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Optimization problems with the objective function in the form of weighted sum and linear equality constraints are considered. Given that the number of local cost functions can be large as well as the number of constraints, a stochastic…
The cross-entropy (CE) method is a popular stochastic method for optimization due to its simplicity and effectiveness. Designed for rare-event simulations where the probability of a target event occurring is relatively small, the CE-method…
In this paper, we study the problem of optimizing the size and mix of a mixed fleet of electric and conventional vehicles owned by firms providing urban freight logistics services. Uncertain customer requests are considered at the strategic…
The ever-increasing integration of stochastic renewable energy sources into power systems operation is making the supply-demand balance more challenging. While joint chance-constrained methods are equipped to model these complexities and…
The integration of storage and renewable resources fundamentally alters resource-adequacy analysis. Because storage couples decisions across time, it invalidates the traditional reliability models that are based on time-independent capacity…
We develop a principled approach to end-to-end learning in stochastic optimization. First, we show that the standard end-to-end learning algorithm admits a Bayesian interpretation and trains a posterior Bayes action map. Building on the…
This paper describes an expectation propagation (EP) method for multi-class classification with Gaussian processes that scales well to very large datasets. In such a method the estimate of the log-marginal-likelihood involves a sum across…
Motivated by a wide variety of applications, this paper introduces a general class of networks of stochastic loss systems in which congestion renders lost revenue due to customers or jobs being permanently removed from the system. We seek…
This paper considers multiple binary hypothesis tests with adaptive allocation of sensing resources from a shared budget over a small number of stages. A Bayesian formulation is provided for the multistage allocation problem of minimizing…
The transient behavior of Automatic Generation Control (AGC) systems is a critical aspect of power system operation. Therefore, fully extracting the potential of Battery Energy Storage Systems (BESSs) for AGC enhancement is of paramount…
We develop and analyze a method for stochastic simulation optimization based on Gaussian process models within a trust-region framework. We focus on settings where the variance of the objective function is large, making accurate estimation…
This paper investigates a generation expansion planning (GEP) problem encompassing renewable, thermal, and storage technologies while simultaneously optimizing market participation, operational expenditures, and capital investment. To…
Many global optimization algorithms of the memetic variety rely on some form of stochastic search, and yet they often lack a sound probabilistic basis. Without a recourse to the powerful tools of stochastic calculus, treading the fine…
Carbon Capture and Storage (CCS) stands as a pivotal technology for fostering a sustainable future. The process, which involves injecting supercritical CO$_2$ into underground formations, a method already widely used for Enhanced Oil…
Bayesian optimization is a sequential method for minimizing objective functions that are expensive to evaluate and about which few assumptions can be made. By using all gathered data to train a Gaussian process model for the function and…
This letter considers optimizing user association in a heterogeneous network via utility maximization, which is a combinatorial optimization problem due to integer constraints. Different from existing solutions based on convex optimization,…
We study contextual stochastic optimization problems, where we leverage rich auxiliary observations (e.g., product characteristics) to improve decision making with uncertain variables (e.g., demand). We show how to train forest decision…
High-dimensional Bayesian optimization (BO) tasks such as molecular design often require 10,000 function evaluations before obtaining meaningful results. While methods like sparse variational Gaussian processes (SVGPs) reduce computational…
We propose a novel method for sampling and optimization tasks based on a stochastic interacting particle system. We explain how this method can be used for the following two goals: (i) generating approximate samples from a given target…
This paper deals with the identification of linear stochastic dynamical systems, where the unknowns include system coefficients and noise variances. Conventional approaches that rely on the maximum likelihood estimation (MLE) require…