Dual bounds for periodical stochastic programs

In this paper we discuss construction of the dual of a periodical formulation of infinite horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound especially when the … Read more

An Alternative Perspective on Copositive and Convex Relaxations of Nonconvex Quadratic Programs

We study convex relaxations of nonconvex quadratic programs. We identify a family of so-called feasibility preserving convex relaxations, which includes the well-known copositive and doubly nonnegative relaxations, with the property that the convex relaxation is feasible if and only if the nonconvex quadratic program is feasible. We observe that each convex relaxation in this family … Read more

A multicommodity flow model for rerouting and retiming trains in real-time to reduce reactionary delay in complex station areas

By rerouting and retiming trains in real-time, the propagation of reactionary delay in complex station areas can be reduced. In this study, we propose a new optimisation model and solution algorithm that can be used to determine the best combination of route and schedule changes to make. Whilst several models have been proposed to tackle … Read more

Solving Previously Unsolved MIP Instances with ParaSCIP on Supercomputers by using up to 80,000 Cores

Mixed-integer programming (MIP) problem is arguably among the hardest classes of optimization problems. This paper describes how we solved 21 previously unsolved MIP instances from the MIPLIB benchmark sets. To achieve these results we used an enhanced version of ParaSCIP, setting a new record for the largest scale MIP computation: up to 80,000 cores in … Read more

Adversarial Classification via Distributional Robustness with Wasserstein Ambiguity

We study a model for adversarial classification based on distributionally robust chance constraints. We show that under Wasserstein ambiguity, the model aims to minimize the conditional value-at-risk of the distance to misclassification, and we explore links to adversarial classification models proposed earlier and to maximum-margin classifiers. We also provide a reformulation of the distributionally robust … Read more

Constant Depth Decision Rules for multistage optimization under uncertainty

In this paper, we introduce a new class of decision rules, referred to as Constant Depth Decision Rules (CDDRs), for multistage optimization under linear constraints with uncertainty-affected right-hand sides. We consider two uncertainty classes: discrete uncertainties which can take at each stage at most a fixed number d of different values, and polytopic uncertainties which, … Read more

A Personalized Switched Systems Approach for the Optimal Control of Ventricular Assist Devices based on Atrioventricular Plane Displacement

Objective: A promising treatment for congestive heart failure is the implementation of a left ventricular assist device (LVAD) that works as a mechanical pump. Modern LVADs work with adjustable constant rotor speed and provide therefore continuous blood flow; however, recently undertaken efforts try to mimic pulsatile blood flow by oscillating the pump speed. This work … Read more

A rolling-horizon approach for multi-period optimization

Mathematical optimization problems including a time dimension abound. For example, logistics, process optimization and production planning tasks must often be optimized for a range of time periods. Usually, these problems incorporating time structure are very large and cannot be solved to global optimality by modern solvers within a reasonable period of time. Therefore, the so-called … Read more

Computationally Efficient Approximations for Distributionally Robust Optimization

Distributionally robust optimization (DRO) is a modeling framework in decision making under uncertainty where the probability distribution of a random parameter is unknown while its partial information (e.g., statistical properties) is available. In this framework, the unknown probability distribution is assumed to lie in an ambiguity set consisting of all distributions that are compatible with … Read more

Γ-counterparts for robust nonlinear combinatorial and discrete optimization

Γ-uncertainty sets have been introduced for adjusting the degree of conservatism of robust counterparts of (discrete) linear programs. The contribution of this paper is a generalization of this approach to (mixed–integer) nonlinear optimization programs. We focus on the cases in which the uncertainty is linear or concave but also derive formulations for the general case. … Read more