相关论文: On leveraging constrained smooth additive regressi…
When a black-box optimization objective can only be evaluated with costly or noisy measurements, most standard optimization algorithms are unsuited to find the optimal solution. Specialized algorithms that deal with exactly this situation…
We solve large-scale mixed-integer linear programs (MILPs) via distributed asynchronous saddle point computation. This is motivated by the MILPs being able to model problems in multi-agent autonomy, e.g., task assignment problems and…
Existing work on data-driven optimization focuses on problems in static environments, but little attention has been paid to problems in dynamic environments. This paper proposes a data-driven optimization algorithm to deal with the…
We propose a framework for modeling and solving low-rank optimization problems to certifiable optimality. We introduce symmetric projection matrices that satisfy $Y^2=Y$, the matrix analog of binary variables that satisfy $z^2=z$, to model…
Several real-world applications could be modeled as Mixed-Integer Non-Linear Programming (MINLP) problems, and some prominent examples include portfolio optimization, remote sensing technology, and so on. Most of the models for these…
We introduce a surrogate-based black-box optimization method, termed Polynomial-model-based optimization (PMBO). The algorithm alternates polynomial approximation with Bayesian optimization steps, using Gaussian processes to model the error…
Surrogate models have shown to be an extremely efficient aid in solving engineering problems that require repeated evaluations of an expensive computational model. They are built by sparsely evaluating the costly original model and have…
Models with fewer parameters are often easier to interpret and more robust. Parsimony can be achieved through optimizing objectives like the AIC or BIC, which are functions of the the number of free parameters in the model. Optimizing this…
The `spotoptim` package implements surrogate-model-based optimization of expensive black-box functions in Python. Building on two decades of Sequential Parameter Optimization (SPO) methodology, it provides a Kriging-based optimization loop…
In this paper, we describe a comprehensive algorithmic framework for solving mixed integer bilevel linear optimization problems (MIBLPs) using a generalized branch-and-cut approach. The framework presented merges features from existing…
This paper studies the distributed minimax optimization problem over networks. To enhance convergence performance, we propose a distributed optimistic gradient tracking method, termed DOGT, which solves a surrogate function that captures…
AI-assisted molecular optimization is a very active research field as it is expected to provide the next-generation drugs and molecular materials. An important difficulty is that the properties to be optimized rely on costly evaluations.…
This paper presents an efficient Mixed-Integer Nonlinear Programming (MINLP) formulation for systems with discrete control inputs under dwell time constraints. By viewing such systems as a switched system, the problem is decomposed into a…
Alternating structure-adapted proximal (ASAP) gradient algorithm (M. Nikolova and P. Tan, SIAM J Optim, 29:2053-2078, 2019) has drawn much attention due to its efficiency in solving nonconvex nonsmooth optimization problems. However, the…
This paper considers the problem of minimizing a convex expectation function over a closed convex set, coupled with a set of inequality convex expectation constraints. We present a new stochastic approximation type algorithm, namely the…
The problem of computing an exact experimental design that is optimal for the least-squares estimation of the parameters of a regression model is considered. We show that this problem can be solved via mixed-integer linear programming…
In this work, we consider constrained stochastic optimization problems under hidden convexity, i.e., those that admit a convex reformulation via non-linear (but invertible) map $c(\cdot)$. A number of non-convex problems ranging from…
We present a novel way of accelerating hybrid surrogate methods for the calculation of failure probabilities. The main idea is to use mesh refinement in order to obtain improved local surrogates of low computation cost to simulate on. These…
We consider the projected gradient algorithm for the nonconvex best subset selection problem that minimizes a given empirical loss function under an $\ell_0$-norm constraint. Through decomposing the feasible set of the given sparsity…
Recent Meta-Black-Box Optimization (MetaBBO) approaches have shown possibility of enhancing the optimization performance through learning meta-level policies to dynamically configure low-level optimizers. However, existing MetaBBO…