57 citations · 135 across the 19 of their papers we have counts for
14 papers · 1 filter
A Shrinkage Path Heuristic for Wasserstein Distributionally Robust Optimization
Lingjun Meng, Ryan Cory-Wright, Wolfram Wiesemann
Wasserstein distributionally robust optimization (DRO) is a versatile and widely adopted framework for decision-making under uncertainty, yet its standard deterministic reformulati…
Compact Lifted Relaxations for Low-Rank Optimization
Ryan Cory-Wright, Jean Pauphilet
We develop tractable convex relaxations for rank-constrained quadratic optimization problems over matrices, a setting for which tractable relaxations are typically onl…
Pricing Discrete and Nonlinear Markets With Semidefinite Relaxations
Cheng Guo, Lauren Henderson, Ryan Cory-Wright +1
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitmen…
Stability Regularized Cross-Validation
Ryan Cory-Wright, Andrés Gómez
We revisit the problem of ensuring strong test set performance via cross-validation, and propose a nested k-fold cross-validation scheme that selects hyperparameters by minimizing…
Improved Approximation Algorithms for Orthogonally Constrained Problems Using Semidefinite Optimization
Ryan Cory-Wright, Jean Pauphilet
Building on the blueprint from Goemans and Williamson (1995) for the Max-Cut problem, we construct a polynomial-time approximation algorithm for orthogonally constrained quadratic…
Efficient Cross-Validation for Sparse Linear Regression
Ryan Cory-Wright, Andrés Gómez
Given a high-dimensional covariate matrix and a response vector, ridge-regularized sparse linear regression selects a subset of features that explains the relationship between cova…
A Stochastic Benders Decomposition Scheme for Large-Scale Stochastic Network Design
Dimitris Bertsimas, Ryan Cory-Wright, Jean Pauphilet +1
Network design problems involve constructing edges in a transportation or supply chain network to minimize construction and daily operational costs. We study a stochastic version w…
Sparse PCA With Multiple Components
Ryan Cory-Wright, Jean Pauphilet
Sparse Principal Component Analysis (sPCA) is a cardinal technique for obtaining combinations of features, or principal components (PCs), that explain the variance of high-dimensio…
Decarbonizing OCP
Dimitris Bertsimas, Ryan Cory-Wright, Vassilis Digalakis
We present our collaboration with the OCP Group, one of the world's largest producers of phosphate and phosphate-based products, to reduce OCP's carbon emissions significantly. We…
A new perspective on low-rank optimization
Dimitris Bertsimas, Ryan Cory-Wright, Jean Pauphilet
A key question in many low-rank problems throughout optimization, machine learning, and statistics is to characterize the convex hulls of simple low-rank sets and judiciously apply…
On Polyhedral and Second-Order Cone Decompositions of Semidefinite Optimization Problems
Dimitris Bertsimas, Ryan Cory-Wright
We study a cutting-plane method for semidefinite optimization problems (SDOs), and supply a proof of the method's convergence, under a boundedness assumption. By relating the metho…
A unified approach to mixed-integer optimization problems with logical constraints
Dimitris Bertsimas, Ryan Cory-Wright, Jean Pauphilet
We propose a unified framework to address a family of classical mixed-integer optimization problems with logically constrained decision variables, including network design, facilit…
A Scalable Algorithm For Sparse Portfolio Selection
Dimitris Bertsimas, Ryan Cory-Wright
The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky ass…
On stochastic auctions in risk-averse electricity markets with uncertain supply
Ryan Cory-Wright, Golbon Zakeri
This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse a…