3 citations · 7 across the 7 of their papers we have counts for
5 papers · 1 filter
Weakly Time-Coupled Approximation of Markov Decision Processes
Negar Soheili, Selvaprabu Nadarajah, Bo Yang
Finite-horizon Markov decision processes (MDPs) with high-dimensional exogenous uncertainty and endogenous states arise in operations and finance, including the valuation and exerc…
An Adaptive Parameter-free and Projection-free Restarting Level Set Method for Constrained Convex Optimization Under the Error Bound Condition
Qihang Lin, Negar Soheili, Runchao Ma +1
Recent efforts to accelerate first-order methods have focused on convex optimization problems that satisfy a geometric property known as error-bound condition, which covers a broad…
Pathwise Optimization for Merchant Energy Production
Bo Yang, Selvaprabu Nadarajah, Nicola Secomandi
We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic pr…
A Data Efficient and Feasible Level Set Method for Stochastic Convex Optimization with Expectation Constraints
Qihang Lin, Selvaprabu Nadarajah, Negar Soheili +1
Stochastic convex optimization problems with expectation constraints (SOECs) are encountered in statistics and machine learning, business, and engineering. In data-rich environment…
Partial hyperplane activation for generalized intersection cuts
Aleksandr M. Kazachkov, Selvaprabu Nadarajah, Egon Balas +1
The generalized intersection cut (GIC) paradigm is a recent framework for generating cutting planes in mixed integer programming with attractive theoretical properties. We investig…