Related papers: Absolute semi-deviation risk measure for ordering …
We study two-stage stochastic optimization problems with random recourse, where the adaptive decisions are multiplied with the uncertain parameters in both the objective function and the constraints. To mitigate the computational…
Two-stage stochastic programs with binary recourse are challenging to solve and efficient solution methods for such problems have been limited. In this work, we generalize an existing binary decision diagram-based (BDD-based) approach of…
In this paper we study the problem of minimizing the average of a large number ($n$) of smooth convex loss functions. We propose a new method, S2GD (Semi-Stochastic Gradient Descent), which runs for one or several epochs in each of which a…
Anomaly detection in industrial systems is crucial for preventing equipment failures, ensuring risk identification, and maintaining overall system efficiency. Traditional monitoring methods often rely on fixed thresholds and empirical…
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool to address such problems under time-independence assumptions. We show how to…
Numerically computing global policies to optimal control problems for complex dynamical systems is mostly intractable. In consequence, a number of approximation methods have been developed. However, none of the current methods can quantify…
Distributed supply-chain optimization demands algorithms that can cope with unreliable communication, unbounded messaging delays, and geographically dispersed agents while still guaranteeing convergence with provable rates. In this work, we…
The main focus of this paper is radius-based (supplier) clustering in the two-stage stochastic setting with recourse, where the inherent stochasticity of the model comes in the form of a budget constraint. In addition to the standard…
Automatic differentiation (AD), a technique for constructing new programs which compute the derivative of an original program, has become ubiquitous throughout scientific computing and deep learning due to the improved performance afforded…
As a specific proportional hazard rates model, sequential order statistics can be used to describe the lifetimes of load-sharing systems. Inference for these systems needs to account for small sample sizes, which are prevalent in…
The paper proposes a novel Economic Model Predictive Control (EMPC) scheme for Autonomous Surface Vehicles (ASVs) to simultaneously address path following accuracy and energy constraints under environmental disturbances. By formulating…
In this study, a novel semi-implicit second-order temporal scheme combined with the finite element method for space discretization is proposed to solve the coupled system of infiltration and solute transport in unsaturated porous media. The…
Many relevant problems in the area of systems and control, such as controller synthesis, observer design and model reduction, can be viewed as optimization problems involving dynamical systems: for instance, maximizing performance in the…
We study a wholesale supply chain ordering problem. In this problem, the supplier has an initial stock, and faces an unpredictable stream of incoming orders, making real-time decisions on whether to accept or reject each order. What makes…
Well-designed queuing systems form the backbone of modern communications, distributed computing, and content delivery architectures. Designs balancing infrastructure costs and user experience indices require tools from teletraffic theory…
The problem of synthesizing stochastic explicit model predictive control policies is known to be quickly intractable even for systems of modest complexity when using classical control-theoretic methods. To address this challenge, we present…
We present a stochastic setting for optimization problems with nonsmooth convex separable objective functions over linear equality constraints. To solve such problems, we propose a stochastic Alternating Direction Method of Multipliers…
This paper presents a Consensus ADMM-based modeling and solving approach for the stochastic ACOPF. The proposed optimization model considers the load forecasting uncertainty and its induced load-shedding cost via Monte Carlo sampling. The…
Edge computing has become one of the key enablers for ultra-reliable and low-latency communications in the industrial Internet of Things in the fifth generation communication systems, and is also a promising technology in the future sixth…
Stochastic clearing theory has wide spread applications in the context of supply chain and service operations management. Historical application domains include bulk service queues, inventory control, and transportation planning (e.g.,…