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Global optimization of mixed-integer ODE constrained network problems using the example of stationary gas transport

Oliver Habeck (habeck***at***mathematik.tu-darmstadt.de)
Marc E. Pfetsch (pfetsch***at***mathematik.tu-darmstadt.de)
Stefan Ulbrich (ulbrich***at***mathematik.tu-darmstadt.de)

Abstract: In this paper we propose a new approach for finding global solutions of mixed-integer nonlinear optimization problems with ordinary differential equation constraints on networks. Instead of using a first discretize then optimize approach, we combine spatial and variable branching with appropriate discretizations of the differential equations to derive relaxations of the original problem. To construct the relaxations we derive convex under- and concave over-estimators for the ODE solution operators using numerical discretization schemes. Thereby, we make use of the underlying network structure, where the solutions of the ODEs only need to be known at a finite number of points. This property enables us to adaptively refine the discretization and relaxation without introducing new variables. The incorporation into a spatial branch-and-bound process allows to compute global epsilon-optimal solutions or decide infeasibility. We prove that this algorithm terminates finitely under some natural assumptions. We then show how this approach works for the example of stationary gas transport and provide some illustrative computational examples.

Keywords: Global optimization, mixed-integer nonlinear optimization, gas networks, ODEs on graphs

Category 1: Global Optimization

Citation: Please cite: https://doi.org/10.1137/17M1152668

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Entry Submitted: 10/19/2017
Entry Accepted: 10/23/2017
Entry Last Modified: 04/22/2020

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