confidence intervals 1dynamic optimization 1fed-batch processes 1sample average approximation 1uncertainty quantification 1
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math.OC2026
Statistical Inference for Scenario-Based Dynamic Optimization under Uncertainty
Aurya Javeed, Johannes Milz
The paper develops statistical methods for evaluating and constructing confidence intervals for the optimal value of finite-horizon open-loop dynamic optimization problems when par…
math.OC2026
ProxSTORM -- A Stochastic Trust-Region Algorithm for Nonsmooth Optimization
Robert J. Baraldi, Aurya Javeed, Drew P. Kouri +1
We develop a stochastic trust-region algorithm for minimizing the sum of a Lipschitz-smooth but possibly nonconvex function and a convex but possibly nonsmooth function. Such a pro…
math.OC2025
A Parallel-in-Time Multigrid Preconditioner for Optimal Control
Radoslav Vuchkov, Eric C. Cyr, Aurya Javeed +1
We develop a parallel-in-time multigrid preconditioner for augmented systems. These saddle-point systems are foundational to numerical optimization. Our preconditioner, when paired…