Design of Poisoning Attacks on Linear Regression Using Bilevel Optimization

Poisoning attack is one of the attack types commonly studied in the field of adversarial machine learning. The adversary generating poison attacks is assumed to have access to the training process of a machine learning algorithm and aims to prevent the algorithm from functioning properly by injecting manipulative data while the algorithm is being trained. … Read more

Multi-market Portfolio Optimization with Conditional Value at Risk

In this paper we propose an optimization framework for multi-markets portfolio management, where a central headquarter relies upon local affiliates for the market-wise selection of investment options. Being averse to risk, the headquarter endogenously selects the maximum expected loss (conditional value at risk) for the affiliates, who respond designing portfolios and selecting management fees. In … Read more

Optimal time-and-level-of-use price setting for an energy retailer

This paper presents a novel price setting optimization problem for an energy retailer in the smart grid. In this framework the retailer buys energy from multiple generators via bilateral contracts, and sells it to a population of smart homes using Time-and-Level-of-Use prices (TLOU). TLOU is an energy price structure recently introduced in the literature, where … Read more

Near-optimal Robust Bilevel Optimization

Bilevel optimization studies problems where the optimal response to a second mathematical optimization problem is integrated in the constraints. Such structure arises in a variety of decision-making problems in areas such as market equilibria, policy design or product pricing. We introduce near-optimal robustness for bilevel problems, protecting the upper-level decision-maker from bounded rationality at the … Read more

Load Scheduling for Residential Demand Response on Smart Grids

The residential load scheduling problem is concerned with finding an optimal schedule for the operation of residential loads so as to minimize the total cost of energy while aiming to respect a prescribed limit on the power level of the residence. We propose a mixed integer linear programming formulation of this problem that accounts for … Read more