Lea Kapelevich

Towards practical generic conic optimization

  • Chris Coey
  • Juan Pablo Vielma
  • Lea Kapelevich
    • Categories Convex Optimization, Linear, Cone and Semidefinite Programming, Optimization Software and Modeling Systems Tags , , ,

    Many convex optimization problems can be represented through conic extended formulations with auxiliary variables and constraints using only the small number of standard cones recognized by advanced conic solvers such as MOSEK 9. Such extended formulations are often significantly larger and more complex than equivalent conic natural formulations, which can use a much broader class … Read more

    SDDP.jl: a Julia package for Stochastic Dual Dynamic Programming

  • Oscar Dowson
  • Lea Kapelevich
    • Categories Optimization Software and Modeling Systems, Stochastic Programming

    In this paper we present SDDP.jl, an open-source library for solving multistage stochastic optimization problems using the Stochastic Dual Dynamic Programming algorithm. SDDP.jl is built upon JuMP, an algebraic modelling language in Julia. This enables a high-level interface for the user, while simultaneously providing performance that is similar to implementations in low-level languages. We benchmark … Read more