30 citations · 101 across the 13 of their papers we have counts for
13 papers · 1 filter
Sparse PCA: a Geometric Approach
Dimitris Bertsimas, Driss Lahlou Kitane
We consider the problem of maximizing the variance explained from a data matrix using orthogonal sparse principal components that have a support of fixed cardinality. While most ex…
Stochastic Cutting Planes for Data-Driven Optimization
Dimitris Bertsimas, Michael Lingzhi Li
We introduce a stochastic version of the cutting-plane method for a large class of data-driven Mixed-Integer Nonlinear Optimization (MINLO) problems. We show that under very weak a…
Computation of Convex Hull Prices in Electricity Markets with Non-Convexities using Dantzig-Wolfe Decomposition
Panagiotis Andrianesis, Dimitris Bertsimas, Michael C. Caramanis +1
The presence of non-convexities in electricity markets has been an active research area for about two decades. The -- inevitable under current marginal cost pricing -- problem of g…
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…
Dynamic optimization with side information
Dimitris Bertsimas, Christopher McCord, Bradley Sturt
We develop a tractable and flexible approach for incorporating side information into dynamic optimization under uncertainty. The proposed framework uses predictive machine learning…
Two-stage sample robust optimization
Dimitris Bertsimas, Shimrit Shtern, Bradley Sturt
We investigate a simple approximation scheme, based on overlapping linear decision rules, for solving data-driven two-stage distributionally robust optimization problems with the t…