Best-Response Dynamics for Large-Scale Integer Programming Games with Applications to Aquatic Invasive Species Prevention

This paper presents a scalable algorithm for computing the best pure Nash equilibrium (PNE) in large-scale integer programming games (IPGs). While recent advances in IPG algorithms are extensive, existing methods are limited to a small number of players, typically đť‘› = 2, 3. Motivated by a county-level aquatic invasive species (AIS) prevention problem involving 84 … Read more

A Dantzig-Wolfe Single-Level Reformulation for Mixed-Integer Linear Bilevel Optimization: Exact and Heuristic Approaches

Bilevel optimization problems arise in numerous real-world applications. While single-level reformulations are a common strategy for solving convex bilevel problems, such approaches usually fail when the follower’s problem includes integer variables. In this paper, we present the first single-level reformulation for mixed-integer linear bilevel optimization, which does not rely on the follower’s value function. Our … Read more

Branch-and-Cut for Mixed-Integer Generalized Nash Equilibrium Problems

Generalized Nash equilibrium problems with mixed-integer variables form an important class of games in which each player solves a mixed-integer optimization problem with respect to her own variables and the strategy space of each player depends on the strategies chosen by the rival players. In this work, we introduce a branch-and-cut algorithm to compute exact … Read more

On Multidimensonal Disjunctive Inequalities for Chance-Constrained Stochastic Problems with Finite Support

We consider mixed-integer linear chance-constrained problems for which the random vector that parameterizes the feasible region has finite support. Our key objective is to improve branch-and-bound or -cut approaches by introducing new types of valid inequalities that improve the dual bounds and, by this, the overall performance of such methods. We introduce so-called primal-dual as … Read more

Inverse Optimization via Learning Feasible Regions

We study inverse optimization (IO), where the goal is to use a parametric optimization program as the hypothesis class to infer relationships between input-decision pairs. Most of the literature focuses on learning only the objective function, as learning the constraint function (i.e., feasible regions) leads to nonconvex training programs. Motivated by this, we focus on … Read more

A surplus-maximizing two-sided multi-period non-convex ISO auction market

Since the inception of ISOs, Locational Marginal Prices (LMPs) alone were not market clearing or incentive compatible because an auction winner who offered its avoidable costs could lose money at the LMPs. ISOs used make-whole payments to ensure that market participants did not lose money. Make-whole payments were not public, creating transparency issues. Over time, … Read more

Optimization over Trained (and Sparse) Neural Networks: A Surrogate within a Surrogate

We can approximate a constraint or an objective function that is uncertain or nonlinear with a neural network that we embed in the optimization model. This approach, which is known as constraint learning, faces the challenge that optimization models with neural network surrogates are harder to solve. Such difficulties have motivated studies on model reformulation, … Read more

Data-driven robust menu planning for food services: Reducing food waste by using leftovers

With food waste levels of about 30%, mostly caused by overproduction, reducing food waste poses an important challenge in the food service sector. As food is prepared in advance rather than on demand, there is a significant risk that meals or meal components remain uneaten. Flexible meal planning can promote the reuse of these leftovers … Read more

Global Optimization of Gas Transportation and Storage: Convex Hull Characterizations and Relaxations

Gas transportation and storage has become one of the most relevant and important optimization problems in energy systems. This problem inherently includes highly nonlinear and nonconvex aspects due to gas physics, and discrete aspects due to the control decisions of active network elements. Obtaining even locally optimal solutions for this problem presents significant mathematical and … Read more

An interactive optimization framework for incorporating a broader range of human feedback into stochastic multi-objective mixed integer linear programs

Interactive optimization leverages the strengths of optimization frameworks alongside the expertise of human users. Prior research in this area tends to either ask human users for the same type of information, or when varying information is requested, users must manually modify the optimization model directly. These limitations restrict the incorporation of wider human knowledge into … Read more