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- Cosmin G. Petra, Mihai Anitescu
- Comp. Opt. and Appl.
- 2012

Deterministic sample average approximations of stochastic programming problems with recourse are suitable for a scenario-based parallelization. In this paper the parallelization is obtained by using an interior-point method and a Schur complement mechanism for the interior-point linear systems. However, the direct linear solves involving the dense Schur… (More)

- Cosmin G. Petra, Bogdan I. Gavrea, Mihai Anitescu, Florian A. Potra
- Optimization Methods and Software
- 2009

The present work aims at comparing the performance of several quadratic programming (QP) solvers for simulating large-scale frictional rigid-body systems. Traditional time-stepping schemes for simulation of multibody systems are formulated as linear complementarity problems (LCPs) with copositive matrices. Such LCPs are generally solved by means of… (More)

We present a scalable approach and implementation for solving stochastic programming problems, with application to the optimization of complex energy systems under uncertainty. Stochastic programming is used to make decisions in the present while incorporating a model of uncertainty about future events (scenarios). These problems present serious… (More)

- Filiz Gürtuna, Cosmin G. Petra, Florian A. Potra, Olena Shevchenko, Adrian Vancea
- Comp. Opt. and Appl.
- 2006

A higher order corrector-predictor interior-point method is proposed for solving sufficient linear complementarity problems. The algorithm produces a sequence of iterates in the N − ∞ neighborhood of the central path. The algorithm does not depend on the handicap κ of the problem. It has O((1 + κ) √ nL) iteration complexity and is superlinearly convergent… (More)

- Miles Lubin, R. Kipp Martin, Cosmin G. Petra, Burhaneddin Sandikçi
- Oper. Res. Lett.
- 2013

Preprint ANL/MCS-P3037-0912 For stochastic mixed-integer programs, we revisit the dual decomposition algorithm of Carøe and Schultz from a computational perspective with the aim of its parallelization. We address an important bottleneck of parallel execution by identifying a formulation that permits the parallel solution of the master program by using… (More)

- Miles Lubin, Cosmin G. Petra, Mihai Anitescu
- Optimization Methods and Software
- 2012

We present a novel approach for solving dense saddle-point linear systems in a distributed-memory environment. This work is motivated by an application in stochastic optimization problems with recourse, but the proposed approach can be used for a large family of dense saddle-point systems, in particular those arising in convex programming. Although… (More)

- Miles Lubin, J. A. Julian Hall, Cosmin G. Petra, Mihai Anitescu
- Comp. Opt. and Appl.
- 2013

We present a parallelization of the revised simplex method for large extensive forms of two-stage stochastic linear programming (LP) problems. These problems have been considered too large to solve with the simplex method; instead, decomposition approaches based on Benders decomposition or, more recently, interior-point methods are generally used. However,… (More)

- Joey Huchette, Miles Lubin, Cosmin G. Petra
- 2014 First Workshop for High Performance…
- 2014

We present scalable algebraic modeling software, StochJuMP, for stochastic optimization as applied to power grid economic dispatch. It enables the user to express the problem in a high-level algebraic format with minimal boilerplate. StochJuMP allows efficient parallel model instantiation across nodes and efficient data localization. Computational results… (More)

- Cosmin G. Petra, Olaf Schenk, Miles Lubin, Klaus Gärtner
- SIAM J. Scientific Computing
- 2014

We present a scalable approach and implementation for solving stochastic optimization problems on high-performance computers. In this work we revisit the sparse linear algebra computations of the parallel solver PIPS with the goal of improving the shared-memory performance and decreasing the time to solution. These computations consist of solving sparse… (More)

- Naiyuan Chiang, Cosmin G. Petra, Victor M. Zavala
- PSCC
- 2014