Past Computational Mathematics and Applications Seminar

Dr Zaikun Zhang
Abstract

This talk focuses on the direct search method, arguably one of the simplest optimization algorithms. The algorithm minimizes an objective function by iteratively evaluating it along a number of (polling) directions, which are typically taken from so-called positive spanning sets. It does not use derivatives.

We first introduce the worst case complexity theory of direct search, and discuss how to choose the positive spanning set to minimize the complexity bound. The discussion leads us to a long-standing open
problem in Discrete Geometry. A recent result on this problem enables us to establish the optimal order for the worst case complexity of direct search.

We then show how to achieve even lower complexity bound by using random polling directions. It turns out that polling along two random directions at each iteration is sufficient to guarantee the convergence
of direct search for any dimension, and the resultant algorithm enjoys lower complexity both in theory and in practice.

The last part of the talk is devoted to direct search based on inaccurate function values. We address three questions:
i) what kind of solution 
can we obtain by direct search if the function values are inaccurate? 
ii) what is the worst case complexity to attain such a solution? iii) given
the inaccuracy in the function values, when to stop the algorithm in order
to guarantee the quality of the solution and also avoid “over-optimization”?

This talk is based on joint works with F. Delbos, M. Dodangeh, S. Gratton, B. Pauwels, C. W. Royer, and L. N. Vicente.

  • Computational Mathematics and Applications Seminar
19 November 2015
14:00
Dr. Emmanuil Georgoulis
Abstract

I will review some recent work on the problem of reliable automatic detection of blow-up behaviour for nonlinear parabolic PDEs. The adaptive algorithms developed are based on rigorous conditional a posteriori error bounds. The use of space-time adaptivity is crucial in making the problem computationally tractable. The results presented are applicable to quite general spatial operators, rendering the approach potentially useful in informing respective PDE theory. The new adaptive algorithm is shown to accurately estimate the blow-up time of a number of problems, including ones exhibiting regional blow-up. 

  • Computational Mathematics and Applications Seminar
12 November 2015
14:00
Professor Philippe Toint
Abstract

The talk will introduce the concepts of multilevel optimization and motivate them in the context of problems arising from the discretization of infinite dimensional applications. It will be shown how optimization methods can accomodate a number of useful (and classical) ideas from the multigrid
community, and thereby produce substantial efficiency improvements compared to existing large-scale minimization techniques.  Two different classes of multilevel methods will be discussed: trust-region and linesearch algorithms.
The first class will be described in the context of a multilevel generalization of the well-known trust-region-Newton method.  The second will focus on limited-memory quasi-Newton algorithms.  Preliminary numerical results will be presented which indicate that both types of multilevel algorithms may be practically very advantageous.

  • Computational Mathematics and Applications Seminar
29 October 2015
14:00
Abstract

In numerical atmosphere models, values of relevant physical parameters are often uncertain by more than 100% and weather forecast skill is significantly reduced after a couple of days. Still, numerical operations are typically calculated in double precision with 15 significant decimal digits. If we reduce numerical precision, we can reduce power consumption and increase computational performance significantly. If savings are reinvested to build larger supercomputers, this would allow an increase in resolution in weather and climate models and might lead to better predictions of future weather and climate. 
I will discuss approaches to reduce numerical precision beyond single precision in high performance computing and in particular in weather and climate modelling. I will present results that show that precision can be reduced significantly in atmosphere models and that potential savings can be huge. I will also discuss how rounding errors will impact model dynamics and interact with model uncertainty and predictability.

  • Computational Mathematics and Applications Seminar
Dr. Scott Ladenheim
Abstract

We propose the use of a constraint preconditioner for the iterative solution of the linear system arising from the finite element discretization of the coupled Stokes-Darcy system. The Stokes-Darcy system is a set of coupled PDEs that can be used to model a freely flowing fluid over porous media flow. The fully coupled system matrix is large, sparse, non-symmetric, and of saddle point form. We provide for exact versions of the constraint preconditioner spectral and field-of-values bounds that are independent of the underlying mesh width. We present several numerical experiments, using the deal.II finite element library, that illustrate our results in both two and three dimensions. We compare exact and inexact versions of the constraint preconditioner against standard block diagonal and block lower triangular preconditioners to illustrate its favorable properties.

  • Computational Mathematics and Applications Seminar
8 October 2015
14:00
Dr Peter Richtárik
Abstract

We develop a novel, fundamental and surprisingly simple randomized iterative method for solving consistent linear systems. Our method has six different but equivalent interpretations: sketch-and-project, constrain-and-approximate, random intersect, random linear solve, random update and random fixed point. By varying its two parameters—a positive definite matrix (defining geometry), and a random matrix (sampled in an i.i.d. fashion in each iteration)—we recover a comprehensive array of well known algorithms as special cases, including the randomized Kaczmarz method, randomized Newton method, randomized coordinate descent method and random Gaussian pursuit. We naturally also obtain variants of all these methods using blocks and importance sampling. However, our method allows for a much wider selection of these two parameters, which leads to a number of new specific methods. We prove exponential convergence of the expected norm of the error in a single theorem, from which existing complexity results for known variants can be obtained. However, we also give an exact formula for the evolution of the expected iterates, which allows us to give lower bounds on the convergence rate. 

This is joint work with Robert M. Gower (Edinburgh).
  • Computational Mathematics and Applications Seminar
18 June 2015
14:00
Abstract

When formulated appropriately, the broad families of sequential quadratic programming, augmented Lagrangian and interior-point methods all require the solution of symmetric saddle-point linear systems. When regularization is employed, the systems become symmetric and quasi definite. The latter are
indefinite but their rich structure and strong relationships with definite systems enable specialized linear algebra, and make them prime candidates for matrix-free implementations of optimization methods. In this talk, I explore various formulations of the step equations in optimization and corresponding
iterative methods that exploit their structure.

  • Computational Mathematics and Applications Seminar
Andreas Grothey
Abstract

Security Constrained Optimal Power Flow is an increasingly important problem for power systems operation both in its own right and as a subproblem for more complex problems such as transmission switching or
unit commitment.

The structure of the problem resembles stochastic programming problems in that one aims to find a cost optimal operation schedule that is feasible for all possible equipment outage scenarios
(contingencies). Due to the presence of power flow constraints (in their "DC" or "AC" version), the resulting problem is a large scale linear or nonlinear programming problem.

However it is known that only a small subset of the contingencies is active at the solution. We show how Interior Point methods can exploit this structure both by simplifying the linear algebra operations as
well as generating necessary contingencies on the fly and integrating them into the algorithm using IPM warmstarting techniques. The final problem solved by this scheme is significantly smaller than the full
contingency constrained problem, resulting in substantial speed gains.

Numerical and theoretical results of our algorithm will be presented.

  • Computational Mathematics and Applications Seminar

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