We introduce an iterative method named BiLQ for solving general square linear systems Ax = b based on the Lanczos biorthogonalization process defined by least-norm subproblems, and is a natural companion to BiCG and QMR. Whereas the BiCG (Fletcher, 1976), CGS (Sonneveld, 1989) and BiCGSTAB (van der Vorst, 1992) iterates may not exist when the … Read more
We consider the iterative solution of regularized saddle-point systems. When the leading block is symmetric and positive semi-definite on an appropriate subspace, Dollar, Gould, Schilders, and Wathen (SIAM J. Matrix Anal. Appl., 28(1), 2006) describe how to apply the conjugate gradient (CG) method coupled with a constraint preconditioner, a choice that has proved to be … Read more
We look at stochastic optimization problems through the lens of statistical decision theory. In particular, we address admissibility, in the statistical decision theory sense, of the natural sample average estimator for a stochastic optimization problem (which is also known as the empirical risk minimization (ERM) rule in learning literature). It is well known that for … Read more
Cubic Regularization methods have several favorable properties. In particular under mild assumptions, they are globally convergent towards critical points with second order necessary conditions satisfied. Their adoption among practitioners, however, does not yet match the strong theoretical results. One of the reasons for this discrepancy may be additional implementation complexity needed to solve the occurring … Read more
We develop a complementarity-constrained nonlinear optimization model for the time-dependent control of district heating networks. The main physical aspects of water and heat flow in these networks are governed by nonlinear and hyperbolic 1d partial differential equations. In addition, a pooling-type mixing model is required at the nodes of the network to treat the mixing … Read more
A popular belief for explaining the efficiency in training deep neural networks is that over-paramenterized neural networks have nice landscape. However, it still remains unclear whether over-parameterized neural networks contain spurious local minima in general, since all current positive results cannot prove non-existence of bad local minima, and all current negative results have strong restrictions … Read more
The establishment of kidney exchange programs has dramatically improved rates for kidney transplants by matching donors to compatible patients who would otherwise fail to receive a kidney for transplant. Rather than simply swapping kidneys between two patient-donor pairs, having multiple patient-donors pairs simultaneously donate kidneys in a cyclic manner enables all participants to receive a … Read more
We consider stochastic optimization problems in which we aim to minimize the expected value of an objective function with respect to an unknown distribution of random parameters. We analyse the out-of-sample performance of solutions obtained by solving a distributionally robust version of the sample average approximation problem for unconstrained quadratic problems, and derive conditions under … Read more
A particularly important substructure in modeling joint linear chance-constrained programs with random right-hand sides and finite sample space is the intersection of mixing sets with common binary variables (and possibly a knapsack constraint). In this paper, we first revisit basic mixing sets by establishing a strong and previously unrecognized connection to submodularity. In particular, we … Read more
In this paper, we consider an optimization problem involving crashing an activity network under a single disruption. A disruption is an event whose magnitude and timing are random. When a disruption occurs the duration of an activity, which has not yet started, can change. We formulate a two-stage stochastic mixed integer program, in which the … Read more