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Stochastic dual dynamic programming (SDDP) is a state-of-the-art method for solving multi-stage stochastic optimization, widely used for modeling real-world process optimization tasks. Unfortunately, SDDP has a worst-case complexity that…
In this paper, we develop a symmetric accelerated stochastic Alternating Direction Method of Multipliers (SAS-ADMM) for solving separable convex optimization problems with linear constraints. The objective function is the sum of a possibly…
We study optimization algorithms for the finite sum problems frequently arising in machine learning applications. First, we propose novel variants of stochastic gradient descent with a variance reduction property that enables linear…
We present adaptive sequential SAA (sample average approximation) algorithms to solve large-scale two-stage stochastic linear programs. The iterative algorithm framework we propose is organized into \emph{outer} and \emph{inner} iterations…
There is an increasing need for algorithms that can accurately detect changepoints in long time-series, or equivalent, data. Many common approaches to detecting changepoints, for example based on penalised likelihood or minimum description…
In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stochastic differential equations (BSDEs). The SGBM algorithm is based on conditional expectations approximation by means of bundling of Monte…
Two-stage stochastic programs with binary recourse are challenging to solve and efficient solution methods for such problems have been limited. In this work, we generalize an existing binary decision diagram-based (BDD-based) approach of…
A series of hybrid quantum-classical generalized Benders decomposition (GBD) algorithms are proposed to address unit commitment (UC) problems under centralized, distributed, and partially distributed frameworks. In the centralized approach,…
Stochastic differential equations (SDEs) are increasingly used in longitudinal data analysis, compartmental models, growth modelling, and other applications in a number of disciplines. Parameter estimation, however, currently requires…
Stochastic gradient descent (SGD) is a widely adopted iterative method for optimizing differentiable objective functions. In this paper, we propose and discuss a novel approach to scale up SGD in applications involving non-convex functions…
Bundle adjustment is the common way to solve localization and mapping. It is an iterative process in which a system of non-linear equations is solved using two optimization methods, weighted by a damping factor. In the classic approach, the…
Telecommunication networks frequently face technological advancements and need to upgrade their infrastructure. Adapting legacy networks to the latest technology requires synchronized technicians responsible for migrating the equipment. The…
Recent studies have demonstrated that many layers are functionally redundant in large language models (LLMs), enabling model compression by removing these layers to reduce inference cost. While such approaches can improve efficiency,…
Detecting multiple structural breaks in high-dimensional data remains a challenge, particularly when changes occur in higher-order moments or within complex manifold structures. In this paper, we propose REAMP (Resonance-Enhanced Analysis…
Higher-order tensors have received increased attention across science and engineering. While most tensor decomposition methods are developed for a single tensor observation, scientific studies often collect side information, in the form of…
We consider multistage stochastic optimization problems involving multiple units. Each unit is a (small) control system. Static constraints couple units at each stage. We present a mix of spatial and temporal decompositions to tackle such…
This paper aims to present a fairly accessible generalization of several symmetric Gauss-Seidel decomposition based multi-block proximal alternating direction methods of multipliers (ADMMs) for convex composite optimization problems. The…
Many annotation problems in computer vision can be phrased as integer linear programs (ILPs). The use of standard industrial solvers does not to exploit the underlying structure of such problems eg, the skeleton in pose estimation. The…
The generalized alternating direction method of multipliers (ADMM) of Xiao et al. [{\tt Math. Prog. Comput., 2018}] aims at the two-block linearly constrained composite convex programming problem, in which each block is in the form of…
Alternating Direction Method of Multipliers (ADMM) is a popular method for solving large-scale Machine Learning problems. Stochastic ADMM was proposed to reduce the per iteration computational complexity, which is more suitable for big data…