相关论文: Distributed Stochastic ACOPF Based on Consensus AD…

In this work we address the problem of distributed optimization of the sum of convex cost functions in the context of multi-agent systems over lossy communication networks. Building upon operator theory, first, we derive an ADMM-like…

This paper proposes a novel approach to generate samples from target distributions that are difficult to sample from using Markov Chain Monte Carlo (MCMC) methods. Traditional MCMC algorithms often face slow convergence due to the…

The optimal power flow (OPF) problem, which plays a central role in operating electrical networks is considered. The problem is nonconvex and is in fact NP hard. Therefore, designing efficient algorithms of practical relevance is crucial,…

This paper discusses a consensus-based alternating direction method of multipliers (ADMM) approach to solve the multi-area coordinated network-constrained unit commitment (NCUC) problem in a distributed manner. Due to political and…

Simulation optimization is often hindered by the high cost of running simulations. Multi-fidelity methods offer a promising solution by incorporating cheaper, lower-fidelity simulations to reduce computational time. However, the bias in…

We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while…

Stochastic gradient Markov chain Monte Carlo (SG-MCMC) methods are Bayesian analogs to popular stochastic optimization methods; however, this connection is not well studied. We explore this relationship by applying simulated annealing to an…

Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance sampling techniques presented by Vazquez-Abad…

This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…

Distributed algorithms for solving additive or consensus optimization problems commonly rely on first-order or proximal splitting methods. These algorithms generally come with restrictive assumptions and at best enjoy a linear convergence…

We study the problem of how to distribute the training of large-scale deep learning models in the parallel computing environment. We propose a new distributed stochastic optimization method called Elastic Averaging SGD (EASGD). We analyze…

We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…

We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…

We consider selecting the top-$m$ alternatives from a finite number of alternatives via Monte Carlo simulation. Under a Bayesian framework, we formulate the sampling decision as a stochastic dynamic programming problem, and develop a…

This paper presents a novel approach to enhance Model Predictive Control (MPC) for legged robots through Distributed Optimization. Our method focuses on decomposing the robot dynamics into smaller, parallelizable subsystems, and utilizing…

In this paper, we propose a sampling algorithm based on state-of-the-art statistical machine learning techniques to obtain conditional nonlinear optimal perturbations (CNOPs), which is different from traditional (deterministic) optimization…

The optimal power flow (OPF) problem is funda- mental in power distribution networks control and operation that underlies many important applications such as volt/var control and demand response, etc.. Large-scale highly volatile renewable…

We consider the structured stochastic convex program requiring the minimization of $\mathbb{E}[\tilde f(x,\xi)]+\mathbb{E}[\tilde g(y,\xi)]$ subject to the constraint $Ax + By = b$. Motivated by the need for decentralized schemes and…

We introduce a novel framework for efficient sampling from complex, unnormalised target distributions by exploiting multiscale dynamics. Traditional score-based sampling methods either rely on learned approximations of the score function or…

We propose an efficient ADMM method with guarantees for high-dimensional problems. We provide explicit bounds for the sparse optimization problem and the noisy matrix decomposition problem. For sparse optimization, we establish that the…