In this paper we present SDDP.jl, an open-source library for solving multistage stochastic optimization problems using the Stochastic Dual Dynamic Programming algorithm. SDDP.jl is built upon JuMP, an algebraic modelling language in Julia. This enables a high-level interface for the user, while simultaneously providing performance that is similar to implementations in low-level languages. We benchmark … Read more
The residential load scheduling problem is concerned with finding an optimal schedule for the operation of residential loads so as to minimize the total cost of energy while aiming to respect a prescribed limit on the power level of the residence. We propose a mixed integer linear programming formulation of this problem that accounts for … Read more
Demand-response aggregators are faced with the challenge of how to best manage numerous and heterogeneous Distributed Energy Resources (DERs). This paper proposes a decentralized methodology for optimal coordination of DERs. The proposed approach is based on Dantzig-Wolfe decomposition and column generation, thus allowing to integrate any type of resource whose operation can be formulated within … Read more
Although Robust Optimization is a powerful technique in dealing with uncertainty in optimization, its solutions can be too conservative when it leads to an objective value much worse than the nominal solution or even to infeasibility of the robust problem. In practice, this can lead to robust solutions being disregarded in favor of the nominal … Read more
We develop a mixed-integer optimal control model with partial differential equation (PDE) constraints for gas transport networks, designed for controlling extreme state transitions, such as flow reversals. Our model shows how to combine binary compressor controls with PDE flow models. We model the flow of gas using a variant of the Euler equations, which we … Read more
In this paper we introduce a new class of bounds for the maximum -cut problem on undirected edge-weighted simple graphs. The bounds involve eigenvalues of the weighted adjacency matrix together with geometrical parameters. They generalize previous results on the maximum (2-)cut problem and we demonstrate that they can strictly improve over other eigenvalue bounds from … Read more
We consider a continuous time Principal-Agent model on a finite time horizon, where we look for the existence of an optimal contract both parties agreed on. Contrary to the main stream, where the principal is modelled as risk-neutral, we assume that both the principal and the agent have exponential utility, and are risk averse with … Read more
Discretization methods are commonly used for solving standard semi-infinite optimization (SIP) problems. The transfer of these methods to the case of general semi-infinite optimization (GSIP) problems is difficult due to the $x$-dependence of the infinite index set. On the other hand, under suitable conditions, a GSIP problem can be transformed into a SIP problem. In … Read more
The analysis of infeasibility plays an important role in solving satisfiability problems (SAT) and mixed integer programs (MIPs). In mixed integer programming, this procedure is called conflict analysis. So far, modern MIP solvers use conflict analysis only for propagation and improving the dual bound, i.e., fathoming nodes that cannot contain feasible solutions. In this short … Read more
The dual form of convex quadratic semidefinite programming (CQSDP) problem, with nonnegative constraints, is a 4-block separable convex optimization problem. It is known that,the directly extended 4-block alternating direction method of multipliers (ADMM4d) is very efficient to solve the dual, but its convergence is not guaranteed. In this paper, we reformulate the dual as a … Read more