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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)

- 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)

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)

- 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 distributedmemory 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)

- 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)

- 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, interiorpoint methods are generally used. However,… (More)

We study the problem of constructing confidence intervals for the optimal value of a stochastic programming problem by using bootstrapping. Bootstrapping is a resampling method used in the statistical inference of unknown parameters for which only a small number of samples can be obtained. One such parameter is the optimal value of a stochastic optimization… (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)

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

Abstract. 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… (More)

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

We present PIPS-NLP, a software library for the solution of large-scale structured nonconvex optimization problems on high-performance computers. We discuss the features of the implementation in the context of electrical power and gas network systems. We illustrate how different model structures arise in these domains and how these can be exploited to… (More)