Communication-Efficient Distributed Optimization of Self-Concordant Empirical Loss

  • Lin Xiao
  • Yuchen Zhang
    • Categories Convex Optimization, Statistics Tags , , , ,

    We consider distributed convex optimization problems originated from sample average approximation of stochastic optimization, or empirical risk minimization in machine learning. We assume that each machine in the distributed computing system has access to a local empirical loss function, constructed with i.i.d. data sampled from a common distribution. We propose a communication-efficient distributed algorithm to … Read more

    The Continuous Time Service Network Design Problem

  • Natashia Boland
  • Mike Hewitt
  • Luke Marshall
  • Martin Savelsbergh
    • Categories (Mixed) Integer Linear Programming, Transportation Tags , ,

    Consolidation carriers transport shipments that are small relative to trailer capacity. To be cost-effective, the carrier must consolidate shipments, which requires coordinating their paths in both space and time, i.e., the carrier must solve a Service Network Design problem. Most service network design models rely on discretization of time, i.e., instead of determining the exact … Read more

    Information Gap Decision Theory Based OPF With HVDC Connected Wind Farms

  • Andrew Keane
  • Alireza Soroudi
  • Abbas Rabiee
    • Categories Applications - OR and Management Sciences, Other Topics Tags ,

    A method for solving the optimal power flow (OPF) problem including HVDC connected offshore wind farms is presented in this paper. Different factors have been considered in the proposed method, namely, voltage source converter (VSC-HVDC) and line-commutated converter high-voltage DC (LCC-HVDC) link constraints, doubly fed induction generators’ (DFIGs) capability curve as well as the uncertainties … Read more

    A remark on accelerated block coordinate descent for computing the proximity operators of a sum of convex functions

  • Antonin Chambolle
  • Thomas Pock
    • Categories Convex and Nonsmooth Optimization Tags , ,

    We analyze alternating descent algorithms for minimizing the sum of a quadratic function and block separable non-smooth functions. In case the quadratic interactions between the blocks are pairwise, we show that the schemes can be accelerated, leading to improved convergence rates with respect to related accelerated parallel proximal descent. As an application we obtain very … Read more

    Stochastic Real-Time Scheduling of Wind-thermal Generation Units in an Electric Utility

  • Andrew Keane
  • Alireza Soroudi
  • Abbas Rabiee
    • Categories Applications - OR and Management Sciences, Applications - Science and Engineering, Stochastic Programming Tags , ,

    The objective of dynamic economic dispatch (DED) problem is to find the optimal dispatch of generation units in a given operation horizon to supply a pre-specified demand, while satisfying a set of constraints. In this paper, an efficient method based on Optimality Condition Decomposition (OCD) technique is proposed to solve the DED problem in real-time … Read more

    Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning

  • Shabbir Ahmed
  • Xu Andy Sun
  • Jikai Zou
    • Categories Stochastic Programming Tags , ,

    Electric Power Generation Expansion Planning (GEP) is the problem of determining an optimal construction and generation plan of both new and existing electric power plants to meet future electricity demand. We consider a stochastic optimization approach for this capacity expansion problem under demand and fuel price uncertainty. In a two-stage stochastic optimization model for GEP, … Read more

    Real Options: A Survey

  • Elcin Cetinkaya
  • Aurelie Thiele
    • Categories Applications - OR and Management Sciences Tags

    This survey paper provides an overview of real options, in particular the connection with financial options, valuation methods (analytical methods vs numerical methods based on simulation, lattice approximations to stochastic processes and finite-difference methods) and a wide array of application areas, from R&D to operations management to renewable energy project selection. CitationTechnical report, Lehigh University, … Read more

    A Counterexample to “Threshold Boolean form for joint probabilistic constraints with random technology matrix”

  • James R. Luedtke
    • Categories Stochastic Programming Tags , ,

    Recently, in the paper “Threshold Boolean form for joint probabilistic constraints with random technology matrix” (Math. Program. 147:391–427, 2014), Kogan and Lejeune proposed a set of mixed-integer programming formulations for probabilistically constrained stochastic programs having random constraint matrix and finite support distribution. We show that the proposed formulations do not in general correctly model such … Read more

    Solving ill-posed bilevel programs

  • Alain Zemkoho
    • Categories Convex and Nonsmooth Optimization, Nonsmooth Optimization Tags , , , , ,

    This paper deals with ill-posed bilevel programs, i.e., problems admitting multiple lower-level solutions for some upper-level parameters. Many publications have been devoted to the standard optimistic case of this problem, where the difficulty is essentially moved from the objective function to the feasible set. This new problem is simpler but there is no guaranty to … Read more

    Maximizing a class of submodular utility functions with constraints

  • Shabbir Ahmed
  • Jiajin Yu
    • Categories 0-1 Programming, Cutting Plane Approaches, Stochastic Programming Tags , , , ,

    Motivated by stochastic 0-1 integer programming problems with an expected utility objective, we study the mixed-integer nonlinear set: $P = \cset{(w,x)\in \reals \times \set{0,1}^N}{w \leq f(a’x + d), b’x \leq B}$ where $N$ is a positive integer, $f:\reals \mapsto \reals$ is a concave function, $a, b \in \reals^N$ are nonnegative vectors, $d$ is a real … Read more