相关论文: Exploiting Multistage Optimization Structure in Pr…

As deep learning techniques advance more than ever, hyper-parameter optimization is the new major workload in deep learning clusters. Although hyper-parameter optimization is crucial in training deep learning models for high model…

Convex optimization problems with staged structure appear in several contexts, including optimal control, verification of deep neural networks, and isotonic regression. Off-the-shelf solvers can solve these problems but may scale poorly. We…

Ptychography is a popular imaging technique that combines diffractive imaging with scanning microscopy. The technique consists of a coherent beam that is scanned across an object in a series of overlapping positions, leading to reliable and…

The discretization of constrained nonlinear optimization problems arising in the field of topology optimization yields algebraic systems which are challenging to solve in practice, due to pathological ill-conditioning, strong nonlinearity…

We introduce a unified framework for the study of multilevel mixed integer linear optimization problems and multistage stochastic mixed integer linear optimization problems with recourse. The framework highlights the common mathematical…

Mixed-integer model predictive control (MI-MPC) can be a powerful tool for modeling hybrid control systems. In case of a linear-quadratic objective in combination with linear or piecewise-linear system dynamics and inequality constraints,…

This article presents the first mixed-integer linear programming (MILP)-based iterative algorithm to solve factorable mixed-integer nonlinear programs (MINLPs) with bounded, differentiable periodic functions to global optimality with an…

We propose a new decomposition framework for continuous nonlinear constrained two-stage optimization, where both first- and second-stage problems can be nonconvex. A smoothing technique based on an interior-point formulation renders the…

Multistage stochastic optimization problems are, by essence, complex as their solutions are indexed both by stages and by uncertainties. Their large scale nature makes decomposition methods appealing, like dynamic programming which is a…

This paper proposes a multi-step probabilistic forecasting framework using a single neural-network based model to generate simultaneous point and interval forecasts. Our approach ensures non-crossing prediction intervals (PIs) through a…

In this paper, we investigate optimization problems with nonnegative and orthogonal constraints, where any feasible matrix of size $n \times p$ exhibits a sparsity pattern such that each row accommodates at most one nonzero entry. Our…

The operation of large-scale infrastructure networks requires scalable optimization schemes. To guarantee safe system operation, a high degree of feasibility in a small number of iterations is important. Decomposition schemes can help to…

We develop a block-activated decomposition algorithm for multi-stage stochastic variational inequalities with nonanticipativity constraints, which features two computational novelties: (i) At each iteration, our method activates only a…

In this paper, we propose a trust-region interior-point stochastic sequential quadratic programming (TR-IP-SSQP) method for solving optimization problems with a stochastic objective and deterministic nonlinear equality and inequality…

High fidelity scientific simulations modeling physical phenomena typically require solving large linear systems of equations which result from discretization of a partial differential equation (PDE) by some numerical method. This step often…

Progressive Hedging is a popular decomposition algorithm for solving multi-stage stochastic optimization problems. A computational bottleneck of this algorithm is that all scenario subproblems have to be solved at each iteration. In this…

Many applications in machine learning or signal processing involve nonsmooth optimization problems. This nonsmoothness brings a low-dimensional structure to the optimal solutions. In this paper, we propose a randomized proximal gradient…

With the growing popularity of electric vehicles (EVs), maintaining power grid stability has become a significant challenge. To address this issue, EV scheduling control strategies have been developed to manage vehicle-to-grid (V2G) in…

Bilevel Optimization has experienced significant advancements recently with the introduction of new efficient algorithms. Mirroring the success in single-level optimization, stochastic gradient-based algorithms are widely used in bilevel…

Multilevel sampling methods, such as multilevel and multifidelity Monte Carlo, multilevel stochastic collocation, or delayed acceptance Markov chain Monte Carlo, have become standard uncertainty quantification (UQ) tools for a wide class of…