Related papers: About the Complexity of Two-Stage Stochastic IPs

We propose a new algorithm for solving multistage stochastic mixed integer linear programming (MILP) problems with complete continuous recourse. In a similar way to cutting plane methods, we construct nonlinear Lipschitz cuts to build lower…

In this paper, a double-pivot simplex method is proposed. Two upper bounds of iteration numbers are derived. Applying one of the bounds to some special linear programming (LP) problems, such as LP with a totally unimodular matrix and Markov…

We consider a step search method for continuous optimization under a stochastic setting where the function values and gradients are available only through inexact probabilistic zeroth- and first-order oracles. Unlike the stochastic gradient…

In the classic Integer Programming (IP) problem, the objective is to decide whether, for a given $m \times n$ matrix $A$ and an $m$-vector $b=(b_1,\dots, b_m)$, there is a non-negative integer $n$-vector $x$ such that $Ax=b$. Solving (IP)…

We propose a gradient-based method for quadratic programming problems with a single linear constraint and bounds on the variables. Inspired by the GPCG algorithm for bound-constrained convex quadratic programming [J.J. Mor\'e and G.…

Principal component analysis (PCA) is one of the most widely used dimensionality reduction tools in data analysis. The PCA direction is a linear combination of all features with nonzero loadings -- this impedes interpretability. Sparse PCA…

We propose adaptive, line search-free second-order methods with optimal rate of convergence for solving convex-concave min-max problems. By means of an adaptive step size, our algorithms feature a simple update rule that requires solving…

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…

In this paper a class of robust two-stage combinatorial optimization problems is discussed. It is assumed that the uncertain second stage costs are specified in the form of a convex uncertainty set, in particular polyhedral or ellipsoidal…

This paper applies the N-block PCPM algorithm to solve multi-scale multi-stage stochastic programs, with the application to electricity capacity expansion models. Numerical results show that the proposed simplified N-block PCPM algorithm,…

For finite-dimensional problems, stochastic approximation methods have long been used to solve stochastic optimization problems. Their application to infinite-dimensional problems is less understood, particularly for nonconvex objectives.…

In this work we propose a new primal-dual algorithm with adaptive step-sizes. The stochastic primal-dual hybrid gradient (SPDHG) algorithm with constant step-sizes has become widely applied in large-scale convex optimization across many…

For minimizing a strongly convex objective function subject to linear inequality constraints, we consider a penalty approach that allows one to utilize stochastic methods for problems with a large number of constraints and/or objective…

The indefinite least squares (ILS) problem is a generalization of the famous linear least squares problem. It minimizes an indefinite quadratic form with respect to a signature matrix. For this problem, we first propose an impressively…

Several attempts to dampen the curse of dimensionnality problem of the Dynamic Programming approach for solving multistage optimization problems have been investigated. One popular way to address this issue is the Stochastic Dual Dynamic…

In this paper, we extend the adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse to the multistage stochastic programming setting. The proposed algorithms integrate the adaptive partition-based…

Two-stage stochastic programs become computationally challenging when the number of scenarios representing parameter uncertainties grows. Motivated by this, we propose the TULIP-algorithm ("Two-step warm start method Used for solving…

We design an algorithm which finds an $\epsilon$-approximate stationary point (with $\|\nabla F(x)\|\le \epsilon$) using $O(\epsilon^{-3})$ stochastic gradient and Hessian-vector products, matching guarantees that were previously available…

Part I of this paper considered optimization problems over networks where agents have individual objectives to meet, or individual parameter vectors to estimate, subject to subspace constraints that require the objectives across the network…

Consider the setting of constrained optimization, with some parameters unknown at solving time and requiring prediction from relevant features. Predict+Optimize is a recent framework for end-to-end training supervised learning models for…