Numerical Issues and Influences in the Design of Algebraic Modeling Languages for Optimizat.pdfVIP

Numerical Issues and Influences in the Design of Algebraic Modeling Languages for Optimization Robert Fourer Northwestern University David M. Gay AMPL Optimization LLC The idea of a modeling language is to describe mathematical problems symboli- cally in a way that is familiar to people but that allows for processing by computer systems. In particular the concept of an algebraic modeling language, based on objective and constraint expressions in terms of decision variables, has proved to be valuable for a broad range of optimization and related problems. One modeling language can work with numerous solvers, each of which imple- ments one or more optimization algorithms. The separation of model specification from solver execution is thus a key tenet of modeling language design. Neverthe- less, several issues in numerical analysis that are critical to solvers are also im- portant in implementations of modeling languages. So-called presolve procedures, which tighten bounds with the aim of eliminating some variables and constraints, are numerical algorithms that require carefully chosen tolerances and can benefit from directed roundings. Correctly rounded binary-decimal conversion is valuable in portably conveying problem instances and in debugging. Further rounding op- tions offer tradeoffs between accuracy, convenience, and readability in displaying numerical results. Modeling languages can also strongly influence the development of solvers. Most notably, for smooth nonlinear optimization, the ability to provide numerically com- puted, exact first and second derivatives has made modeling languages a valuable tool in solver development. The generality of modeling languages has also encour- aged the development of more general solvers, such as for optimization problems w