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In this paper, we address the optimal control of stochastic matching models on general graphs and single arrivals having fixed arrival rates, as introduced in \cite{MaiMoy16}. On the `N-shaped' graph, by following the dynamic programming…
Given an undirected graph $G$, a collection $\{(s_1,t_1),..., (s_k,t_k)\}$ of pairs of vertices, and an integer $p$, the Edge Multicut problem ask if there is a set $S$ of at most $p$ edges such that the removal of $S$ disconnects every…
Robust optimization is an established framework for modeling optimization problems with uncertain parameters. While static robust optimization is often criticized for being too conservative, two-stage (or adjustable) robust optimization…
In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important special cases, multistage stochastic convex optimization with non-Lipschitzian value…
Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear…
We study the problem of learning differentiable functions expressed as programs in a domain-specific language. Such programmatic models can offer benefits such as composability and interpretability; however, learning them requires…
We consider a multiperiod stochastic capacitated facility location problem under uncertain demand and budget in each period. Using a scenario tree representation of the uncertainties, we formulate a multistage stochastic integer program to…
We introduce two-stage stochastic min-max and min-min integer programs with bi-parameterized recourse (BTSPs), where the first-stage decisions affect both the objective function and the feasible region of the second-stage problem. To solve…
In this paper, we propose iterative inner/outer approximations based on a recent notion of block factor-width-two matrices for solving semidefinite programs (SDPs). Our inner/outer approximating algorithms generate a sequence of upper/lower…
It has been found that stochastic algorithms often find good solutions much more rapidly than inherently-batch approaches. Indeed, a very useful rule of thumb is that often, when solving a machine learning problem, an iterative technique…
Bayesian optimization is a sample-efficient method for solving expensive, black-box optimization problems. Stochastic programming concerns optimization under uncertainty where, typically, average performance is the quantity of interest. In…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
A standard type of uncertainty set in robust optimization is budgeted uncertainty, where an interval of possible values for each parameter is given and the total deviation from their lower bounds is bounded. In the two-stage setting,…
We study piecewise affine policies for multi-stage adjustable robust optimization (ARO) problems with non-negative right-hand side uncertainty. First, we construct new dominating uncertainty sets and show how a multi-stage ARO problem can…
We consider a two-stage stochastic optimization problem, in which a long-term optimization variable is coupled with a set of short-term optimization variables in both objective and constraint functions. Despite that two-stage stochastic…
Machine learning with big data often involves large optimization models. For distributed optimization over a cluster of machines, frequent communication and synchronization of all model parameters (optimization variables) can be very…
We study the following problem: given a class of logic programs C, determine the maximum number of stable models of a program from C. We establish the maximum for the class of all logic programs with at most n clauses, and for the class of…
We develop a decomposition algorithm for distributionally-robust two-stage stochastic mixed-integer convex cone programs, and its important special case of distributionally-robust two-stage stochastic mixed-integer second order cone…
Binary size reduction is an increasingly important optimization objective for compilers. One emerging technique is function merging, where multiple similar functions are merged into one, thereby eliminating redundancy. The SOTA approach to…
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…