Related papers: Multi-objective risk-averse two-stage stochastic p…
This paper considers smooth convex optimization problems with many functional constraints. To solve this general class of problems we propose a new stochastic perturbed augmented Lagrangian method, called SGDPA, where a perturbation is…
Robust tensor recovery plays an instrumental role in robustifying tensor decompositions for multilinear data analysis against outliers, gross corruptions and missing values and has a diverse array of applications. In this paper, we study…
We consider convex optimization problems formulated using dynamic programming equations. Such problems can be solved using the Dual Dynamic Programming algorithm combined with the Level 1 cut selection strategy or the Territory algorithm to…
We study a first-order primal-dual subgradient method to optimize risk-constrained risk-penalized optimization problems, where risk is modeled via the popular conditional value at risk (CVaR) measure. The algorithm processes independent and…
We design inexact proximal augmented Lagrangian based decomposition methods for convex composite programming problems with dual block-angular structures. Our methods are particularly well suited for convex quadratic programming problems…
Motivated by applications in clinical trials and finance, we study the problem of online convex optimization (with bandit feedback) where the decision maker is risk-averse. We provide two algorithms to solve this problem. The first one is a…
This paper tackles the challenging problem of finding global optimal solutions for two-stage stochastic programs with continuous decision variables and nonconvex recourse functions. We introduce a two-phase approach. The first phase…
Consider the problem of minimizing the expected value of a (possibly nonconvex) cost function parameterized by a random (vector) variable, when the expectation cannot be computed accurately (e.g., because the statistics of the random…
The multi-gradient descent algorithm (MGDA) finds a common descent direction that can improve all objectives by identifying the minimum-norm point in the convex hull of the objective gradients. This method has become a foundational tool in…
We develop a novel unified randomized block-coordinate primal-dual algorithm to solve a class of nonsmooth constrained convex optimization problems, which covers different existing variants and model settings from the literature. We prove…
Multicriterion optimization and Pareto optimality are fundamental tools in economics. In this paper we propose a new relaxation method for solving multiple objective quadratic programming problems. Exploiting the technique of the linear…
Optimal inventory leads to stochastic optimization problems where deterministic delivery decisions have to be made in advance of stochastic demand realizations. Similarly, risk deposits have to be given before the random outcomes of…
We develop a framework for convexifying a fairly general class of optimization problems. Under additional assumptions, we analyze the suboptimality of the solution to the convexified problem relative to the original nonconvex problem and…
In this paper, "chance optimization" problems are introduced, where one aims at maximizing the probability of a set defined by polynomial inequalities. These problems are, in general, nonconvex and computationally hard. With the objective…
We develop stochastic first-order primal-dual algorithms to solve a class of convex-concave saddle-point problems. When the saddle function is strongly convex in the primal variable, we develop the first stochastic restart scheme for this…
Utility-based shortfall risk (UBSR), a convex risk measure sensitive to tail losses, has gained popularity in recent years. However, research on computational methods for UBSR optimization remains relatively scarce. In this paper, we…
We consider the problem of minimizing the sum of two convex functions: one is the average of a large number of smooth component functions, and the other is a general convex function that admits a simple proximal mapping. We assume the whole…
We aim to solve a structured convex optimization problem, where a nonsmooth function is composed with a linear operator. When opting for full splitting schemes, usually, primal-dual type methods are employed as they are effective and also…
This paper addresses risk averse constrained optimization problems where the objective and constraint functions can only be computed by a blackbox subject to unknown uncertainties. To handle mixed aleatory/epistemic uncertainties, the…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…