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math.OC2026
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…
math.OC2026
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…
math.OC2026
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…