No abstract

No abstract

Chance constrained optimization problems in engineering applications possess highly nonlinear process models and non-convex structures. As a result, solving a nonlinear non-convex chance constrained optimization (CCOPT) problem remains as a challenging task. The major difficulty lies in the evaluation of probability values and gradients of inequality constraints which are nonlinear functions of stochastic variables. This article proposes a novel analytic approximation to improve the tractability of smooth non-convex chance constraints. The approximation uses a smooth parametric function to define a sequence of smooth nonlinear programs (NLPs). The sequence of optimal solutions of these NLPs remains always feasible and converges to the solution set of the CCOPT problem. Furthermore, Karush-Kuhn-Tucker (KKT) points of the approximating problems converge to a subset of KKT points of the CCOPT problem. Another feature of this approach is that it can handle uncertainties with both Gaussian and/or non-Gaussian distributions.

In this paper, we consider chance constrained optimization of elliptic partial differential equation (CCPDE) systems with random parameters and constrained state variables. We demonstrate that, under standard assumptions, CCPDE is a convex optimization problem. Since chance constrained optimization problem are generally nonsmooth and difficult to solve directly, we propose a smoothing inner-outer approximation method to generate a sequence of smooth approximate problems for the CCPDE. Thus, the optimal solution of the convex CCPDE is approximable through optimal solutions of the inner-outer approximation problems. A numerical example demonstrates the viability of the proposed approach.

The approach of combined multiple-shooting with collocation is efficient for solving large-scale dynamic optimization problems. The aim of this work was to further improve its computational performance by providing an analytical Hessian and realizing a parallel-computing scheme. First, we derived the formulas for computing the second-order sensitivities for the combined approach. Second, a correlation analysis of control variables was introduced to determine the necessity of employing the analytical Hessian to solve an optimization problem. Third, parallel computing was implemented thanks to the nature of the combined approach, because the solutions of model equations and evaluations of both first-order and second-order sensitivities for individual time intervals are decoupled. Because these computations are expensive, a high speedup factor was gained through the parallelization. The performance of the proposed analytical Hessian, correlation analysis, and parallel computing is demonstrated in this article by benchmark problems including optimal control of a distillation column containing more than 1000 dynamic variables.