Related papers: Exact quantization of multistage stochastic linear…
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that the discretisation on an unbounded domain…
We study the problem of designing systems in order to minimize cost while meeting a given flexibility target. Flexibility is attained by enforcing a joint chance constraint, which ensures that the system will exhibit feasible operation with…
This paper addresses the single-item single-stocking location stochastic lot sizing problem under the $(s, S) $ policy. We first present a mixed integer non-linear programming (MINLP) formulation for determining near-optimal $(s, S)$ policy…
In this paper, we study an NP-hard problem of a single machine scheduling minimizing the makespan, where the mixed-critical tasks with an uncertain processing time are scheduled. We show the derivation of F-shaped tasks from the probability…
The solution of the path structured multimarginal Schr\"{o}dinger bridge problem (MSBP) is the most-likely measure-valued trajectory consistent with a sequence of observed probability measures or distributional snapshots. We leverage recent…
In this paper, we introduce a framework for solving finite-horizon multistage optimization problems under uncertainty in the presence of auxiliary data. We assume the joint distribution of the uncertain quantities is unknown, but noisy…
Multilevel techniques are efficient approaches for solving the large linear systems that arise from discretized partial differential equations and other problems. While geometric multigrid requires detailed knowledge about the underlying…
Iterative multiscale methods for electronic structure calculations offer several advantages for large-scale problems. Here we examine a nonlinear full approximation scheme (FAS) multigrid method for solving fixed potential and…
We attack the 4-level facility location problem (4L-FLP), a critical component in supply chains. Foundational tasks here involve selecting markets, plants, warehouses, and distribution centers to maximize profits while considering related…
We investigate several problems in entanglement theory from the perspective of convex optimization. This list of problems comprises (A) the decision whether a state is multi-party entangled, (B) the minimization of expectation values of…
This paper considers the problem of maximizing multiple linear functions over the probability simplex. A classification of feasible points is indicated. A necessary and sufficient condition for a member of each class to be an efficient…
In this paper we extend the well-known L-Shaped method to solve two-stage stochastic programming problems with decision-dependent uncertainty. The method is based on a novel, unifying, formulation and on distribution-specific optimality and…
We present a method to linearize, without approximation, a specific class of eigenvalue problems with eigenvector nonlinearities (NEPv), where the nonlinearities are expressed by scalar functions that are defined by a quotient of linear…
The paper is devoted to a scalability study of the NSLP algorithm for solving non-stationary high-dimension linear programming problem on the cluster computing systems. The analysis is based on the BSF model of parallel computations. The…
Practical structural engineering problems often exhibit a significant degree of uncertainty in the material properties being used, the dimensions of the modeled structures, etc. In this paper, we consider a cantilever beam and a beam…
In the classical Steiner tree problem, given an undirected, connected graph $G=(V,E)$ with non-negative edge costs and a set of \emph{terminals} $T\subseteq V$, the objective is to find a minimum-cost tree $E' \subseteq E$ that spans the…
We consider continuous linear programs over a continuous finite time horizon $T$, with a constant coefficient matrix, linear right hand side functions and linear cost coefficient functions, where we search for optimal solutions in the space…
Bilevel linear programs (BLPs) form a class of hierarchical decision-making problems in which both the upper-level and the lower-level decision-makers, known as the leader and the follower, respectively, solve linear optimization problems.…
We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…
We consider a bilevel continuous knapsack problem where the leader controls the capacity of the knapsack, while the follower chooses a feasible packing maximizing his own profit. The leader's aim is to optimize a linear objective function…