Journées de l'optimisation 2022

HEC Montréal, Québec, Canada, 16 — 18 mai 2022

Horaire Auteurs Mon horaire

WB5 - Numerical optimization and linear algebra with Julia III

18 mai 2022 13h30 – 15h10

Salle: Louis-Laberge (rouge)

Présidée par Tangi Migot

4 présentations

  • 13h30 - 13h55

    Automatic Differentiation - theory, recent developments, and tools

    • Jan Hueckelheim, prés., Argonne National Laboratory
    • Sri Hari Krishna Narayanan, Argonne National Laboratory

    Automatic Differentiation (AD) is a well established technique for computing derivatives and gradients, which can be used in optimization and many other applications. We will review the theory of AD and practical challenges when applying it to real applications. We will talk about the use of AD in gradient-based optimization, and the use of (mostly gradient-free) optimization to accelerate AD. Finally, we will discuss recent developments including the use of AD in machine learning, AD for parallel programs, and emerging AD tools in Julia and other languages.

  • 13h55 - 14h20

    Online automatic optimization of software for numerical algebra

    • Monssaf Toukal, prés.,

    We introduce a new tool that automatically tunes a solver written in Julia. Given a set of parameters defined by the user, our tool uses NOMAD to solve a black-box optimization problem. The black box measures the solver performance on a user-defined test set as a function of solver parameters exposed by the solver interface. The optimization process is done automatically using continuous integration software and load balancing from inside a pull request. The pull request is updated to suggest a good set of algorithmic parameters.

  • 14h20 - 14h45

    Singular Perturbated Problems and Julia Package in Optimal Control Problem

    • Joseph Gergaud, prés., Université de Toulouse
    • Olivier Cots, Université de Toulouse
    • Jean-Baptiste Caillau, Université Côte d'Azur

    We report ongoing work on a Julia package, extending previous developments in numerical methods for optimal control including Hampath [1] and ct: control toolbox [2]. The focus is on indirect methods and path following combined with automatic differentiation. Applications on singularly perturbated optimal control problems with turnpike properties are presented.


  • 14h45 - 15h10

    Optimization with partial differential equations constraints in Julia

    • Tangi Migot, prés., Polytechnique Montréal
    • Dominique Orban, GERAD - Polytechnique Montréal

    In this presentation, we showcase a new optimization infrastructure to model and solve PDE-constrained problems in the Julia programming language. We build upon the JuliaSmoothOptimizers infrastructure for modeling and solving continuous optimization problems, and present a collection of packages for PDE-constrained problems. We conclude with examples and simulations.