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We analyze the tail behavior of solutions to sample average approximations (SAAs) of stochastic programs posed in Hilbert spaces. We require that the integrand be strongly convex with the same convexity parameter for each realization.…
In this paper, we examine the Sample Average Approximation (SAA) procedure within a framework where the Monte Carlo estimator of the expectation is biased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to enhance the…
Uncertainty modeling has become increasingly important in power system decision-making. The widely-used tractable uncertainty modeling method-chance constraints with Conditional Value at Risk (CVaR) approximation, can be overconservative…
Nonconvex sparse models have received significant attention in high-dimensional machine learning. In this paper, we study a new model consisting of a general convex or nonconvex objectives and a variety of continuous nonconvex…
This work considers the problem of sampling from a probability distribution known up to a normalization constant while satisfying a set of statistical constraints specified by the expected values of general nonlinear functions. This problem…
In this work, we examine sampling problems with non-smooth potentials. We propose a novel Markov chain Monte Carlo algorithm for sampling from non-smooth potentials. We provide a non-asymptotical analysis of our algorithm and establish a…
Assigning jobs onto identical machines with the objective to minimize the maximal load is one of the most basic problems in combinatorial optimization. Motivated by product planing and data placement, we study a natural extension called…
We consider stochastic strongly-convex-strongly-concave (SCSC) saddle point (SP) problems which frequently arise in applications ranging from distributionally robust learning to game theory and fairness in machine learning. We focus on the…
We study sampling problems associated with non-convex potentials that meanwhile lack smoothness. In particular, we consider target distributions that satisfy either logarithmic-Sobolev inequality or Poincar\'e inequality. Rather than…
The uncertainty of multiple power loads and renewable energy generations (PLREG) in power systems increases the complexity of power flow analysis for decision-makers. The chance-constrained method can be applied to model the optimization…
The problem of computing a common point that lies in the intersection of a finite number of closed convex sets, each known to one agent in a network, is studied. This issue, known as the distributed convex feasibility problem or 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 propose a safe approximation to joint chance-constrained programming where the constraint functions are additively dependent on a normally-distributed random vector. The approximation is analytical, meaning that it requires neither…
Constraint Programming (CP) has been successfully used to model and solve complex combinatorial problems. However, modeling is often not trivial and requires expertise, which is a bottleneck to wider adoption. In Constraint Acquisition…
This work addresses integrating probabilistic propositional logic constraints into the distribution encoded by a probabilistic circuit (PC). PCs are a class of tractable models that allow efficient computations (such as conditional and…
The Chance-Constrained Parallel Machine Scheduling Problem (CC-PMSP) assigns jobs with uncertain processing times to machines, ensuring that each machine's availability constraints are met with a certain probability. We present a…
Constraints can be interpreted in a broad sense as any kind of explicit restriction over the parameters. While some constraints are defined directly on the parameter space, when they are instead defined by known behaviour on the model,…
Constraint satisfaction problems (CSPs) consist of a set of variables taking values from some finite domain and a set of local constraints on these variables. The objective is to find an assignment to the variables that maximizes the…
Stochastic saddle point (SSP) problems are, in general, less studied compared to stochastic minimization problems. However, SSP problems emerge from machine learning (adversarial training, e.g., GAN, AUC maximization), statistics (robust…
Higher levels of renewable electricity generation increase uncertainty in power system operation. To ensure secure system operation, new tools that account for this uncertainty are required. In this paper, we formulate a chance-constrained…