Related papers: Stochastic Cutting Planes for Data-Driven Optimiza…
Cutting planes are a crucial component of state-of-the-art mixed-integer programming solvers, with the choice of which subset of cuts to add being vital for solver performance. We propose new distance-based measures to qualify the value of…
We present a deterministic O(n log log n) time algorithm for finding shortest cycles and minimum cuts in planar graphs. The algorithm improves the previously known fastest algorithm by Italiano et al. in STOC'11 by a factor of log n. This…
We develop a non-parametric, data-driven, tractable approach for solving multistage stochastic optimization problems in which decisions do not affect the uncertainty. The proposed framework represents the decision variables as elements of a…
Non-linear least squares solvers are used across a broad range of offline and real-time model fitting problems. Most improvements of the basic Gauss-Newton algorithm tackle convergence guarantees or leverage the sparsity of the underlying…
In this paper, we develop mixed integer linear programming models to compute near-optimal policy parameters for the non-stationary stochastic lot sizing problem under Bookbinder and Tan's static-dynamic uncertainty strategy. Our models…
Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…
Distributionally robust optimization (DRO) problems are increasingly seen as a viable method to train machine learning models for improved model generalization. These min-max formulations, however, are more difficult to solve. We therefore…
A framework previously introduced in [3] for solving a sequence of stochastic optimization problems with bounded changes in the minimizers is extended and applied to machine learning problems such as regression and classification. The…
There is an emerging need for efficient solutions to stochastic AC Optimal Power Flow ({AC-}OPF) to ensure optimal and reliable grid operations in the presence of increasing demand and generation uncertainty. This paper presents a highly…
Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the possible violation of a restriction. Each risk constraint induces an uncertainty set of coefficients,…
There is a recent interest on first-order methods for linear programming (LP). In this paper,we propose a stochastic algorithm using variance reduction and restarts for solving sharp primal-dual problems such as LP. We show that the…
We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…
We survey recent work on machine learning (ML) techniques for selecting cutting planes (or cuts) in mixed-integer linear programming (MILP). Despite the availability of various classes of cuts, the task of choosing a set of cuts to add to…
In this paper, we present an analysis of the strength of sparse cutting-planes for mixed integer linear programs (MILP) with sparse formulations. We examine three kinds of problems: packing problems, covering problems, and more general…
We formulate the loop-free, binary superoptimization task as a stochastic search problem. The competing constraints of transformation correctness and performance improvement are encoded as terms in a cost function, and a Markov Chain Monte…
We present a novel binary convex reformulation of the sparse regression problem that constitutes a new duality perspective. We devise a new cutting plane method and provide evidence that it can solve to provable optimality the sparse…
Optimization-based samplers such as randomize-then-optimize (RTO) [2] provide an efficient and parallellizable approach to solving large-scale Bayesian inverse problems. These methods solve randomly perturbed optimization problems to draw…
We propose new continuous-time formulations for first-order stochastic optimization algorithms such as mini-batch gradient descent and variance-reduced methods. We exploit these continuous-time models, together with simple Lyapunov analysis…
We introduce the \emph{submodular objectives chasing problem}, which generalizes many natural and previously-studied problems: a sequence of constrained submodular maximization problems is revealed over time, with both the objective and…
Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear…