Grégory Emiel

Incremental-like Bundle Methods with Application to Energy Planning

  • Grégory Emiel
  • Claudia Sagastizábal
    • Categories Nonsmooth Optimization, Production and Logistics, Stochastic Programming Tags , , ,

    An important field of application of non-smooth optimization refers to decomposition of large-scale or complex problems by Lagrangian duality. In this setting, the dual problem consists in maximizing a concave non-smooth function that is defined as the sum of sub-functions. The evaluation of each sub-function requires solving a specific optimization sub-problem, with specific computational complexity. … Read more

    Dynamic Subgradient Methods

  • Grégory Emiel
  • Claudia Sagastizábal
    • Categories Cutting Plane Approaches, Nonsmooth Optimization

    Lagrangian relaxation is commonly used to generate bounds for mixed-integer linear programming problems. However, when the number of dualized constraints is very large (exponential in the dimension of the primal problem), explicit dualization is no longer possible. In order to reduce the dual dimension, different heuristics were proposed. They involve a separation procedure to dynamically … Read more