Related papers: Leveraging Decision Diagrams to Solve Two-stage St…

This paper presents a new column-and-constraint generation method for two-stage robust mixed-integer programs with finite uncertainty sets. Our method combines and extends speed-up techniques used in previous column-and-constraint…

In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence.…

Cut generation and lifting are key components for the performance of state-of-the-art mathematical programming solvers. This work proposes a new general cut-and-lift procedure that exploits the combinatorial structure of 0-1 problems via a…

A number of problems in relational Artificial Intelligence can be viewed as Stochastic Constraint Optimization Problems (SCOPs). These are constraint optimization problems that involve objectives or constraints with a stochastic component.…

Block coordinate descent (BCD) methods and their variants have been widely used in coping with large-scale nonconstrained optimization problems in many fields such as imaging processing, machine learning, compress sensing and so on. For…

Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…

Benders decomposition is one of the most applied methods to solve two-stage stochastic problems (TSSP) with a large number of scenarios. The main idea behind the Benders decomposition is to solve a large problem by replacing the values of…

In energy management, it is common that strategic investment decisions (storage capacity, production units) are made at a slow time scale, whereas operational decisions (storage, production) are made at a fast time scale: for such problems,…

We introduce an inexact variant of Stochastic Mirror Descent (SMD), called Inexact Stochastic Mirror Descent (ISMD), to solve nonlinear two-stage stochastic programs where the second stage problem has linear and nonlinear coupling…

In this paper, we consider both first- and second-order techniques to address continuous optimization problems arising in machine learning. In the first-order case, we propose a framework of transition from deterministic or…

We consider various stochastic models that incorporate the notion of risk-averseness into the standard 2-stage recourse model, and develop novel techniques for solving the algorithmic problems arising in these models. A key notable feature…

In this paper a class of combinatorial optimization problems is discussed. It is assumed that a solution can be constructed in two stages. The current first-stage costs are precisely known, while the future second-stage costs are only known…

We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity…

Binary Decision Diagrams (BDDs) are instrumental in many electronic design automation (EDA) tasks thanks to their compact representation of Boolean functions. In BDD-based reversible-circuit synthesis, which is critical for quantum…

We propose a novel methodology for solving a two-stage adjustable robust convex optimisation problem with a general (proximable) convex objective function and constraints defined by sum-of-squares (SOS) convex polynomials. These problems…

Benders decomposition (BD) is a widely used solution approach for solving two-stage stochastic programs arising in real-world decision-making under uncertainty. However, it often suffers from slow convergence as the master problem grows…

We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…

We study a new two-time-scale stochastic gradient method for solving optimization problems, where the gradients are computed with the aid of an auxiliary variable under samples generated by time-varying MDPs controlled by the underlying…

We study two-stage stochastic optimization models with mixed-integer decision variables appearing in both stages. For these models, dual decomposition enables parallel computing implementation and can quickly provide a lower bound for the…

Binary optimization, a representative subclass of discrete optimization, plays an important role in mathematical optimization and has various applications in computer vision and machine learning. Usually, binary optimization problems are…