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Round robin tournaments are omnipresent in sport competitions and beyond. We propose two new integer programming formulations for scheduling a round robin tournament, one of which we call the matching formulation. We analytically compare their linear relaxations with the linear relaxation of a well-known traditional formulation. We find that the matching formulation is stronger than the other formulations, while its LP relaxation is still being solvable in polynomial time. In addition, we provide an exponentially sized class of valid inequalities for the matching formulation. Complementing our theoretical assessment of the strength of the different formulations, we also experimentally show that the matching formulation is superior on a broad set of instances. Finally, we describe a branch-and-price algorithm for finding round robin tournaments that is based on the matching formulation.

This paper considers the problem of finding near-optimal Markovian randomized (MR) policies for finite-state-action, infinite-horizon, constrained risk-sensitive Markov decision processes (CRSMDPs). Constraints are in the form of standard expected discounted cost functions as well as expected risk-sensitive discounted cost functions over finite and infinite horizons. The main contribution is to show that the problem possesses a solution if it is feasible, and to provide two methods for finding an approximate solution in the form of an ultimately stationary (US) MR policy. The latter is achieved through two approximating finite-horizon CRSMDPs which are constructed from the original CRSMDP by time-truncating the original objective and constraint cost functions, and suitably perturbing the constraint upper bounds. The first approximation gives a US policy which is $\epsilon$-optimal and feasible for the original problem, while the second approximation gives a near-optimal US policy whose violation of the original constraints is bounded above by a specified $\epsilon$. A key step in the proofs is an appropriate choice of a metric that makes the set of infinite-horizon MR policies and the feasible regions of the three CRSMDPs compact, and the objective and constraint functions continuous. A linear-programming-based formulation for solving the approximating finite-horizon CRSMDPs is also given., Comment: 38 pages

Human trafficking, the commercial exploitation of individuals, is a gross violation of human rights and harms societies, economies, health and development. The related disciplines of Operations Management (OM), Analytics, and Operations Research (OR) are uniquely positioned to support trafficking prevention and intervention efforts by efficiently evaluating a plethora of decision alternatives, and providing quantitative, actionable insights. As operations and analytical efforts in the counter-trafficking field emerge, it is imperative to grasp subtle yet distinctive nuances associated with human trafficking. This note is intended to inform those practitioners working in the field by highlighting key features of human trafficking activity. We grouped nine themes around three broad categories: (1) representation of human trafficking, (2) consideration of survivors and communities, and (3) analytics related. These insights are derived from our collective experience in working in this area and substantiated by domain expertise.

This paper investigates multidimensional extended type-I BSVIEs and infinite families of BSDEs in the case of quadratic generators. We establish existence and uniqueness results in the case of fully quadratic as well as Lipschitz-quadratic quadratic generators. We also present and discuss a type of flow property satisfied by this family of BSVIEs. As a preliminary step, we establish the well-posedness of a class of infinite families of BSDEs, as introduced in Hern{\aa}ndez and Possama\"i [20], which are of interest in their own right. Our approach relies on the strategy developed by Tevsadze [49] for quadratic BSDEs and the treatment of Lipschitz extended type-I BSVIEs in [20]. We motivate their analysis of both of these objects by a series of practical applications.

We consider a nonlinear differential equation under the combined influence of small state-dependent Brownian perturbations of size $\varepsilon$, and fast periodic sampling with period $\delta$; $0, Comment: 37 pages, 4 figures

A stagewise decomposition algorithm called value function gradient learning (VFGL) is proposed for large-scale multistage stochastic convex programs. VFGL finds the parameter values that best fit the gradient of the value function within a given parametric family. Widely used decomposition algorithms for multistage stochastic programming, such as stochastic dual dynamic programming (SDDP), approximate the value function by adding linear subgradient cuts at each iteration. Although this approach has been successful for linear problems, nonlinear problems may suffer from the increasing size of each subproblem as the iteration proceeds. On the other hand, VFGL has a fixed number of parameters; thus, the size of the subproblems remains constant throughout the iteration. Furthermore, VFGL can learn the parameters by means of stochastic gradient descent, which means that it can be easily parallelized and does not require a scenario tree approximation of the underlying uncertainties. VFGL was compared with a deterministic equivalent formulation of the multistage stochastic programming problem and SDDP approaches for three illustrative examples: production planning, hydrothermal generation, and the lifetime financial planning problem. Numerical examples show that VFGL generates high-quality solutions and is computationally efficient.

We introduce an extension to local principal component analysis for learning symmetric manifolds. In particular, we use a spectral method to approximate the Lie algebra corresponding to the symmetry group of the underlying manifold. We derive the sample complexity of our method for a variety of manifolds before applying it to various data sets for improved density estimation.

We consider a new class of max flow network interdiction problems, where the defender is able to introduce new arcs to the network after the attacker has made their interdiction decisions. We prove properties of when this restructuring will not increase the value of the minimum cut, which has important practical interpretations for problems of disrupting drug trafficking networks. In particular, it demonstrates that disrupting lower levels of these networks will not impact their operations when replacing the disrupted participants is easy. For the bilevel mixed integer linear programming formulation of this problem, we devise a column-and-constraint generation (C&CG) algorithm to solve it. Our approach uses partial information on the feasibility of restructuring plans and is shown to be orders of magnitude faster than previous C&CG methods. We demonstrate that applying decisions from standard max flow network interdiction problems can result in significantly higher flows than interdictions that account for the restructuring.

Mixed-integer optimisation problems can be computationally challenging. Here, we introduce and analyse two efficient algorithms with a specific sequential design that are aimed at dealing with sampled problems within this class. At each iteration step of both algorithms, we first test the feasibility of a given test solution for each and every constraint associated with the sampled optimisation at hand, while also identifying those constraints that are violated. Subsequently, an optimisation problem is constructed with a constraint set consisting of the current basis -- namely, the smallest set of constraints that fully specifies the current test solution -- as well as constraints related to a limited number of the identified violating samples. We show that both algorithms exhibit finite-time convergence towards the optimal solution. Algorithm 2 features a neural network classifier that notably improves the computational performance compared to Algorithm 1. We quantitatively establish these algorithms' efficacy through three numerical tests: robust optimal power flow, robust unit commitment, and robust random mixed-integer linear program.

We investigate the dual of a Multistage Stochastic Linear Program (MSLP) to study two questions for this class of problems. The first of these questions is the study of the optimal value of the problem as a function of the involved parameters. For this sensitivity analysis problem, we provide formulas for the derivatives of the value function with respect to the parameters and illustrate their application on an inventory problem. Since these formulas involve optimal dual solutions, we need an algorithm that computes such solutions to use them. In this context, the second question we address is the study of solution methods for the dual problem. Writing Dynamic Programming (DP) equations for the dual, we can use an SDDP type method, called Dual SDDP, which solves these DP equations. However, applying this method will only be possible if the Relatively Complete Recourse (RCR) holds for the dual. Since the RCR assumption may fail to hold, we design two variants of Dual SDDP, namely Dual SDDP with penalizations and Dual SDDP with feasibility cuts. The study of this second question allows us to take a fresh look at the notoriously difficult to solve class of MSLP with interstage dependent cost coefficients. Indeed, for this class of problems, cost-to-go functions are non-convex and solution methods were so far using SDDP for a Markov chain approximation of the cost coefficients process. For these problems, we propose to apply Dual SDDP with penalizations to the cost-to-go functions of the dual which are concave. This algorithm converges to the optimal value of the problem. Finally, as a proof of concept of the tools developed, we present the results of numerical experiments computing the sensitivity of the optimal value of an inventory problem as a function of parameters of the demand process and compare Primal and Dual SDDP on the inventory and a hydro-thermal planning problems.

We propose a trust-region type method for a class of nonsmooth nonconvex optimization problems where the objective function is a summation of a (probably nonconvex) smooth function and a (probably nonsmooth) convex function. The model function of our trust-region subproblem is always quadratic and the linear term of the model is generated using abstract descent directions. Therefore, the trust-region subproblems can be easily constructed as well as efficiently solved by cheap and standard methods. When the accuracy of the model function at the solution of the subproblem is not sufficient, we add a safeguard on the stepsizes for improving the accuracy. For a class of functions that can be "truncated", an additional truncation step is defined and a stepsize modification strategy is designed. The overall scheme converges globally and we establish fast local convergence under suitable assumptions. In particular, using a connection with a smooth Riemannian trust-region method, we prove local quadratic convergence for partly smooth functions under a strict complementary condition. Preliminary numerical results on a family of $\ell_1$-optimization problems are reported and demonstrate the efficiency of our approach.

The intrinsic energy minimization in dynamical systems offers a valuable tool for minimizing the objective functions of computationally challenging problems in combinatorial optimization. However, most prior works have focused on mapping such dynamics to combinatorial optimization problems whose objective functions have quadratic degree (e.g., MaxCut); such problems can be represented and analyzed using graphs. However, the work on developing such models for problems that need objective functions with degree greater than two, and subsequently, entail the use of hypergraph data structures, is relatively sparse. In this work, we develop dynamical system-inspired computational models for several such problems. Specifically, we define the 'energy function' for hypergraph-based combinatorial problems ranging from Boolean SAT and its variants to integer factorization, and subsequently, define the resulting system dynamics. We also show that the design approach is applicable to optimization problems with quadratic degree, and use it develop a new dynamical system formulation for minimizing the Ising Hamiltonian. Our work not only expands on the scope of problems that can be directly mapped to, and solved using physics-inspired models, but also creates new opportunities to design high-performance accelerators for solving combinatorial optimization.

Nesterov's accelerated forward-backward algorithm (AFBA) is an efficient algorithm for solving a class of two-term convex optimization models consisting of a differentiable function with a Lipschitz continuous gradient plus a nondifferentiable function with a closed form of its proximity operator. It has been shown that the iterative sequence generated by AFBA with a modified Nesterov's momentum scheme converges to a minimizer of the objective function with an $o\left(\frac{1}{k^2}\right)$ convergence rate in terms of the function value (FV-convergence rate) and an $o\left(\frac{1}{k}\right)$ convergence rate in terms of the distance between consecutive iterates (DCI-convergence rate). In this paper, we propose a more general momentum scheme with an introduced power parameter $\omega\in(0,1]$ and show that AFBA with the proposed momentum scheme converges to a minimizer of the objective function with an $o\left(\frac{1}{k^{2\omega}}\right)$ FV-convergence rate and an $o\left(\frac{1}{k^{\omega}}\right)$ DCI-convergence rate. The generality of the proposed momentum scheme provides us a variety of parameter selections for different scenarios, which makes the resulting algorithm more flexible to achieve better performance. We then employ AFBA with the proposed momentum scheme to solve the smoothed hinge loss $\ell_1$-support vector machine model. Numerical results demonstrate that the proposed generalized momentum scheme outperforms two existing momentum schemes., Comment: 20 pages, 3 figures

The massive increase of data traffic, the widespread proliferation of wireless applications and the full-scale deployment of 5G and the IoT, imply a steep increase in cellular networks energy use, resulting in a significant carbon footprint. This paper presents a comprehensive model to show the interaction between the networking and energy features of the problem and study the economical and technical viability of green networking. Solar equipment, cell zooming, energy management and dynamic user allocation are considered in the upgrading network planning process. We propose a mixed-integer optimization model to minimize long-term capital costs and operational energy expenditures in a heterogeneous on-grid cellular network with different types of base station, including solar. Based on eight scenarios where realistic costs of solar panels, batteries, and inverters were considered, we first found that solar base stations are currently not economically interesting for cellular operators. We next studied the impact of a significant and progressive carbon tax on reducing greenhouse gas emissions (GHG). We found that, at current energy and equipment prices, a carbon tax ten-fold the current value is the only element that could make green base stations economically viable., Comment: 25 pages, 12 figures, 51 references, journal paper to ieee transaciton green communications and networks

In this paper, a novel control strategy namely disturbance observer-based control is first applied to stabilization and disturbance rejection for an anti-stable stochastic heat equation with Neumann boundary actuation and unknown boundary external disturbance generated by an exogenous system. A disturbance observer-based boundary control is designed based on the backstepping approach and estimation/cancellation strategy, where the unknown disturbance is estimated in real time by a disturbance observer and rejected in the closed-loop, while the in-domain multiplicative noise whose intensity is within a known finite interval is attenuated. It is shown that the resulting closed-loop system is exponentially stable in the sense of both mean square and almost surely. A numerical example is demonstrated to validate the effectiveness of the proposed control approach.

We consider distributed optimization methods for problems where forming the Hessian is computationally challenging and communication is a significant bottleneck. We leverage randomized sketches for reducing the problem dimensions as well as preserving privacy and improving straggler resilience in asynchronous distributed systems. We derive novel approximation guarantees for classical sketching methods and establish tight concentration results that serve as both upper and lower bounds on the error. We then extend our analysis to the accuracy of parameter averaging for distributed sketches. Furthermore, we develop unbiased parameter averaging methods for randomized second order optimization for regularized problems that employ sketching of the Hessian. Existing works do not take the bias of the estimators into consideration, which limits their application to massively parallel computation. We provide closed-form formulas for regularization parameters and step sizes that provably minimize the bias for sketched Newton directions. Additionally, we demonstrate the implications of our theoretical findings via large scale experiments on a serverless cloud computing platform., arXiv admin note: text overlap with arXiv:2002.06540

We illustrate the potential of PDE-based traffic flow control in cardiovascular flow analysis, monitoring, and control, presenting a PDE-based control-oriented formulation, for 1-D blood flow dynamics in the presence of stenosis. This is achieved adopting an approach for modeling and analysis that relies on the potential correspondence of 1-D blood flow dynamics in the presence of stenosis, with 1-D traffic flow dynamics in the presence of bottleneck. We reveal such correspondence in relation to the respective (for the two flow types), speed dynamics and a (consistent with them) fundamental diagram-based reduction; bottleneck dynamic effects description and resulting boundary conditions; and free-flow/congested regimes characterization., Comment: Submitted to IEEE Transactions on Automatic Control on October 22, 2021

Linear models with additive unknown-but-bounded input disturbances are extensively used to model uncertainty in robust control systems design. Typically, the disturbance set is either assumed to be known a priori or estimated from data through set-membership identification. However, the problem of computing a suitable input disturbance set in case the set of possible output values is assigned a priori has received relatively little attention. This problem arises in many contexts, such as in supervisory control, actuator design, decentralized control, and others. In this paper, we propose a method to compute input disturbance sets (and the corresponding set of states) such that the resulting set of outputs matches as closely as possible a given set of outputs, while additionally satisfying strict (inner or outer) inclusion constraints. We formulate the problem as an optimization problem by relying on the concept of robust invariance. The effectiveness of the approach is demonstrated in numerical examples that illustrate how to solve safe reference set and input-constraint set computation problems.

In this paper, we address the efficient implementation of moving horizon state estimation of constrained discrete-time linear systems. We propose a novel iteration scheme which employs a proximity-based formulation of the underlying optimization algorithm and reduces computational effort by performing only a limited number of optimization iterations each time a new measurement is received. We outline conditions under which global exponential stability of the underlying estimation errors is ensured. Performance guarantees of the iteration scheme in terms of regret upper bounds are also established. A combined result shows that both exponential stability and a sublinear regret which can be rendered smaller by increasing the number of optimization iterations can be guaranteed. The stability and regret results of the proposed estimator are showcased through numerical simulations.

The rate-regulation tradeoff, defined between two objective functions, one penalizing the packet rate and one the regulation cost, can express the fundamental performance bound of networked control systems. However, the characterization of the set of globally optimal solutions in this tradeoff for multi-dimensional Gauss-Markov processes has been an open problem. In the present article, we characterize a policy profile that belongs to this set without imposing any restrictions on the information structure or the policy structure. We prove that such a policy profile consists of a symmetric threshold triggering policy based on the value of information and a certainty-equivalent control policy based on a non-Gaussian linear estimator. These policies are deterministic and can be designed separately. Besides, we provide a global optimality analysis for the value of information $\text{VoI}_k$, a semantic metric that emerges from the rate-regulation tradeoff as the difference between the benefit and the cost of a data packet. We prove that it is globally optimal that a data packet containing sensory information at time $k$ be transmitted to the controller only if $\text{VoI}_k$ becomes nonnegative. These results have important implications in the areas of communication and control., Comment: arXiv admin note: text overlap with arXiv:1812.07534

Dantzig-Wolfe decomposition (DWD) is a classical algorithm for solving large-scale linear programs whose constraint matrix involves a set of independent blocks coupled with a set of linking rows. The algorithm decomposes such a model into a master problem and a set of independent subproblems that can be solved in a distributed manner. In a typical implementation, the master problem is solved centrally. In certain settings, solving the master problem centrally is undesirable or infeasible, such as in the case of decentralized storage of data, or when independent agents who are responsible for the subproblems desire privacy of information. In this paper, we propose a fully distributed DWD algorithm which relies on solving the master problem using a consensus-based Alternating Direction Method of Multipliers (ADMM) method. We derive error bounds on the optimality gap and feasibility violation of the proposed approach. We provide preliminary computational results for our algorithm using a Message Passing Interface (MPI) implementation on cutting stock instances from the literature and synthetic instances where we obtain high quality solutions., Comment: Corrected typos; added references; added a new set of experiments and a new application

Optimization of vaccine allocations among different segments of a heterogeneous population is important for enhancing the effectiveness of vaccination campaigns in reducing the burden of epidemics. Intuitively, it would seem that allocations designed to minimize infections should prioritize those with the highest risk of being infected and infecting others. This prescription is well supported by vaccination theory, e.g., when the vaccination campaign aims to reach herd immunity. In this work, we show, however, that for vaccines providing partial protection (leaky vaccines) and for sufficiently high values of the basic reproduction number, intuition is overturned: the optimal allocation for minimizing the number of infections prioritizes the vaccination of those who are least likely to be infected. Furthermore, we show that this phenomenon occurs at a range of basic reproduction numbers relevant for the currently circulating strains of SARS-CoV-19. The work combines numerical investigations, asymptotic analysis for a general model, and complete mathematical analysis in a simple two-group model. The results point to important considerations in managing vaccination campaigns for infections with high transmissibility.

We prove that solution operators of elliptic obstacle-type variational inequalities (or, more generally, locally Lipschitz continuous functions possessing certain pointwise-a.e. convexity properties) are Newton differentiable when considered as maps between suitable Lebesgue spaces and equipped with the strong-weak Bouligand differential as a generalized set-valued derivative. It is shown that this Newton differentiability allows to solve optimal control problems with H1-cost terms and one-sided pointwise control constraints by means of a semismooth Newton method. The superlinear convergence of the resulting algorithm is proved in the infinite-dimensional setting and its mesh independence is demonstrated in numerical experiments. We expect that the findings of this paper are also helpful for the design of numerical solution procedures for quasi-variational inequalities and the optimal control of obstacle-type variational problems., Comment: Minor revisions. Published in SIAM Journal on Control and Optimization, Vol. 61, Iss. 3 (2023)

We study a tropical linear regression problem consisting in finding the best approximation of a set of points by a tropical hyperplane. We establish a strong duality theorem, showing that the value of this problem coincides with the maximal radius of a Hilbert's ball included in a tropical polyhedron. We also show that this regression problem is polynomial-time equivalent to mean payoff games. We illustrate our results by solving an inverse problem from auction theory. In this setting, a tropical hyperplane represents the set of equilibrium prices. Tropical linear regression allows us to quantify the distance of a market to the set of equilibria, and infer secret preferences of a decision maker.

We show how the numerical range of a matrix can be used to bound the optimal value of certain optimization problems over real tensor product vectors. Our bound is stronger than the trivial bounds based on eigenvalues, and can be computed significantly faster than bounds provided by semidefinite programming relaxations. We discuss numerous applications to other hard linear algebra problems, such as showing that a real subspace of matrices contains no rank-one matrix, and showing that a linear map acting on matrices is positive., Comment: 22 pages

In this work we consider stochastic gradient descent (SGD) for solving linear inverse problems in Banach spaces. SGD and its variants have been established as one of the most successful optimisation methods in machine learning, imaging and signal processing, etc. At each iteration SGD uses a single datum, or a small subset of data, resulting in highly scalable methods that are very attractive for large-scale inverse problems. Nonetheless, the theoretical analysis of SGD-based approaches for inverse problems has thus far been largely limited to Euclidean and Hilbert spaces. In this work we present a novel convergence analysis of SGD for linear inverse problems in general Banach spaces: we show the almost sure convergence of the iterates to the minimum norm solution and establish the regularising property for suitable a priori stopping criteria. Numerical results are also presented to illustrate features of the approach.

In this paper, we study optimal control problems of semilinear elliptic and parabolic equations. A tracking cost functional, quadratic in the control and state variables, is considered. No control constraints are imposed. We prove that the corresponding state equations are well posed for controls in L2. However, it is well known that in the L2 framework the mappings involved in the control problem are not Frechet differentiable in general, which makes any analysis of the optimality conditions challenging. Nevertheless, we prove that every L2 optimal control belongs to L∞, and consequently standard optimality conditions are available. The first author was supported by MCIN/AEI/10.13039/501100011033 under research project PID2020-114837GB-I00. The second author was partially supported by the German Research Foundation (DFG) under project grant Wa 3626/3-2.

This paper investigates a Stackelberg game between an insurer and a reinsurer under the $α$-maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the reinsurer. With the insurer's feedback reinsurance strategy, the reinsurer optimizes the reinsurance premium in the Stackelberg game. The financial market consists of cash and stock with Heston's stochastic volatility. Both the insurer and reinsurer maximize their respective $α$-maxmin mean-variance preferences in the market. The criterion is time-inconsistent and we derive the equilibrium strategies by the extended Hamilton-Jacobi-Bellman equations. Similar to the non-robust case in Li and Young (2022), excess-of-loss reinsurance is the optimal form of reinsurance strategy for the insurer. The equilibrium investment strategy is determined by a system of Riccati differential equations. Besides, the equations determining the equilibrium reinsurance strategy and reinsurance premium rate are given semi-explicitly, which is simplified to an algebraic equation in a specific example. Numerical examples illustrate that the game between the insurer and reinsurer makes the insurance more radical when the agents become more ambiguity aversion or risk aversion. Furthermore, the level of ambiguity, ambiguity attitude, and risk attitude of the insurer (reinsurer) have similar effects on the equilibrium reinsurance strategy, reinsurance premium, and investment strategy., 38 pages, 20 figures

While noise is generally associated with uncertainties and often has a negative connotation in engineering, living organisms have evolved to adapt to (and even exploit) such uncertainty to ensure the survival of a species or implement certain functions that would have been difficult or even impossible otherwise. In this article, we review the role and impact of noise in systems and synthetic biology, with a particular emphasis on its role in the genetic control of biological systems, an area we refer to as Cybergenetics. The main modeling paradigm is that of stochastic reaction networks, whose applicability goes beyond biology, as these networks can represent any population dynamics system, including ecological, epidemiological, and opinion dynamics networks. We review different ways to mathematically represent these systems, and we notably argue that the concept of ergodicity presents a particularly suitable way to characterize their stability. We then discuss noise-induced properties and show that noise can be both an asset and a nuisance in this setting. Finally, we discuss recent results on (stochastic) Cybergenetics and explore their relationships to noise. Along the way, we detail the different technical and biological constraints that need to be respected when designing synthetic biological circuits. Finally, we discuss the concepts, problems, and solutions exposed in the article; raise criticisms and concerns about current ideas and approaches; suggest current (open) problems with potential solutions; and provide some ideas for future research directions., 36 pages; 6 Figures

This paper investigates the joint problems of dynamic state estimation of algebraic variables (voltage and phase angle) and generator states (rotor angle and frequency) of nonlinear differential algebraic equation (NDAE) power network models, under uncertainty. Traditionally, these two problems have been decoupled due to complexity of handling NDAE models. In particular, this paper offers the first attempt to solve the aforementioned problem in a coupled approach where the algebraic and generator states estimates are simultaneously computed. The proposed estimation algorithm herein is endowed with the following properties: (i) it is fairly simple to implement and based on well-understood Lyapunov theory; (ii) considers various sources of uncertainty from generator control inputs, loads, renewables, process and measurement noise; (iii) models phasor measurement unit installations at arbitrary buses; and (iv) is computationally less intensive than the decoupled approach in the literature., Comment: IEEE Transactions on Power Systems, In Press, June 2022

Electric vehicles (EVs) are being rapidly adopted due to their economic and societal benefits. Autonomous mobility-on-demand (AMoD) systems also embrace this trend. However, the long charging time and high recharging frequency of EVs pose challenges to efficiently managing EV AMoD systems. The complicated dynamic charging and mobility process of EV AMoD systems makes the demand and supply uncertainties significant when designing vehicle balancing algorithms. In this work, we design a data-driven distributionally robust optimization (DRO) approach to balance EVs for both the mobility service and the charging process. The optimization goal is to minimize the worst-case expected cost under both passenger mobility demand uncertainties and EV supply uncertainties. We then propose a novel distributional uncertainty sets construction algorithm that guarantees the produced parameters are contained in desired confidence regions with a given probability. To solve the proposed DRO AMoD EV balancing problem, we derive an equivalent computationally tractable convex optimization problem. Based on real-world EV data of a taxi system, we show that with our solution the average total balancing cost is reduced by 14.49%, and the average mobility fairness and charging fairness are improved by 15.78% and 34.51%, respectively, compared to solutions that do not consider uncertainties., 16 pages

A dual adaptive model predictive control (MPC) algorithm is presented for linear, time-invariant systems subject to bounded disturbances and parametric uncertainty in the state-space matrices. Online set-membership identification is performed to reduce the uncertainty and thus control affects both the informativity of identification and the system’s performance. The main contribution of the paper is to include this dual effect in the MPC optimization problem using a predicted worst-case cost in the objective function. This allows the controller to perform active exploration, that is, the control input reduces the uncertainty in the regions of the parameter space that have most influence on the performance. Additionally, the MPC algorithm ensures robust constraint satisfaction of state and input constraints. Advantages of the proposed algorithm are shown by comparing it to a passive adaptive MPC algorithm from the literature., IEEE Transactions on Automatic Control, 68 (5), ISSN:0018-9286, ISSN:1558-2523

In the past few years, Online Convex Optimization (OCO) has received notable attention in the control literature thanks to its flexible real-time nature and powerful performance guarantees. In this paper, we propose new step-size rules and OCO algorithms that simultaneously exploit gradient predictions, function predictions and dynamics, features particularly pertinent to control applications. The proposed algorithms enjoy static and dynamic regret bounds in terms of the dynamics of the reference action sequence, gradient prediction error, and function prediction error, which are generalizations of known regularity measures from the literature. We present results for both convex and strongly convex costs. We validate the performance of the proposed algorithms in a trajectory tracking case study, as well as portfolio optimization using real-world datasets.

Convex nonsmooth optimization problems, whose solutions live in very high dimensional spaces, have become ubiquitous. To solve them, the class of first-order algorithms known as proximal splitting algorithms is particularly adequate: they consist of simple operations, handling the terms in the objective function separately. In this overview, we demystify a selection of recent proximal splitting algorithms: we present them within a unified framework, which consists in applying splitting methods for monotone inclusions in primal-dual product spaces, with well-chosen metrics. Along the way, we easily derive new variants of the algorithms and revisit existing convergence results, extending the parameter ranges in several cases. In particular, we emphasize that when the smooth term in the objective function is quadratic, e.g., for least-squares problems, convergence is guaranteed with larger values of the relaxation parameter than previously known. Such larger values are usually beneficial for the convergence speed in practice., To appear in SIAM Review

This paper considers the distributed online convex optimization problem with time-varying constraints over a network of agents. This is a sequential decision making problem with two sequences of arbitrarily varying convex loss and constraint functions. At each round, each agent selects a decision from the decision set, and then only a portion of the loss function and a coordinate block of the constraint function at this round are privately revealed to this agent. The goal of the network is to minimize the network-wide loss accumulated over time. Two distributed online algorithms with full-information and bandit feedback are proposed. Both dynamic and static network regret bounds are analyzed for the proposed algorithms, and network cumulative constraint violation is used to measure constraint violation, which excludes the situation that strictly feasible constraints can compensate the effects of violated constraints. In particular, we show that the proposed algorithms achieve $\mathcal{O}(T^{\max\{\kappa,1-\kappa\}})$ static network regret and $\mathcal{O}(T^{1-\kappa/2})$ network cumulative constraint violation, where $T$ is the time horizon and $\kappa\in(0,1)$ is a user-defined trade-off parameter. Moreover, if the loss functions are strongly convex, then the static network regret bound can be reduced to $\mathcal{O}(T^{\kappa})$. Finally, numerical simulations are provided to illustrate the effectiveness of the theoretical results.

The non-convex complementarity constraints present a fundamental computational challenge in energy constrained optimization problems. In this work, we present a new, linear, and robust battery optimization formulation that sidesteps the need for battery complementarity constraints and integers and prove analytically that the formulation guarantees that all energy constraints are satisfied which ensures that the optimized battery dispatch is physically realizable. In addition, we bound the worst-case model mismatch and discuss conservativeness. Simulation results further illustrate the effectiveness of this approach.

It is known that the generalized Nash equilibrium problem can be reformulated as a quasivariational inequality. Our aim in this work is to introduce a variational approach to study the existence of solutions for generalized ordinal Nash games, that is, generalized games where the player preferences are binary relations that do not necessarily admit a utility representation., Comment: 7 pages

We consider the question of whether, and in what sense, Wardrop equilibria provide a good approximation for Nash equilibria in atomic unsplittable congestion games with a large number of small players. We examine two different definitions of small players. In the first setting, we consider games where each player's weight is small. We prove that when the number of players goes to infinity and their weights to zero, the random flows in all (mixed) Nash equilibria for the finite games converge in distribution to the set of Wardrop equilibria of the corresponding nonatomic limit game. In the second setting, we consider an increasing number of players with a unit weight that participate in the game with a decreasingly small probability. In this case, the Nash equilibrium flows converge in total variation towards Poisson random variables whose expected values are Wardrop equilibria of a different nonatomic game with suitably-defined costs. The latter can be viewed as symmetric equilibria in a Poisson game in the sense of Myerson, establishing a plausible connection between the Wardrop model for routing games and the stochastic fluctuations observed in real traffic. In both settings we provide explicit approximation bounds, and we study the convergence of the price of anarchy. Beyond the case of congestion games, we prove a general result on the convergence of large games with random players towards Poisson games., Mathematics of Operations Research, Forthcoming, 2022

Consider a two-person zero-sum search game between a hider and a searcher. The hider hides among $n$ discrete locations, and the searcher successively visits individual locations until finding the hider. Known to both players, a search at location $i$ takes $t_i$ time units and detects the hider -- if hidden there -- independently with probability $q_i$, for $i=1,\ldots,n$. The hider aims to maximize the expected time until detection, while the searcher aims to minimize it. We prove the existence of an optimal strategy for each player. In particular, the hider's optimal mixed strategy hides in each location with a nonzero probability, and the searcher's optimal mixed strategy can be constructed with up to $n$ simple search sequences. We develop an algorithm to compute an optimal strategy for each player, and compare the optimal hiding strategy with the simple hiding strategy which gives the searcher no location preference at the beginning of the search., Comment: 55 pages, 2 figures

We introduce a new form of Lagrangian and propose a simple first-order algorithm for nonconvex optimization with nonlinear equality constraints. We show the algorithm generates bounded dual iterates, and establish the convergence to KKT points under standard assumptions. The key features of the method are: (i) it does not require boundedness assumptions on the iterates and the set of multipliers; (ii) it is a single-loop algorithm that does not involve any penalty subproblems., Accepted at Operations Research Letters

This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population. It first establishes the existence of a unique Nash Equilibrium to this GMFG, and demonstrates that naively combining reinforcement learning with the fixed-point approach in classical MFGs yields unstable algorithms. It then proposes value-based and policy-based reinforcement learning algorithms (GMF-V and GMF-P, respectively) with smoothed policies, with analysis of their convergence properties and computational complexities. Experiments on an equilibrium product pricing problem demonstrate that GMF-V-Q and GMF-P-TRPO, two specific instantiations of GMF-V and GMF-P, respectively, with Q-learning and TRPO, are both efficient and robust in the GMFG setting. Moreover, their performance is superior in convergence speed, accuracy, and stability when compared with existing algorithms for multi-agent reinforcement learning in the $N$-player setting., Published in Mathematics of Operations Research

Given bounded selfadjoint operators $A$ and $B$ acting on a Hilbert space $\mathcal{H}$, consider the linear pencil $P(\lambda)=A+\lambda B$, $\lambda\in\mathbb{R}$. The set of parameters $\lambda$ such that $P(\lambda)$ is a positive (semi)definite operator is characterized. These results are applied to solving a quadratic programming problem with an equality quadratic constraint (or a QP1EQC problem)., 24 pages. Comments are welcomed!

The Gram spectrahedron of a real form $f\in\mathbb{R}[\underline{x}]_{2d}$ parametrizes all sum of squares representations of $f$. It is a compact, convex, semi-algebraic set, and we study its facial structure in the case of ternary quartics, i.e. $f\in\mathbb{R}[x,y,z]_4$. We show that the Gram spectrahedron of every smooth ternary quartic has faces of dimension 2, and generically none of dimension 1. We complete the proof that the so called Steiner graph of every smooth quartic is isomorphic to $K_4\coprod K_4$. Moreover, we show that the Gram spectrahedron of a generic psd ternary quartic contains points of all ranks in the Pataki interval., 21 pages, 2 figures

Mirror descent (MD) is a powerful first-order optimization technique that subsumes several optimization algorithms including gradient descent (GD). In this work, we develop a semi-definite programming (SDP) framework to analyze the convergence rate of MD in centralized and distributed settings under both strongly convex and non-strongly convex assumptions. We view MD with a dynamical system lens and leverage quadratic constraints (QCs) to provide explicit convergence rates based on Lyapunov stability. For centralized MD under strongly convex assumption, we develop a SDP that certifies exponential convergence rates. We prove that the SDP always has a feasible solution that recovers the optimal GD rate as a special case. We complement our analysis by providing the $O(1/k)$ convergence rate for convex problems. Next, we analyze the convergence of distributed MD and characterize the rate using SDP. To the best of our knowledge, the numerical rate of distributed MD has not been previously reported in the literature. We further prove an $O(1/k)$ convergence rate for distributed MD in the convex setting. Our numerical experiments on strongly convex problems indicate that our framework certifies superior convergence rates compared to the existing rates for distributed GD.

The problem of community detection with two equal-sized communities is closely related to the minimum graph bisection problem over certain random graph models. In the stochastic block model distribution over networks with community structure, a well-known semidefinite programming (SDP) relaxation of the minimum bisection problem recovers the underlying communities whenever possible. Motivated by their superior scalability, we study the theoretical performance of linear programming (LP) relaxations of the minimum bisection problem for the same random models. We show that unlike the SDP relaxation that undergoes a phase transition in the logarithmic average-degree regime, the LP relaxation exhibits a transition from recovery to non-recovery in the linear average-degree regime. We show that in the logarithmic average-degree regime, the LP relaxation fails in recovering the planted bisection with high probability., 32 pages, 3 figures; includes revisions for print version

When an iterative method is applied to solve the linear equation system in interior point methods (IPMs), the attention is usually placed on accelerating their convergence by designing appropriate preconditioners, but the linear solver is applied as a black box with a standard termination criterion which asks for a sufficient reduction of the residual in the linear system. Such an approach often leads to an unnecessary 'oversolving' of linear equations. In this paper, an IPM that relies on an inner termination criterion not based on the residual of the linear system is introduced and analyzed. Moreover, new indicators for the early termination of the inner iterations are derived from a deep understanding of IPM needs. The new technique has been adapted to the Conjugate Gradient (CG) and to the Minimum Residual method (MINRES) applied in the IPM context. The new criterion has been tested on a set of quadratic optimization problems including compressed sensing, image processing and instances with partial differential equation constraints, and it has been compared to standard residual tests with variable tolerance. Evidence gathered from these computational experiments shows that the new technique delivers significant improvements in terms of inner (linear) iterations and those translate into significant savings of the IPM solution time.

Optimal control problem is typically solved by first finding the value function through Hamilton-Jacobi equation (HJE) and then taking the minimizer of the Hamiltonian to obtain the control. In this work, instead of focusing on the value function, we propose a new formulation for the gradient of the value function (value-gradient) as a decoupled system of partial differential equations in the context of continuous-time deterministic discounted optimal control problem. We develop an efficient iterative scheme for this system of equations in parallel by utilizing the properties that they share the same characteristic curves as the HJE for the value function. For the theoretical part, we prove that this iterative scheme converges linearly in $L_\alpha^2$ sense for some suitable exponent $\alpha$ in a weight function. For the numerical method, we combine characteristic line method with machine learning techniques. Specifically, we generate multiple characteristic curves at each policy iteration from an ensemble of initial states, and compute both the value function and its gradient simultaneously on each curve as the labelled data. Then supervised machine learning is applied to minimize the weighted squared loss for both the value function and its gradients. Experimental results demonstrate that this new method not only significantly increases the accuracy but also improves the efficiency and robustness of the numerical estimates, particularly with less amount of characteristics data or fewer training steps.

Given a parameter dependent fixed point equation $x = F(x,u)$, we derive an abstract compactness principle for the fixed point map $u \mapsto x^*(u)$ under the assumptions that (i) the fixed point equation can be solved by the contraction principle and (ii) the map $u \mapsto F(x,u)$ is compact for fixed $x$. This result is applied to infinite-dimensional, semi-linear control systems and their reachable sets. More precisely, we extend a non-controllability result of Ball, Marsden, and Slemrod [1] to semi-linear systems. First we consider $L^p$-controls, $p>1$. Subsequently we analyze the case $p=1$.

In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first derive an explicit representation of the first variation process (in the Sobolev sense) of the controlled diffusion. Since the drift coefficient is not smooth, the representation is given in terms of the local time of the state process. Then we construct a sequence of optimal control problems with smooth coefficients by an approximation argument. Finally, we use Ekeland’s variational principle to obtain an approximating adjoint process from which we derive the maximum principle by passing to the limit. The work is notably motivated by the optimal consumption problem of investors paying wealth tax.