Ricardo A. Collado

Resource Allocation for Contingency Planning: An Inexact Bundle Method for Stochastic Optimization

  • Ricardo A. Collado
  • Somayeh Moazeni
    • Categories Nonsmooth Optimization, Production and Logistics, Stochastic Programming Tags , , , ,

    Resource allocation models in contingency planning aim to mitigate unexpected failures in supply chains due to disruptions with rare occurrence but disastrous consequences. This paper formulates this problems as a two-stage stochastic optimization with a risk-averse recourse function, and proposes a novel computationally tractable solution approach. The method relies on an inexact bundle method and … Read more

    Scenario decomposition of risk-averse multistage stochastic programming problems

  • Ricardo A. Collado
  • Dávid Papp
  • Andrzej Ruszczyński
    • Categories Stochastic Programming Tags , , ,

    For a risk-averse multistage stochastic optimization problem with a finite scenario tree, we introduce a new scenario decomposition method and we prove its convergence. The method is applied to a risk-averse inventory and assembly problem. In addition, we develop a partially regularized bundle method for nonsmooth optimization. CitationRUTCOR, Rutgers University, Piscataway, NJ 08854ArticleDownload View PDF

    Extension of the semidefinite characterization of sum of squares functional systems to algebraic structures

  • Farid Alizadeh
  • Ricardo A. Collado
  • Dávid Papp
    • Categories Convex Optimization, Semi-definite Programming Tags , , , , ,

    We extend Nesterov’s semidefinite programming (SDP) characterization of the cone of functions that can be expressed as sums of squares (SOS) of functions in finite dimensional linear functional spaces. Our extension is to algebraic systems that are endowed with a binary operation which map two elements of a finite dimensional vector space to another vector … Read more