We propose to use Deep Neural Networks to solve data-driven stochastic optimization problems. Given the historical data of the observed covariate, taken decision, and the realized cost in past periods, we train a neural network to predict the objective value as a function of the decision and the covariate. Once trained, for a given covariate, … Read more
In this work, we consider methods for large-scale and nonconvex unconstrained optimization. We propose a new trust-region method whose subproblem is defined using a so-called “shape-changing” norm together with densely-initialized multipoint symmetric secant (MSS) matrices to approximate the Hessian. Shape-changing norms and dense initializations have been successfully used in the context of traditional quasi Newton … Read more
The problem of inferring Markov random fields (MRFs) with a sparsity or robustness prior can be naturally modeled as a mixed-integer program. This motivates us to study a general class of convex submodular optimization problems with indicator variables, which we show to be polynomially solvable in this paper. The key insight is that, possibly after … Read more
We present a novel machine learning-based approach to solving bilevel programs that involve a large number of independent followers, which as a special case include two-stage stochastic programming. We propose an optimization model that explicitly considers a sampled subset of followers and exploits a machine learning model to estimate the objective values of unsampled followers. … Read more
Under mild assumptions stochastic gradient methods asymptotically achieve an optimal rate of convergence if the arithmetic mean of all iterates is returned as an approximate optimal solution. However, in the absence of stochastic noise, the arithmetic mean of all iterates converges considerably slower to the optimal solution than the iterates themselves. And also in the … Read more
A common strategy for solving an unconstrained two-player Nash equilibrium problem with continuous variables is applying Newton’s method to the system of nonlinear equations obtained by the corresponding first-order necessary optimality conditions. However, when taking into account the game dynamics, it is not clear what is the goal of each player when considering that they … Read more
In this paper, we provide a characterization of the expected value of monotone submodular set functions with $n$ pairwise independent random inputs. Inspired by the notion of “correlation gap”, we study the ratio of the maximum expected value of a function with arbitrary dependence among the random inputs with given marginal probabilities to the maximum … Read more
For many developing countries, COVID-19 vaccination roll-out programs are not only slow but vaccination centers are also exposed to the risk of natural disaster, like flooding, which may slow down vaccination progress even further. Policy-makers in developing countries therefore seek to implement strategies that hedge against distribution risk in order for vaccination campaigns to run … Read more
This paper describes a local-control method for multicommodity flow problem. Both the capacity constraints and the flow conservation constraints are relaxed. If the flow exceeds the capacity on an edge, the edge would have a congestion cost. If the flow into a vertex is not equal to that out of the vertex, the vertex would … Read more
Problem definition: We present our collaboration with the OCP Group, one of the world’s largest producers of phosphate and phosphate-based products, in support of a green initiative designed to reduce OCP’s carbon emissions significantly. We study the problem of decarbonizing OCP’s electricity supply by installing a mixture of solar panels and batteries to minimize its … Read more