Related papers: Stochastic BDDC algorithms
Black box discrete optimization (BBDO) appears in wide range of engineering tasks. Evolutionary or other BBDO approaches have been applied, aiming at automating necessary tuning of system parameters, such as hyper parameter tuning of…
We analyze the convergence of gradient-based optimization algorithms that base their updates on delayed stochastic gradient information. The main application of our results is to the development of gradient-based distributed optimization…
This paper investigates the distributed continuous-time nonconvex optimization problem over unbalanced directed networks. The objective is to cooperatively drive all the agent states to an optimal solution that minimizes the sum of the…
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…
The paper considers distributed stochastic optimization over randomly switching networks, where agents collaboratively minimize the average of all agents' local expectation-valued convex cost functions. Due to the stochasticity in gradient…
In this paper, we consider nonconvex decentralised optimisation and learning over a network of distributed agents. We develop an ADMM algorithm based on the Randomised Block Coordinate Douglas-Rachford splitting method which enables agents…
This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…
Unfitted finite element methods, e.g., extended finite element techniques or the so-called finite cell method, have a great potential for large scale simulations, since they avoid the generation of body-fitted meshes and the use of graph…
We present a novel uncertainty quantification approach for high-dimensional stochastic partial differential equations that reduces the computational cost of polynomial chaos methods by decomposing the computational domain into…
This paper considers a distributed stochastic strongly convex optimization, where agents connected over a network aim to cooperatively minimize the average of all agents' local cost functions. Due to the stochasticity of gradient estimation…
In this paper we develop a novel, discrete-time optimal control framework for mechanical systems with uncertain model parameters. We consider finite-horizon problems where the performance index depends on the statistical moments of the…
Model Predictive Control (MPC) is effective at generating safe control strategies in constrained scenarios, at the cost of computational complexity. This is especially the case in robots that require high sampling rates and have limited…
This paper proposes an algorithm to efficiently solve multistage stochastic programs with block separable recourse where each recourse problem is a multistage stochastic program with stage-wise independent uncertainty. The algorithm first…
Realistic physical phenomena exhibit random fluctuations across many scales in the input and output processes. Models of these phenomena require stochastic PDEs. For three-dimensional coupled (vector-valued) stochastic PDEs (SPDEs), for…
Stochastic mathematical models are essential tools for understanding and predicting complex phenomena. The purpose of this work is to study the exit times of a stochastic dynamical system-specifically, the mean exit time and the…
In this paper, a local-global model reduction method is presented to solve stochastic optimal control problems governed by partial differential equations (PDEs). If the optimal control problems involve uncertainty, we need to use a few…
Decentralized stochastic optimization is the basic building block of modern collaborative machine learning, distributed estimation and control, and large-scale sensing. Since involved data usually contain sensitive information like user…
Multidimensional scaling (MDS) is a popular dimensionality reduction techniques that has been widely used for network visualization and cooperative localization. However, the traditional stress minimization formulation of MDS necessitates…
The use of machine learning methods helps to improve decision making in different fields. In particular, the idea of bridging predictions (machine learning models) and prescriptions (optimization problems) is gaining attention within the…
Within the context of stochastic probing with commitment, we consider the online stochastic matching problem; that is, the one sided online bipartite matching problem where edges adjacent to an online node must be probed to determine if…