|Title||A Two-Level Approach to Large Mixed-Integer Programs with Application to CoGeneration in Energy-Efficient Buildings |
|Publication Type||Journal Article |
|Year of Publication||2015 |
|Authors||Lin, F, Leyffer, S, Munson, T |
|Journal||Computational Optimization and Applications |
|Date Published||04/2016 |
|Other Numbers||ANL/MCS-P5332-0415 |
|Abstract||We study a two-stage mixed-integer linear program (MILP) with more than 1 million binary variables in the second stage. We develop a two-level approach by constructing a semi-coarse model (coarsened with respect to variables) and a coarse model (coarsened with respect to both variables and constraints). We coarsen binary variables by selecting a small number of pre-specified daily on/off profiles. We aggregate constraints by partitioning them into groups and summing over each group. With an appropriate choice of coarsened profiles, the semi- coarse model is guaranteed to find a feasible solution of the original problem and hence provides an upper bound on the optimal solution. We show that solving a sequence of coarse models converges to the same upper bound with proven finite steps. This is achieved by adding violated constraints to coarse models until all constraints in the semi-coarse model are satisfied. We demonstrate the effectiveness of our approach in cogeneration for buildings. The coarsened models allow us to obtain good approximate solutions at a fraction of the time required by solving the original problem. Extensive numerical experiments show that the two-level approach scales to large problems that are beyond the capacity of state-of-the-art commercial MILP solvers.