In this article, we study weak stationarity conditions (A- and C-) for a particular class of degenerate stochastic mathematical programming problems with complementarity constraints (SMPCC, for short). Importance of the weak stationarity concepts in absence of SMPCC-LICQ are presented through toy problems in which the point of local or global minimum are weak stationary points … Read more
In this paper, we consider a decision-maker who wants to determine a subset of locations from a given set of candidate sites to open facilities and accordingly assign customer demand to these open facilities. Unlike classical facility location settings, we focus on a new setting where customer demand is bimodal, i.e., display, or belong to, … Read more
Wasserstein distributionally robust optimization (DRO) aims to find robust and generalizable solutions by hedging against data perturbations in Wasserstein distance. Despite its recent empirical success in operations research and machine learning, existing performance guarantees for generic loss functions are either overly conservative due to the curse of dimensionality, or plausible only in large sample asymptotics. … Read more
In this paper, a new randomized solver (called VRDFON) for noisy unconstrained derivative-free optimization (DFO) problems is discussed. Complexity result in the presence of noise for nonconvex functions is studied. Two effective ingredients of VRDFON are an improved derivative-free line search algorithm with many heuristic enhancements and quadratic models in adaptively determined subspaces. Numerical results … Read more
In this paper, we study smooth stochastic multi-level composition optimization problems, where the objective function is a nested composition of $T$ functions. We assume access to noisy evaluations of the functions and their gradients, through a stochastic first-order oracle. For solving this class of problems, we propose two algorithms using moving-average stochastic estimates, and analyze … Read more
Multistage stochastic programming provides a modeling framework for sequential decision-making problems that involve uncertainty. One typically overlooked aspect of this methodology is how uncertainty is incorporated into modeling. Traditionally, statistical forecasting techniques with simple forms, e.g., (first-order) autoregressive time-series models, are used to extract scenarios to be added to optimization models to represent the uncertain … Read more
Over the last two decades, coherent risk measures have been well studied as a principled, axiomatic way to measure the risk of a random variable. Because of this axiomatic approach, coherent risk measures have a number of attractive features for computation, and they have been integrated into a variety of stochastic programming algorithms, including stochastic … Read more
Many key problems in machine learning and data science are routinely modeled as optimization problems and solved via optimization algorithms. With the increase of the volume of data and the size and complexity of the statistical models used to formulate these often ill-conditioned optimization tasks, there is a need for new efficient algorithms able to … Read more
To meet evacuation needs from carless populations who may require personalized assistance to evacuate safely, we propose a ridesharing-based evacuation program that recruits volunteer drivers before a disaster strikes, and then matches volunteers with evacuees who need assistance once demand is realized. We optimize resource planning and evacuation operations under uncertain spatiotemporal demand, and construct … Read more
SGD with momentum (SGDM) has been widely applied in many machine learning tasks, and it is often applied with dynamic stepsizes and momentum weights tuned in a stagewise manner. Despite of its empirical advantage over SGD, the role of momentum is still unclear in general since previous analyses on SGDM either provide worse convergence bounds … Read more