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Machine learning components commonly appear in larger decision-making pipelines; however, the model training process typically focuses only on a loss that measures accuracy between predicted values and ground truth values. Decision-focused…
Indefinite quadratic programs (QPs) are known to be very difficult to be solved to global optimality, so are linear programs with linear complementarity constraints. Treating the former as a subclass of the latter, this paper presents a…
Global optimization of decision trees is a long-standing challenge in combinatorial optimization, yet such models play an important role in interpretable machine learning. Although the problem has been investigated for several decades, only…
Bayesian optimization relies on iteratively constructing and optimizing an acquisition function. The latter turns out to be a challenging, non-convex optimization problem itself. Despite the relative importance of this step, most algorithms…
We present an ideal mixed-integer programming (MIP) formulation for a rectified linear unit (ReLU) appearing in a trained neural network. Our formulation requires a single binary variable and no additional continuous variables beyond the…
In integrated power and gas energy system optimization models (ESOMs), pipeline gas transmission with linepack is a particularly complex problem due to its non-linear and non-convex character. For ESOMs based on mixed-integer linear…
We study mixed-integer programming (MIP) relaxation techniques for the solution of non convex mixed-integer quadratically constrained quadratic programs (MIQCQPs). We present MIP relaxation methods for non convex continuous variable…
The benefits of cutting planes based on the perspective function are well known for many specific classes of mixed-integer nonlinear programs with on/off structures. However, we are not aware of any empirical studies that evaluate their…
In this paper we present BilevelJuMP, a new Julia package to support bilevel optimization within the JuMP framework. The package is a Julia library that enables the user to describe both upper and lower-level optimization problems using the…
A standard quadratic program is an optimization problem that consists of minimizing a (nonconvex) quadratic form over the unit simplex. We focus on reformulating a standard quadratic program as a mixed integer linear programming problem. We…
A piecewise linear function can be described in different forms: as an arbitrarily nested expression of $\min$- and $\max$-functions, as a difference of two convex piecewise linear functions, or as a linear combination of maxima of…
Generalizing both mixed-integer linear optimization and convex optimization, mixed-integer convex optimization possesses broad modeling power but has seen relatively few advances in general-purpose solvers in recent years. In this paper, we…
We present a technique for neural network verification using mixed-integer programming (MIP) formulations. We derive a \emph{strong formulation} for each neuron in a network using piecewise linear activation functions. Additionally, as in…
MINLO (mixed-integer nonlinear optimization) formulations of the disjunction between the origin and a polytope via a binary indicator variable have broad applicability in nonlinear combinatorial optimization, for modeling a fixed cost $c$…
The problem of computing an exact experimental design that is optimal for the least-squares estimation of the parameters of a regression model is considered. We show that this problem can be solved via mixed-integer linear programming…
Despite strong connections through shared application areas, research efforts on power market optimization (e.g., unit commitment) and power network optimization (e.g., optimal power flow) remain largely independent. A notable illustration…
In this paper, we present convex hull formulations for a mixed-integer, multilinear term/function (MIMF) that features products of multiple continuous and binary variables. We develop two equivalent convex relaxations of an MIMF and study…
Several recent publications report advances in training optimal decision trees (ODT) using mixed-integer programs (MIP), due to algorithmic advances in integer programming and a growing interest in addressing the inherent suboptimality of…
Mixed-integer programming (MIP) technology offers a generic way of formulating and solving combinatorial optimization problems. While generally reliable, state-of-the-art MIP solvers base many crucial decisions on hand-crafted heuristics,…
Mixed-integer convex quadratic programs with indicator variables (MIQP) encompass a wide range of applications, from statistical learning to energy, finance, and logistics. The outer approximation (OA) algorithm has been proven efficient in…