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
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
Logistic regression models are widely used in the social and behavioral sciences and in high-stakes domains, due to their simplicity and interpretability properties. At the same time, such domains are permeated by distribution shifts, where the distribution generating the data changes between training and deployment. In this paper, we study a distributionally robust logistic regression … Read more
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
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
In the last few decades, Machine Learning (ML) has achieved significant success across domains ranging from healthcare, sustainability, and the social sciences, to criminal justice and finance. But its deployment in increasingly sophisticated, critical, and sensitive areas affecting individuals, the groups they belong to, and society as a whole raises critical concerns around fairness, transparency … Read more
Security-constrained unit commitment with alternating current optimal power flow (SCUC-ACOPF) is a central problem in power grid operations that optimizes commitment and dispatch of generators under a physically accurate power transmission model while encouraging robustness against component failures. SCUC-ACOPF requires solving large-scale problems that involve multiple time periods and networks with thousands of buses within … Read more
Optimization problems with norm-bounding constraints appear in various applications, from portfolio optimization to machine learning, feature selection, and beyond. A widely used variant of these problems relaxes the norm-bounding constraint through Lagrangian relaxation and moves it to the objective function as a form of penalty or regularization term. A challenging class of these models uses … Read more
Multiobjective binary quadratic programming refers to optimization problems involving multiple quadratic – potentially non-convex – objective functions and a feasible set that includes binary constraints on the variables. In this paper, we extend the well-established Quadratic Convex Reformulation technique, originally developed for single-objective binary quadratic programs, to the multiobjective setting. We propose a branch-and-bound algorithm … Read more
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