Related papers: Douglas--Rachford algorithm for control-constraine…
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…
We examine convergence properties of continuous-time variants of accelerated Forward-Backward (FB) and Douglas-Rachford (DR) splitting algorithms for nonsmooth composite optimization problems. When the objective function is given by the sum…
The Douglas-Rachford algorithm is widely used in sparse signal processing for minimizing a sum of two convex functions. In this paper, we consider the case where one of the functions is weakly convex but the other is strongly convex so that…
This paper develops an algorithmic framework for real-time optimization of distribution-level distributed energy resources (DERs). The proposed framework optimizes the operation of both DERs that are individually controllable and groups of…
Demand response (DR) for residential and small commercial buildings is estimated to account for as much as 65% of the total energy savings potential of DR, and previous work shows that a fully automated Energy Management System (EMS) is a…
Deep Reinforcement Learning (DRL) has become a popular method for solving control problems in power systems. Conventional DRL encourages the agent to explore various policies encoded in a neural network (NN) with the goal of maximizing the…
We consider distributed optimization in the client-server setting. By use of Douglas-Rachford splitting to the dual of the sum problem, we design a BFGS method that requires minimal communication (sending/receiving one vector per round for…
Optimizing problems in a distributed manner is critical for systems involving multiple agents with private data. Despite substantial interest, a unified method for analyzing the convergence rates of distributed optimization algorithms is…
First-order methods are widely used to solve convex quadratic programs (QPs) in real-time applications because of their low per-iteration cost. However, they can suffer from slow convergence to accurate solutions. In this paper, we present…
We introduce effective splitting methods for implementing optimization-based limiters to enforce the invariant domain in gas dynamics in high order accurate numerical schemes. The key ingredients include an easy and efficient explicit…
We derive novel algorithms for optimization problems constrained by partial differential equations describing multiscale particle dynamics, including non-local integral terms representing interactions between particles. In particular, we…
Online and stochastic learning has emerged as powerful tool in large scale optimization. In this work, we generalize the Douglas-Rachford splitting (DRs) method for minimizing composite functions to online and stochastic settings (to our…
Moment-based distributionally robust optimization (DRO) provides an optimization framework to integrate statistical information with traditional optimization approaches. Under this framework, one assumes that the underlying joint…
In this paper, we prove that the ergodic sequence generated by the Peaceman-Rachford (PR) splitting method with semi-proximal terms converges for convex optimization problems (COPs). Numerical experiments on the linear programming benchmark…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
We propose a primal--dual technique that applies to infinite dimensional equality constrained problems, in particular those arising from optimal control. As an application of our general framework, we solve a control-constrained double…
Although the performance of popular optimization algorithms such as Douglas-Rachford splitting (DRS) and the ADMM is satisfactory in small and well-scaled problems, ill conditioning and problem size pose a severe obstacle to their reliable…
In this article, we propose and study a stochastic and relaxed preconditioned Douglas--Rachford splitting method to solve saddle-point problems that have separable dual variables. We prove the almost sure convergence of the iteration…
The massive integration of renewable-based distributed energy resources (DERs) inherently increases the energy system's complexity, especially when it comes to defining its operational schedule. Deep reinforcement learning (DRL) algorithms…
Stand-alone direct current (DC) microgrids may belong to different owners and adopt various control strategies. This brings great challenge to its optimal operation due to the difficulty of implementing a unified control. This paper…