Coupled Learning Enabled Stochastic Programming with Endogenous Uncertainty

  • Guangyu Li
  • Junyi Liu
  • Suvrajeet Sen
    • Categories Stochastic Programming Tags ,

    Predictive analytics, empowered by machine learning, is usually followed by decision-making problems in prescriptive analytics. We extend the above sequential prediction-optimization paradigm to a coupled scheme such that the prediction model can guide the decision problem to produce coordinated decisions yielding higher levels of performance. Speci fically, for stochastic programming (SP) models with latently decision-dependent uncertainty, … Read more

    On the Cluster-aware Supervised Learning (CluSL): Frameworks, Convergent Algorithms, and Applications

  • Shutong Chen
  • Weijun Xie
    • Categories Data-Mining Tags , , , , ,

    This paper proposes a cluster-aware supervised learning (CluSL) framework, which integrates the clustering analysis with supervised learning (SL). The objective of CluSL is to simultaneously find the best clusters of the data points and minimize the sum of loss functions within each cluster. This framework has many potential applications in healthcare, operations management, manufacturing, and … Read more

    Fully adaptive proximal extrapolated gradient method for monotone variational inequalities

  • Chang Xiaokai
    • Categories Convex and Nonsmooth Optimization

    The paper presents a fully adaptive proximal extrapolated gradient method for monotone variational inequalities. The proposed method uses fully non-monotonic and adaptive step sizes, that are computed using two previous iterates as an approximation of the locally Lipschitz constant without running a linesearch. Thus, it has almost the same low computational cost as classic proximal … Read more

    Query Batching Optimization in Database Systems

  • Hadi Charkhgard
  • Iman Dayarian
  • Mehrad Eslami
  • Vahid Mahmoodian
  • Yicheng Tu
    • Categories (Mixed) Integer Linear Programming, Approximation Algorithms, Multidisciplinary Design Optimization

    Techniques based on sharing data and computation among queries have been an active research topic in database systems. While work in this area developed algorithms and systems that are shown to be effective, there is a lack of rigorous modeling and theoretical study for query processing and optimization. Query batching in database systems has strong … Read more

    Customized transition towards smart homes: A fast framework for economic analyses

  • Matheus Roberto Campos Chaves
  • Michael David de Souza Dutra
  • William de Paula Ferreira
  • Gerson da Conceição Júnior
    • Categories Applications - OR and Management Sciences, Energy Tags , , ,

    Smart homes allow the optimization of energy usage so that households can reduce electricity bills, or even make profits. By 2020, 20% of all households in Europe and 35% in North America will be expected to become smart homes. Although smart homes seem to be the future for homes, many customers have the perception that … Read more

    Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

  • Daniel Kuhn
  • Viet Anh Nguyen
  • Soroosh Shafieezadeh-Abadeh
  • Wolfram Wiesemann
  • Man-Chung Yue
    • Categories Stochastic Programming Tags , , , ,

    The likelihood function is a fundamental component in Bayesian statistics. However, evaluating the likelihood of an observation is computationally intractable in many applications. In this paper, we propose a non-parametric approximation of the likelihood that identifies a probability measure which lies in the neighborhood of the nominal measure and that maximizes the probability of observing … Read more

    A Strictly Contractive Peaceman-Rachford Splitting Method for the Doubly Nonnegative Relaxation of the Minimum Cut Problem

  • Xinxin Li
  • Ting Kei Pong
  • Hao Sun
  • Henry Wolkowicz
    • Categories (Mixed) Integer Nonlinear Programming, Linear, Cone and Semidefinite Programming, Optimization Software Benchmark Tags , , , , , ,

    The minimum cut problem, MC, and the special case of the vertex separator problem, consists in partitioning the set of nodes of a graph G into k subsets of given sizes in order to minimize the number of edges cut after removing the k-th set. Previous work on this topic uses eigenvalue, semidefinite programming, SDP, … Read more

    Calculating Optimistic Likelihoods Using (Geodesically) Convex Optimization

  • Daniel Kuhn
  • Viet Anh Nguyen
  • Soroosh Shafieezadeh-Abadeh
  • Wolfram Wiesemann
  • Man-Chung Yue
    • Categories Generalized Convexity/Monoticity, Semi-definite Programming, Stochastic Programming Tags , , ,

    A fundamental problem arising in many areas of machine learning is the evaluation of the likelihood of a given observation under different nominal distributions. Frequently, these nominal distributions are themselves estimated from data, which makes them susceptible to estimation errors. We thus propose to replace each nominal distribution with an ambiguity set containing all distributions … Read more

    A note on the nonexistence of oracle-polynomial algorithms for robust combinatorial optimization

  • Christoph Buchheim
    • Categories Combinatorial Optimization, Robust Optimization

    For many classical combinatorial optimization problems such as, e.g., the shortest path problem or the spanning tree problem, the robust counterpart under general discrete, polytopal, or ellipsoidal uncertainty is known to be intractable. This implies that any algorithm solving the robust counterpart that can access the underlying certain problem only by an optimization oracle has … Read more

    A bi-level branch-and-bound algorithm for the capacitated competitive facility location problem

  • Hadi Charkhgard
  • Vahid Mahmoodian
  • Yu Zhang
    • Categories Branch and Cut Algorithms, Supply Chain Management Tags , , ,

    Competitive facility location problem is a typical facility locating optimization problem but in a competitive environment. The main characteristic of this problem is the competitive nature of the market. In essence, the problem involves two competitors, i.e., a leader and a follower, who seek to attract customers by establishing new facilities to maximize their own … Read more