一种灵活的统计建模方法,在数据挖掘应用程序中很受欢迎。火星也已被用来近似不明关系的复杂系统的最佳关系,包括替代优化,动态编程和两阶段随机编程。鉴于越来越多地优化现实世界系统的愿望,本文提出了一种在全球优化的MARS模型的方法,该模型最多允许双向交互术语是截短的线性单变量功能(TITL-MARS)。特定于这种火星模型由线性和二次结构组成。利用此结构来制定混合整数二次编程问题(TITL-MARS-OPT)。为了欣赏Titl-Mars-Opt的贡献,必须认识到,流行的Heurstic优化方法(例如进化算法)不能保证全球最优性,并且可以在计算上很慢。火星的使用保持了在Titl-Mars-Opt中建模的灵活性,同时还利用火星的线性建模结构来实现全局最优性。计算结果将TITL-MARS-OPT与两种类型的遗传算法进行了比较。首先,描述了风电源配电案例研究,然后测试了其他TITL-MARS表格。结果表明,在准确性和计算时间内,TITL-MARS-OPT优于遗传算法。
Multivariate adaptive regression splines (MARS) is a flexible statistical modeling method that has been popular for data mining applications. MARS has also been employed to approxmiate unknown relationships in optimzation for complex systems, including surrogate optimization, dynamic programming, and two-stage stochastic programming. Given the increasing desire to optimize real world systems, this paper presents an approach to globally optimize a MARS model that allows up to two-way interaction terms that are products of truncated linear univariate functions (TITL-MARS). Specifally, such a MARS model consists of linear and quadratic structure. This structure is exploited to formulate a mixed integer quadratic programming problem (TITL-MARS-OPT). To appreciate the contribution of TITL-MARS-OPT, one must recognize that popular heurstic optimization approaches, such as evolutionary algorithms, do not guarantee global optimality and can be computationally slow. The use of MARS maintains the flexibility of modeling within TITL-MARS-OPT while also taking advantage of the linear modeling structure of MARS to enable global optimality. Computational results compare TITL-MARS-OPT with a genetic algorithm for two types of cases. First, a wind farm power distribution case study is described and then other TITL-MARS forms are tested. The results show the superiority of TITL-MARS-OPT over the genetic algorithm in both accuracy and computational time.