Publikationen
Monografien

A. Bayandina, P. Dvurechensky, A. Gasnikov, Chapter 8: Mirror Descent and Convex Optimization Problems with Nonsmooth Inequality Constraints, in: Large Scale and Distributed Optimization, P. Giselsson, A. Rantzer, eds., Lecture Notes in Mathematics 2227, Springer Nature Switzerland AG, Cham, 2018, pp. 181215, (Chapter Published), DOI 10.1007/9783319974781_8 .

L. Ghezzi, D. Hömberg, Ch. Landry, eds., Math for the Digital Factory, 27 of Mathematics in Industry / The European Consortium for Mathematics in Industry, Springer International Publishing AG, Cham, 2017, x+348 pages, (Collection Published), DOI 10.1007/9783319639574 .

H. Heitsch, R. Henrion, H. Leövey, R. Mirkov, A. Möller, W. Römisch, I. WegnerSpecht, Chapter 13: Empirical Observations and Statistical Analysis of Gas Demand Data, in: Evaluating Gas Network Capacities, Th. Koch, B. Hiller, M.E. Pfetsch, L. Schewe, eds., MOSSIAM Series on Optimization, SIAM, Philadelphia, 2015, pp. 273290, (Chapter Published).

B. Hiller, Ch. Hayn, H. Heitsch, R. Henrion, H. Leövey, A. Möller, W. Römisch, Chapter 14: Methods for Verifying Booked Capacities, in: Evaluating Gas Network Capacities, Th. Koch, B. Hiller, M.E. Pfetsch, L. Schewe, eds., MOSSIAM Series on Optimization, SIAM, Philadelphia, 2015, pp. 291315, (Chapter Published).

P. Deuflhard, M. Grötschel, D. Hömberg, U. Horst, J. Kramer, V. Mehrmann, K. Polthier, F. Schmidt, Ch. Schütte, M. Skutella, J. Sprekels, eds., MATHEON  Mathematics for Key Technologies, 1 of EMS Series in Industrial and Applied Mathematics, European Mathematical Society Publishing House, Zurich, 2014, 453 pages, (Collection Published).
Artikel in Referierten Journalen

H. Heitsch, R. Henrion, Th. Kleinert, M. Schmidt, On convex lowerlevel blackbox constraints in bilevel optimization with an application to gas market models with chance constraints, Journal of Global Optimization. An International Journal Dealing with Theoretical and Computational Aspects of Seeking Global Optima and Their Applications in Science, Management and Engineering, 84 (2022), pp. 651685, DOI 10.1007/s1089802201161z .
Abstract
Bilevel optimization is an increasingly important tool to model hierarchical decision making. However, the ability of modeling such settings makes bilevel problems hard to solve in theory and practice. In this paper, we add on the general difficulty of this class of problems by further incorporating convex blackbox constraints in the lower level. For this setup, we develop a cuttingplane algorithm that computes approximate bilevelfeasible points. We apply this method to a bilevel model of the European gas market in which we use a joint chance constraint to model uncertain loads. Since the chance constraint is not available in closed form, this fits into the blackbox setting studied before. For the applied model, we use further problemspecific insights to derive bounds on the objective value of the bilevel problem. By doing so, we are able to show that we solve the application problem to approximate global optimality. In our numerical case study we are thus able to evaluate the welfare sensitivity in dependence of the achieved safety level of uncertain load coverage. 
E. Borodich, V. Tominin, Y. Tominin, D. Kovalev, A. Gasnikov, P. Dvurechensky, Accelerated variancereduced methods for saddlepoint problems, EURO Journal on Computational Optimization, 10 (2022), pp. 100048/1100048/32, DOI 10.1016/j.ejco.2022.100048 .

M. Branda, R. Henrion, M. Pištěk, Value at risk approach to producer's best response in electricity market with uncertain demand, Optimization. A Journal of Mathematical Programming and Operations Research, published online on 15.05.2022, DOI 10.1080/02331934.2022.2076232 .
Abstract
We deal with several sources of uncertainty in electricity markets. The independent system operator (ISO) maximizes the social welfare using chance constraints to hedge against discrepancies between the estimated and real electricity demand. We find an explicit solution of the ISO problem, and use it to tackle the problem of a producer. In our model, production as well as income of a producer are determined based on the estimated electricity demand predicted by the ISO, that is unknown to producers. Thus, each producer is hedging against the uncertainty of prediction of the demand using the valueatrisk approach. To illustrate our results, a numerical study of a producer's best response given a historical distribution of both estimated and real electricity demand is provided. 
K. El Karfi, R. Henrion, D. Mentagui, An agricultural investment problem subject to probabilistic constraints, Computational Management Science, 19 (2022), pp. 683701, DOI 10.1007/s10287022004311 .

E. Gorbunov, P. Dvurechensky, A. Gasnikov, An accelerated method for derivativefree smooth stochastic convex optimization, SIAM Journal on Optimization, 32 (2022), pp. 12101238, DOI 10.1137/19M1259225 .
Abstract
We consider an unconstrained problem of minimization of a smooth convex function which is only available through noisy observations of its values, the noise consisting of two parts. Similar to stochastic optimization problems, the first part is of a stochastic nature. On the opposite, the second part is an additive noise of an unknown nature, but bounded in the absolute value. In the twopoint feedback setting, i.e. when pairs of function values are available, we propose an accelerated derivativefree algorithm together with its complexity analysis. The complexity bound of our derivativefree algorithm is only by a factor of n??? larger than the bound for accelerated gradientbased algorithms, where n is the dimension of the decision variable. We also propose a nonaccelerated derivativefree algorithm with a complexity bound similar to the stochasticgradientbased algorithm, that is, our bound does not have any dimensiondependent factor. Interestingly, if the solution of the problem is sparse, for both our algorithms, we obtain better complexity bound if the algorithm uses a 1norm proximal setup, rather than the Euclidean proximal setup, which is a standard choice for unconstrained problems. 
C. Geiersbach, M. Hintermüller, Optimality conditions and MoreauYosida regularization for almost sure state constraints, ESAIM. Control, Optimisation and Calculus of Variations, 28 (2022), 36, DOI 10.1051/cocv/2022070 .
Abstract
We analyze a potentially riskaverse convex stochastic optimization problem, where the control is deterministic and the state is a Banachvalued essentially bounded random variable. We obtain strong forms of necessary and sufficient optimality conditions for problems subject to equality and conical constraints. We propose a MoreauYosida regularization for the conical constraint and show consistency of the optimality conditions for the regularized problem as the regularization parameter is taken to infinity. 
P. Dvurechensky, D. Kamzolov, A. Lukashevich, S. Lee, E. Ordentlich, C.A. Uribe, A. Gasnikov, Hyperfast secondorder local solvers for efficient statistically preconditioned distributed optimization, EURO Journal on Computational Optimization, 10 (2022), pp. 100045/1100045/35, DOI 10.1016/j.ejco.2022.100045 .

H. Heitsch, R. Henrion, An enumerative formula for the spherical cap discrepancy, Journal of Computational and Applied Mathematics, 390 (2021), pp. 113409/1113409/14, DOI 10.1016/j.cam.2021.113409 .
Abstract
The spherical cap discrepancy is a widely used measure for how uniformly a sample of points on the sphere is distributed. Being hard to compute, this discrepancy measure is typically replaced by some lower or upper estimates when designing optimal sampling schemes for the uniform distribution on the sphere. In this paper, we provide a fully explicit, easy to implement enumerative formula for the spherical cap discrepancy. Not surprisingly, this formula is of combinatorial nature and, thus, its application is limited to spheres of small dimension and moderate sample sizes. Nonetheless, it may serve as a useful calibrating tool for testing the efficiency of sampling schemes and its explicit character might be useful also to establish necessary optimality conditions when minimizing the discrepancy with respect to a sample of given size. 
H. Berthold, H. Heitsch, R. Henrion, J. Schwientek, On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints, Mathematical Methods of Operations Research, 96 (2022), pp. 137 (published online on 14.12.2021), DOI 10.1007/s00186021007648 .
Abstract
We present an adaptive grid refinement algorithm to solve probabilistic optimization problems with infinitely many random constraints. Using a bilevel approach, we iteratively aggregate inequalities that provide most information not in a geometric but in a probabilistic sense. This conceptual idea, for which a convergence proof is provided, is then adapted to an implementable algorithm. The efficiency of our approach when compared to naive methods based on uniform grid refinement is illustrated for a numerical test example as well as for a water reservoir problem with joint probabilistic filling level constraints. 
M.H. Farshbaf Shaker, M. Gugat, H. Heitsch, R. Henrion, Optimal Neumann boundary control of a vibrating string with uncertain initial data and probabilistic terminal constraints, SIAM Journal on Control and Optimization, 58 (2020), pp. 22882311, DOI 10.1137/19M1269944 .
Abstract
In optimal control problems, often initial data are required that are not known exactly in practice. In order to take into account this uncertainty, we consider optimal control problems for a system with an uncertain initial state. A finite terminal time is given. On account of the uncertainty of the initial state, it is not possible to prescribe an exact terminal state. Instead, we are looking for controls that steer the system into a given neighborhood of the desired terminal state with sufficiently high probability. This neighborhood is described in terms of an inequality for the terminal energy. The probabilistic constraint in the considered optimal control problem leads to optimal controls that are robust against the inevitable uncertainties of the initial state. We show the existence of such optimal controls. Numerical examples with optimal Neumann control of the wave equation are presented. 
O. Marquardt, M.A. Caro, Th. Koprucki, P. Mathé, M. Willatzen, Multiband k $cdot$ p model and fitting scheme for ab initiobased electronic structure parameters for wurtzite GaAs, Phys. Rev. B., 101 (2020), pp. 235147/1235147/12, DOI 10.1103/PhysRevB.101.235147 .
Abstract
We develop a 16band k · p model for the description of wurtzite GaAs, together with a novel scheme to determine electronic structure parameters for multiband k · p models. Our approach uses lowdiscrepancy sequences to fit k · p band structures beyond the eightband scheme to most recent ab initio data, obtained within the framework for hybridfunctional density functional theory with a screenedexchange hybrid functional. We report structural parameters, elastic constants, band structures along highsymmetry lines, and deformation potentials at the Γ point. Based on this, we compute the bulk electronic properties (Γ point energies, effective masses, Luttingerlike parameters, and optical matrix parameters) for a tenband and a sixteenband k · p model for wurtzite GaAs. Our fitting scheme can assign priorities to both selected bands and k points that are of particular interest for specific applications. Finally, ellipticity conditions can be taken into account within our fitting scheme in order to make the resulting parameter sets robust against spurious solutions. 
T. González Grandón, R. Henrion, P. PérezAros, Dynamic probabilistic constraints under continuous random distributions, Mathematical Programming. A Publication of the Mathematical Programming Society, 196 (2022), pp. 10651096 (published online on 13.11.2020), DOI 10.1007/s1010702001593z .
Abstract
The paper investigates analytical properties of dynamic probabilistic constraints (chance constraints). The underlying random distribution is supposed to be continuous. In the first part, a general multistage model with decision rules depending on past observations of the random process is analyzed. Basic properties like (weak sequential) (semi) continuity of the probability function or existence of solutions are studied. It turns out that the results differ significantly according to whether decision rules are embedded into Lebesgue or Sobolev spaces. In the second part, the simplest meaningful twostage model with decision rules from L^{ 2} is investigated. More specific properties like Lipschitz continuity and differentiability of the probability function are considered. Explicitly verifiable conditions for these properties are provided along with explicit gradient formulae in the Gaussian case. The application of such formulae in the context of necessary optimality conditions is discussed and a concrete identification of solutions presented. 
D. Adelhütte, D. Assmann, T. González Grandón, M. Gugat, H. Heitsch, R. Henrion, F. Liers, S. Nitsche, R. Schultz, M. Stingl, D. Wintergerst, Joint model of probabilisticrobust (probust) constraints with application to gas network optimization, Vietnam Journal of Mathematics, 49 (2021), pp. 10971130 (published online on 10.11.2020).
Abstract
Optimization problems under uncertain conditions abound in many reallife applications. While solution approaches for probabilistic constraints are often developed in case the uncertainties can be assumed to follow a certain probability distribution, robust approaches are usually applied in case solutions are sought that are feasible for all realizations of uncertainties within some predefined uncertainty set. As many applications contain different types of uncertainties that require robust as well as probabilistic treatments, we introduce a class of joint probabilistic/robust constraints. Focusing on complex uncertain gas network optimization problems, we show the relevance of this class of problems for the task of maximizing free booked capacities in an algebraic model for a stationary gas network. We furthermore present approaches for finding their solution. Finally, we study the problem of controlling a transient system that is governed by the wave equation. The task consists in determining controls such that a certain robustness measure remains below some given upper bound with high probability. 
CH. Bayer, R.F. Tempone , S. Wolfers, Pricing American options by exercise rate optimization, Quantitative Finance, published online on 07.07.2020, urlhttps://doi.org/10.1080/14697688.2020.1750678, DOI 10.1080/14697688.2020.1750678 .
Abstract
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine socalled optimal exercise regions, which consist of points in time and space at which a given option is exercised. In contrast, our method determines the exercise rates of randomized exercise strategies. We show that the supremum of the corresponding stochastic optimization problem provides the correct option price. By integrating analytically over the random exercise decision, we obtain an objective function that is differentiable with respect to perturbations of the exercise rate even for finitely many sample paths. The global optimum of this function can be approached gradually when starting from a constant exercise rate. Numerical experiments on vanilla put options in the multivariate BlackScholes model and a preliminary theoretical analysis underline the efficiency of our method, both with respect to the number of timediscretization steps and the required number of degrees of freedom in the parametrization of the exercise rates. Finally, we demonstrate the flexibility of our method through numerical experiments on max call options in the classical BlackScholes model, and vanilla put options in both the Heston model and the nonMarkovian rough Bergomi model. 
P. Dvurechensky, E. Gorbunov, A. Gasnikov, An accelerated directional derivative method for smooth stochastic convex optimization, European Journal of Operational Research, 290 (2021), pp. 601621 (published online on 20.08.2020), DOI 10.1016/j.ejor.2020.08.027 .
Abstract
We consider smooth stochastic convex optimization problems in the context of algorithms which are based on directional derivatives of the objective function. This context can be considered as an intermediate one between derivativefree optimization and gradientbased optimization. We assume that at any given point and for any given direction, a stochastic approximation for the directional derivative of the objective function at this point and in this direction is available with some additive noise. The noise is assumed to be of an unknown nature, but bounded in the absolute value. We underline that we consider directional derivatives in any direction, as opposed to coordinate descent methods which use only derivatives in coordinate directions. For this setting, we propose a nonaccelerated and an accelerated directional derivative method and provide their complexity bounds. Despite that our algorithms do not use gradient information, our nonaccelerated algorithm has a complexity bound which is, up to a factor logarithmic in problem dimension, similar to the complexity bound of gradientbased algorithms. Our accelerated algorithm has a complexity bound which coincides with the complexity bound of the accelerated gradientbased algorithm up to a factor of square root of the problem dimension, whereas for existing directional derivative methods this factor is of the order of problem dimension. We also extend these results to strongly convex problems. Finally, we consider derivativefree optimization as a particular case of directional derivative optimization with noise in the directional derivative and obtain complexity bounds for nonaccelerated and accelerated derivativefree methods. Complexity bounds for these algorithms inherit the gain in the dimension dependent factors from our directional derivative methods. 
H. Heitsch, On probabilistic capacity maximization in a stationary gas network, Optimization. A Journal of Mathematical Programming and Operations Research, 69 (2020), pp. 575604 (published online on 10.06.2019), DOI 10.1080/02331934.2019.1625353 .
Abstract
The question for the capacity of a given gas network, i.e., determining the maximal amount of gas that can be transported by a given network, appears as an essential question that network operators and political administrations are regularly faced with. In that context we present a novel mathematical approach to assist gas network operators in managing uncertainty with respect to the demand and in exposing free network capacities while increasing reliability of transmission and supply. The approach is based on the rigorous examination of optimization problems with nonlinear probabilistic constraints. As consequence we deal with solving an optimization problem with joint probabilistic constraints over an infinite system of random inequalities. We will show that the inequality system can be reduced to a finite one in the situation of considering a tree network topology. A detailed study of the problem of maximizing free booked capacities in a stationary gas network is presented that comes up with an algebraic model involving Kirchhoff's first and second laws. The focus will be on both the theoretical and numerical side. We are going to validate a kind of rank two constraint qualification implying the differentiability of the considered capacity problem. At the numerical side we are going to solve the problem using a projected gradient decent method, where the function and gradient evaluations of the probabilistic constraints are performed by the approach of sphericradial decomposition applied for multivariate Gaussian random variables and more general distributions. 
D.R. Baimurzina, A. Gasnikov, E.V. Gasnikova, P. Dvurechensky, E.I. Ershov, M.B. Kubentaeva, A.A. Lagunovskaya, Universal method of searching for equilibria and stochastic equilibria in transportation networks, Computational Mathematics and Mathematical Physics, 59 (2019), pp. 1933.

E.A. Vorontsova, A. Gasnikov, E.A. Gorbunov, P. Dvurechensky, Accelerated gradientfree optimization methods with a nonEuclidean proximal operator, Automation and Remote Control, 80 (2019), pp. 14871501.

A. Gasnikov, P. Dvurechensky, F. Stonyakin, A.A. Titov, An adaptive proximal method for variational inequalities, Computational Mathematics and Mathematical Physics, 59 (2019), pp. 836841.

S. Guminov, Y. Nesterov, P. Dvurechensky, A. Gasnikov, Accelerated primaldual gradient descent with linesearch for convex, nonconvex, and nonsmooth optimization problems, Doklady Mathematics. Maik Nauka/Interperiodica Publishing, Moscow. English. Translation of the Mathematics Section of: Doklady Akademii Nauk. (Formerly: Russian Academy of Sciences. Doklady. Mathematics)., 99 (2019), pp. 125128.

W. VAN Ackooij, R. Henrion, P. PérezAros, Generalized gradients for probabilistic/robust (probust) constraints, Optimization. A Journal of Mathematical Programming and Operations Research, 69 (2020), pp. 14511479 (published online on 14.02.2019), DOI 10.1080/02331934.2019.1576670 .
Abstract
Probability functions are a powerful modelling tool when seeking to account for uncertainty in optimization problems. In practice, such uncertainty may result from different sources for which unequal information is available. A convenient combination with ideas from robust optimization then leads to probust functions, i.e., probability functions acting on generalized semiinfinite inequality systems. In this paper we employ the powerful variational tools developed by Boris Mordukhovich to study generalized differentiation of such probust functions. We also provide explicit outer estimates of the generalized subdifferentials in terms of nominal data. 
M. Eigel, J. Neumann, R. Schneider, S. Wolf, Risk averse stochastic structural topology optimization, Computer Methods in Applied Mechanics and Engineering, 334 (2018), pp. 470482, DOI 10.1016/j.cma.2018.02.003 .
Abstract
A novel approach for riskaverse structural topology optimization under uncertainties is presented which takes into account random material properties and random forces. For the distribution of material, a phase field approach is employed which allows for arbitrary topological changes during optimization. The state equation is assumed to be a highdimensional PDE parametrized in a (finite) set of random variables. For the examined case, linearized elasticity with a parametric elasticity tensor is used. Instead of an optimization with respect to the expectation of the involved random fields, for practical purposes it is important to design structures which are also robust in case of events that are not the most frequent. As a common riskaware measure, the Conditional Value at Risk (CVaR) is used in the cost functional during the minimization procedure. Since the treatment of such highdimensional problems is a numerically challenging task, a representation in the modern hierarchical tensor train format is proposed. In order to obtain this highly efficient representation of the solution of the random state equation, a tensor completion algorithm is employed which only required the pointwise evaluation of solution realizations. The new method is illustrated with numerical examples and compared with a classical Monte Carlo sampling approach. 
L. Adam, M. Branda, H. Heitsch, R. Henrion, Solving joint chance constrained problems using regularization and Benders' decomposition, Annals of Operations Research, 292 (2020), pp. 683709 (published online on 08.11.2018), DOI 10.1007/s1047901830919 .
Abstract
In this paper we investigate stochastic programms with joint chance constraints. We consider discrete scenario set and reformulate the problem by adding auxiliary variables. Since the resulting problem has a difficult feasible set, we regularize it. To decrease the dependence on the scenario number, we propose a numerical method by iteratively solving a master problem while adding Benders cuts. We find the solution of the slave problem (generating the Benders cuts) in a closed form and propose a heuristic method to decrease the number of cuts. We perform a numerical study by increasing the number of scenarios and compare our solution with a solution obtained by solving the same problem with continuous distribution. 
A. Gasnikov, P. Dvurechensky, M. Zhukovskii, S. Kim, S. Plaunov, D. Smirnov, F. Noskov, About the power law of the PageRank vector distribution. Part 2. BackleyOsthus model, power law verification for this model and setup of real search engines, Numerical Analysis and Applications, 11 (2018), pp. 1632, DOI 10.1134/S1995423918010032 .

A. Hantoute, R. Henrion, P. PérezAros, Subdifferential characterization of probability functions under Gaussian distribution, Mathematical Programming. A Publication of the Mathematical Programming Society, 174 (2019), pp. 167194 (published online on 29.01.2018), DOI 10.1007/s1010701812379 .
Abstract
Probability functions figure prominently in optimization problems of engineering. They may be nonsmooth even if all input data are smooth. This fact motivates the consideration of subdifferentials for such typically just continuous functions. The aim of this paper is to provide subdifferential formulae of such functions in the case of Gaussian distributions for possibly infinitedimensional decision variables and nonsmooth (locally Lipschitzian) input data. These formulae are based on the sphericradial decomposition of Gaussian random vectors on the one hand and on a cone of directions of moderate growth on the other. By successively adding additional hypotheses, conditions are satisfied under which the probability function is locally Lipschitzian or even differentiable. 
P. Dvurechensky, A. Gasnikov, A. Lagunovskaya, Parallel algorithms and probability of large deviation for stochastic convex optimization problems, Numerical Analysis and Applications, 11 (2018), pp. 3337, DOI 10.1134/S1995423918010044 .

R. Henrion, W. Römisch, Problembased optimal scenario generation and reduction in stochastic programming, Mathematical Programming. A Publication of the Mathematical Programming Society, 191 (2022), pp. 183205 (published online on 04.10.2018, urlhttps://doi.org/10.1007/s1010701813376), DOI 10.1007/s1010701813376 .
Abstract
Scenarios are indispensable ingredients for the numerical solution of stochastic programs. Earlier approaches to optimal scenario generation and reduction are based on stability arguments involving distances of probability measures. In this paper we review those ideas and suggest to make use of stability estimates based only on problem specific data. For linear twostage stochastic programs we show that the problembased approach to optimal scenario generation can be reformulated as best approximation problem for the expected recourse function which in turn can be rewritten as a generalized semiinfinite program. We show that the latter is convex if either righthand sides or costs are random and can be transformed into a semiinfinite program in a number of cases. We also consider problembased optimal scenario reduction for twostage models and optimal scenario generation for chance constrained programs. Finally, we discuss problembased scenario generation for the classical newsvendor problem. 
T. González Grandón, H. Heitsch, R. Henrion, A joint model of probabilistic/robust constraints for gas transport management in stationary networks, Computational Management Science, 14 (2017), pp. 443460, DOI 10.1007/s1028701702847 .
Abstract
We present a novel mathematical algorithm to assist gas network operators in managing uncertainty, while increasing reliability of transmission and supply. As a result, we solve an optimization problem with a joint probabilistic constraint over an infinite system of random inequalities. Such models arise in the presence of uncertain parameters having partially stochastic and partially nonstochastic character. The application that drives this new approach is a stationary network with uncertain demand (which are stochastic due to the possibility of fitting statistical distributions based on historical measurements) and with uncertain roughness coefficients in the pipes (which are uncertain but nonstochastic due to a lack of attainable measurements). We study the sensitivity of local uncertainties in the roughness coefficients and their impact on a highly reliable network operation. In particular, we are going to answer the question, what is the maximum uncertainty that is allowed (shaping a 'maximal' uncertainty set) around nominal roughness coefficients, such that random demands in a stationary gas network can be satisfied at given high probability level for no matter which realization of true roughness coefficients within the uncertainty set. One ends up with a constraint, which is probabilistic with respect to the load of gas and robust with respect to the roughness coefficients. We demonstrate how such constraints can be dealt with in the framework of the socalled sphericradial decomposition of multivariate Gaussian distributions. The numerical solution of a corresponding optimization problem is illustrated. The results might assist the network operator with the implementation of costintensive roughness measurements. 
A.L. Diniz, R. Henrion, On probabilistic constraints with multivariate truncated Gaussian and lognormal distributions, Energy Systems, 8 (2017), pp. 149167, DOI 10.1007/s1266701501806 .

A. Gasnikov, E. Gasnikova, P. Dvurechensky, A. Mohammed, E. Chernousova, About the power law of the PageRank vector component distribution. Part 1. Numerical methods for finding the PageRank vector (Original Russian text published in Sib. Zh. Vychisl. Mat., 20 (2017), pp. 359378), Numerical Analysis and Applications, 10 (2017), pp. 299312.

V. Guigues, R. Henrion, Joint dynamic probabilistic constraints with projected linear decision rules, Optimization Methods & Software, 32 (2017), pp. 10061032.
Abstract
We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of waitandsee type. We establish the relation between the original (infinite dimensional) problem and approximating problems working with projections from different subclasses of decision policies. Considering the subclass of linear decision rules and a generalized linear model for the underlying stochastic process with noises that are Gaussian or truncated Gaussian, we show that the value and gradient of the objective and constraint functions of the approximating problems can be computed analytically. 
W. VAN Ackooij, R. Henrion, (Sub) Gradient formulae for probability functions of random inequality systems under Gaussian distribution, SIAM/ASA Journal on Uncertainty Quantification, 5 (2017), pp. 6387, DOI 10.1137/16M1061308 .
Abstract
We consider probability functions of parameterdependent random inequality systems under Gaussian distribution. As a main result, we provide an upper estimate for the Clarke subdifferential of such probability functions without imposing compactness conditions. A constraint qualification ensuring continuous differentiability is formulated. Explicit formulae are derived from the general result in case of linear random inequality systems. In the case of a constant coefficient matrix an upper estimate for even the smaller Mordukhovich subdifferential is proven. 
H. Heitsch, H. Leövey, W. Römisch, Are quasiMonte Carlo algorithms efficient for twostage stochastic programs?, Computational Optimization and Applications. An International Journal, 65 (2016), pp. 567603.
Abstract
QuasiMonte Carlo algorithms are studied for designing discrete approximations of twostage linear stochastic programs with random righthand side and continuous probability distribution. The latter should allow for a transformation to a distribution with independent marginals. The twostage integrands are piecewise linear, but neither smooth nor lie in the function spaces considered for QMC error analysis. We show that under some weak geometric condition on the twostage model all terms of their ANOVA decomposition, except the one of highest order, are continuously differentiable and that first and second order ANOVA terms have mixed first order partial derivatives. Hence, randomly shifted lattice rules (SLR) may achieve the optimal rate of convergence not depending on the dimension if the effective superposition dimension is at most two. We discuss effective dimensions and dimension reduction for twostage integrands. The geometric condition is shown to be satisfied almost everywhere if the underlying probability distribution is normal and principal component analysis (PCA) is used for transforming the covariance matrix. Numerical experiments for a large scale twostage stochastic production planning model with normal demand show that indeed convergence rates close to the optimal are achieved when using SLR and randomly scrambled Sobol' point sets accompanied with PCA for dimension reduction. 
R. Hildebrand, Spectrahedral cones generated by rank 1 matrices, Journal of Global Optimization. An International Journal Dealing with Theoretical and Computational Aspects of Seeking Global Optima and Their Applications in Science, Management and Engineering, 64 (2016), pp. 349397.

C. Gotzes, H. Heitsch, R. Henrion, R. Schultz, On the quantification of nomination feasibility in stationary gas networks with random load, Mathematical Methods of Operations Research, 84 (2016), pp. 427457.
Abstract
The paper considers the computation of the probability of feasible load constellations in a stationary gas network with uncertain demand. More precisely, a network with a single entry and several exits with uncertain loads is studied. Feasibility of a load constellation is understood in the sense of an existing flow meeting these loads along with given pressure bounds in the pipes. In a first step, feasibility of deterministic exit loads is characterized algebraically and these general conditions are specified to networks involving at most one cycle. This prerequisite is essential for determining probabilities in a stochastic setting when exit loads are assumed to follow some (joint) Gaussian distribution when modeling uncertain customer demand. The key of our approach is the application of the sphericradial decomposition of Gaussian random vectors coupled with Quasi MonteCarlo sampling. This approach requires an efficient algorithmic treatment of the mentioned algebraic relations moreover depending on a scalar parameter. Numerical results are illustrated for different network examples and demonstrate a clear superiority in terms of precision over simple generic MonteCarlo sampling. They lead to fairly accurate probability values even for moderate sample size. 
A.V. Gasnikov, P. Dvurechensky, Y.E. Nesterov, Stochastic gradient methods with inexact oracle, Proceedings of Moscow Institute of Physics and Technology, 8:1 (2016), pp. 4191.

A. Gasnikov, P. Dvurechensky, I. Usmanova, On accelerated randomized methods, Proceedings of Moscow Institute of Physics and Technology, 8:2 (2016), pp. 67100.

A. Gasnikov, P. Dvurechensky, Stochastic intermediate gradient method for convex optimization problems, Doklady Mathematics. Maik Nauka/Interperiodica Publishing, Moscow. English. Translation of the Mathematics Section of: Doklady Akademii Nauk. (Formerly: Russian Academy of Sciences. Doklady. Mathematics)., 93 (2016), pp. 148151.

P. Dvurechensky, A. Gasnikov, Stochastic intermediate gradient method for convex problems with inexact stochastic oracle, Journal of Optimization Theory and Applications, 171 (2016), pp. 121145.

A. Gasnikov, E. Gasnikova, P. Dvurechensky, E. Ershov, A. Lagunovskaia, Searching for the stochastic equilibria in the transport models of equilibrium flow distribution (in Russian), Proceedings of Moscow Institute of Physics and Technology, 7 (2015), pp. 114128.

A. Gasnikov, P. Dvurechensky, D. Kamzolov, Y. Nesterov, V. Spokoiny, P. Stetsyuk, A. Suvorikova, A. Chernov, Searching for equilibriums in multistage transport models (in Russian), Proceedings of Moscow Institute of Physics and Technology, 7 (2015), pp. 143155.

I. Bremer, R. Henrion, A. Möller, Probabilistic constraints via SQP solver: Application to a renewable energy management problem, Computational Management Science, 12 (2015), pp. 435459.
Abstract
The aim of this paper is to illustrate the efficient solution of nonlinear optimization problems with joint probabilistic constraints by means of an SQP method. Here, the random vector is assumed to obey some multivariate Gaussian distribution. The numerical solution approach is applied to a renewable energy management problem. We consider a coupled system of hydro and wind power production used in order to satisfy some local demand of energy and to sell/buy excessive or missing energy on a dayahead and intraday market, respectively. A short term planning horizon of 2 days is considered and only wind power is assumed to be random. In the first part of the paper, we develop an appropriate optimization problem involving a probabilistic constraint reflecting demand satisfaction. Major attention will be payed to formulate this probabilistic constraint not directly in terms of random wind energy produced but rather in terms of random wind speed, in order to benefit from a large data base for identifying an appropriate distribution of the random parameter. The second part presents some details on integrating Genz' code for Gaussian probabilities of rectangles into the environment of the SQP solver SNOPT. The procedure is validated by means of a simplified optimization problem which by its convex structure allows to estimate the gap between the numerical and theoretical optimal values, respectively. In the last part, numerical results are presented and discussed for the original (nonconvex) optimization problem. 
TH. Arnold, R. Henrion, A. Möller, S. Vigerske, A mixedinteger stochastic nonlinear optimization problem with joint probabilistic constraints, Pacific Journal of Optimization. An International Journal, 10 (2014), pp. 520.
Abstract
We illustrate the solution of a mixedinteger stochastic nonlinear optimization problem in an application of power management. In this application, a coupled system consisting of a hydro power station and a wind farm is considered. The objective is to satisfy the local energy demand and sell any surplus energy on a spot market for a short time horizon. Generation of wind energy is assumed to be random, so that demand satisfaction is modeled by a joint probabilistic constraint taking into account the multivariate distribution. The turbine is forced to either operate between given positive limits or to be shut down. This introduces additional binary decisions. The numerical solution procedure is presented and results are illustrated. 
K. Emich, R. Henrion, W. Römisch, Conditioning of linearquadratic twostage stochastic optimization problems, Mathematical Programming. A Publication of the Mathematical Programming Society, 148 (2014), pp. 201221.
Abstract
In this paper a condition number for linearquadratic twostage stochastic optimization problems is introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probability distribution the solution set of the problem. Being the outer norm of the Mordukhovich coderivative of this multifunction, the condition number can be estimated from above explicitly in terms of the problem data by applying appropriate calculus rules. Here, a chain rule for the extended partial secondorder subdifferential recently proved by Mordukhovich and Rockafellar plays a crucial role. The obtained results are illustrated for the example of twostage stochastic optimization problems with simple recourse. 
W. VAN Ackooij, R. Zorgati, R. Henrion, A. Möller, Joint chance constrained programming for hydro reservoir management, Optimization and Engineering. International Multidisciplinary Journal to Promote Optimization Theory & Applications in Engineering Sciences, 15 (2014), pp. 509531.

W. VAN Ackooij, R. Henrion, Gradient formulae for nonlinear probabilistic constraints with Gaussian and Gaussianlike distributions, SIAM Journal on Optimization, 24 (2014), pp. 18641889.
Abstract
Probabilistic constraints represent a major model of stochastic optimization. A possible approach for solving probabilistically constrained optimization problems consists in applying nonlinear programming methods. In order to do so, one has to provide sufficiently precise approximations for values and gradients of probability functions. For linear probabilistic constraints under Gaussian distribution this can be successfully done by analytically reducing these values and gradients to values of Gaussian distribution functions and computing the latter, for instance, by Genz' code. For nonlinear models one may fall back on the sphericalradial decomposition of Gaussian random vectors and apply, for instance, Deák's sampling scheme for the uniform distribution on the sphere in order to compute values of corresponding probability functions. The present paper demonstrates how the same sampling scheme can be used in order to simultaneously compute gradients of these probability functions. More precisely, we prove a formula representing these gradients in the Gaussian case as a certain integral over the sphere again. Later, the result is extended to alternative distributions with an emphasis on the multivariate Student (or T) distribution.
Beiträge zu Sammelwerken

C. Geiersbach, E. LoayzaRomero, K. Welker, PDEConstrained Shape Optimization: Towards Product Shape Spaces and Stochastic Models, in: Handbook of Mathematical Models and Algorithms in Computer Vision and Imaging, K. Chen, C.B. Schönlieb, X.Ch. Tai, L. Younces, eds., Springer, DOI 10.1007/9783030030094_1201 .
Abstract
Shape optimization models with one or more shapes are considered in this chapter. Of particular interest for applications are problems in which a socalled shape functional is constrained by a partial differential equation (PDE) describing the underlying physics. A connection can be made between a classical view of shape optimization and the differential geometric structure of shape spaces. To handle problems where a shape functional depends on multiple shapes, a theoretical framework is presented, whereby the optimization variable can be represented as a vector of shapes belonging to a product shape space. The multishape gradient and multishape derivative are defined, which allows for a rigorous justification of a steepest descent method with Armijo backtracking. As long as the shapes as subsets of a holdall domain do not intersect, solving a single deformation equation is enough to provide descent directions with respect to each shape. Additionally, a framework for handling uncertainties arising from inputs or parameters in the PDE is presented. To handle potentially highdimensional stochastic spaces, a stochastic gradient method is proposed. A model problem is constructed, demonstrating how uncertainty can be introduced into the problem and the objective can be transformed by use of the expectation. Finally, numerical experiments in the deterministic and stochastic case are devised, which demonstrate the effectiveness of the presented algorithms. 
D. Pasechnyuk, P. Dvurechensky, S. Omelchenko, A. Gasnikov, Stochastic optimization for dynamic pricing, in: Advances in Optimization and Applications, N.N. Olenev, Y.G. Evtushenko, M. Jaćimović, M. Khachay, eds., 1514 of Communications in Computer and Information Science, Springer Nature Switzerland AG, Cham, 2021, pp. 8294, DOI 10.1007/9783030927110 .

K. Safin, P. Dvurechensky, A. Gasnikov, Adaptive gradientfree method for stochastic optimization, in: Advances in Optimization and Applications, N.N. Olenev, Y.G. Evtushenko, M. Jaćimović, M. Khachay, eds., 1514 of Communications in Computer and Information Science, Springer Nature Switzerland AG, Cham, 2021, pp. 95108, DOI 10.1007/9783030927110_7 .

P. Dvurechensky, A. Gasnikov, E. Nurminski, F. Stonyakin, Advances in lowmemory subgradient optimization, in: Numerical Nonsmooth Optimization, A.M. Bagirov, M. Gaudioso, N. Karmitsa, M.M. Mäkelä, S. Taheri, eds., Springer International Publishing, Cham, 2020, pp. 1959, DOI 10.1007/9783030349103_2 .

F. Stonyakin, D. Dvinskikh, P. Dvurechensky, A. Kroshnin, O. Kuznetsova, A. Agafonov, A. Gasnikov, A. Tyurin, C.A. Uribe, D. Pasechnyuk, S. Artamonov, Gradient methods for problems with inexact model of the objective, in: Proceedings of the 18th International Conference on Mathematical Optimization Theory and Operations Research (MOTOR 2019), M. Khachay, Y. Kochetov, P. Pardalos, eds., 11548 of Lecture Notes in Computer Science, Springer Nature Switzerland AG 2019, Cham, Switzerland, 2019, pp. 97114, DOI 10.1007/9783030226299_8 .
Abstract
We consider optimization methods for convex minimization problems under inexact information on the objective function. We introduce inexact model of the objective, which as a particular cases includes inexact oracle [16] and relative smoothness condition [36]. We analyze gradient method which uses this inexact model and obtain convergence rates for convex and strongly convex problems. To show potential applications of our general framework we consider three particular problems. The first one is clustering by electorial model introduced in [41]. The second one is approximating optimal transport distance, for which we propose a Proximal Sinkhorn algorithm. The third one is devoted to approximating optimal transport barycenter and we propose a Proximal Iterative Bregman Projections algorithm. We also illustrate the practical performance of our algorithms by numerical experiments. 
P. Dvurechensky, D. Dvinskikh, A. Gasnikov, C.A. Uribe, A. Nedić, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, in: Advances in Neural Information Processing Systems 31, S. Bengio, H. Wallach, H. Larochelle, K. Grauman, N. CesaBianchi, R. Garnett, eds., Curran Associates, Inc., 2018, pp. 1076010770.

TH. Arnold, R. Henrion, M. Grötschel, W. Römisch ET AL., B4  A Jack of all trades? Solving stochastic mixedinteger nonlinear constraint programs, in: MATHEON  Mathematics for Key Technologies, M. Grötschel, D. Hömberg, J. Sprekels, V. Mehrmann ET AL., eds., 1 of EMS Series in Industrial and Applied Mathematics, European Mathematical Society Publishing House, Zurich, 2014, pp. 135146.
Preprints, Reports, Technical Reports

A. Alphonse, C. Geiersbach, M. Hintermüller, Th.M. Surowiec, Riskaverse optimal control of random elliptic VIs, Preprint no. 2962, WIAS, Berlin, 2022, DOI 10.20347/WIAS.PREPRINT.2962 .
Abstract, PDF (1541 kByte)
We consider a riskaverse optimal control problem governed by an elliptic variational inequality (VI) subject to random inputs. By deriving KKTtype optimality conditions for a penalised and smoothed problem and studying convergence of the stationary points with respect to the penalisation parameter, we obtain two forms of stationarity conditions. The lack of regularity with respect to the uncertain parameters and complexities induced by the presence of the risk measure give rise to new challenges unique to the stochastic setting. We also propose a pathfollowing stochastic approximation algorithm using variance reduction techniques and demonstrate the algorithm on a modified benchmark problem. 
M. Gugat, H. Heitsch, R. Henrion, A turnpike property for optimal control problems with dynamic probabilistic constraints, Preprint no. 2941, WIAS, Berlin, 2022, DOI 10.20347/WIAS.PREPRINT.2941 .
Abstract, PDF (354 kByte)
In this paper we consider systems that are governed by linear timediscrete dynamics with an initial condition, additive random perturbations in each step and a terminal condition for the expected values. We study optimal control problems where the objective function consists of a term of tracking type for the expected values and a control cost. In addition, the feasible states have to satisfy a conservative probabilistic constraint that requires that the probability that the trajectories remain in a given set F is greater than or equal to a given lower bound. An application are optimal control problems related to storage management systems with uncertain in and output. We give sufficient conditions that imply that the optimal expected trajectories remain close to a certain state that can be characterized as the solution of an optimal control problem without prescribed initial and terminal condition. In this way we contribute to the study of the turnpike phenomenon that is wellknown in mathematical economics and make a step towards the extension of the turnpike theory to problems with probabilistic constraints. 
C. Geiersbach, M. Hintermüller, Optimality conditions and MoreauYosida regularization for almost sure state constraints, Preprint no. 2862, WIAS, Berlin, 2021, DOI 10.20347/WIAS.PREPRINT.2862 .
Abstract, PDF (415 kByte)
We analyze a potentially riskaverse convex stochastic optimization problem, where the control is deterministic and the state is a Banachvalued essentially bounded random variable. We obtain strong forms of necessary and sufficient optimality conditions for problems subject to equality and conical constraints. We propose a MoreauYosida regularization for the conical constraint and show consistency of the optimality conditions for the regularized problem as the regularization parameter is taken to infinity. 
A. Sadiev, A. Beznosikov, P. Dvurechensky, A. Gasnikov, Zerothorder algorithms for smooth saddlepoint problems, Preprint no. 2827, WIAS, Berlin, 2021, DOI 10.20347/WIAS.PREPRINT.2827 .
Abstract, PDF (564 kByte)
Saddlepoint problems have recently gained an increased attention from the machine learning community, mainly due to applications in training Generative Adversarial Networks using stochastic gradients. At the same time, in some applications only a zerothorder oracle is available. In this paper, we propose several algorithms to solve stochastic smooth (strongly) convexconcave saddle point problems using zerothorder oracles, and estimate their convergence rate and its dependence on the dimension n of the variable. In particular, our analysis shows that in the case when the feasible set is a direct product of two simplices, our convergence rate for the stochastic term is only by a log n factor worse than for the firstorder methods. We also consider a mixed setup and develop 1/2thorder methods which use zerothorder oracle for the minimization part and firstorder oracle for the maximization part. Finally, we demonstrate the practical performance of our zerothorder and 1/2thorder methods on practical problems. 
CH. Bayer, M. Eigel, L. Sallandt, P. Trunschke, Pricing highdimensional Bermudan options with hierarchical tensor formats, Preprint no. 2821, WIAS, Berlin, 2021, DOI 10.20347/WIAS.PREPRINT.2821 .
Abstract, PDF (321 kByte)
An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the “curse of dimensionality" can be alleviated for the computation of Bermudan option prices with the Monte Carlo leastsquares approach as well as the dual martingale method, both using highdimensional tensorized polynomial expansions. This discretization allows for a simple and computationally cheap evaluation of conditional expectations. Complexity estimates are provided as well as a description of the optimization procedures in the tensor train format. Numerical experiments illustrate the favourable accuracy of the proposed methods. The dynamical programming method yields results comparable to recent Neural Network based methods.
Vorträge, Poster

A. Alphonse, Riskaverse optimal control of elliptic random variational inequalities, SPP1962 Annual Meeting 2022, October 24  26, 2022, Novotel Hotel Berlin Mitte, October 25, 2022.

H. Heitsch, An algorithmic approach for solving optimization problems with probabilistic/robust (probust) constraints (online talk), TRR154 Summer School on Modelling, Simulation and Optimization for Energy Networks (Online Event), June 8  9, 2022, June 8, 2022.

C. Geiersbach, Optimality conditions and regularization for stochastic optimization with almost sure state constraints, 15th Viennese Conference on Optimal Control and Dynamic Games, July 12  15, 2022, TU Wien, Austria, July 14, 2022.

C. Geiersbach, Optimality conditions and regularization for stochastic optimization with almost sure state constraints, International Conference on Continuous Optimization  ICCOPT/MOPTA 2022, Cluster ``PDEConstrained Optimization'', July 23  28, 2022, Lehigh University, Bethlehem, Pennsylvania, USA, July 26, 2022.

C. Geiersbach, Optimization with almost sure state constraints, GAMM 92nd Annual Meeting 2022, RWTH Aachen University, August 16, 2022.

C. Geiersbach, Gametheoretical modeling for green hydrogen markets, Future WiNS: New Energies for a Sustainable World, December 7  9, 2022, HumoldtUniversität zu Berlin, December 9, 2022.

C. Geiersbach, Optimality conditions and regularization for OUU with almost sure state constraints (online talk), SIAM Conference on Uncertainty Quantification (Hybrid Event), Minisymposium 24 ``PDEConstrained Optimization Under Uncertainty'', April 12  15, 2022, Atlanta, Georgia, USA, April 12, 2022.

C. Geiersbach, Optimality conditions and regularization for stochastic optimization with almost sure state constraints (online talk), 2022 SIAM Conference on Imaging Science (IS22) (Online Event), Minisymposium ``Stochastic Iterative Methods for Inverse Problems'', March 21  25, 2022, March 25, 2022.

C. Geiersbach, Problems and challenges in stochastic optimization (online talk), WIAS Days, March 2, 2022.

C. Geiersbach, Shape optimization under uncertainty: Challenges and algorithms, Helmut Schmidt Universität Hamburg, Mathematik im Bauingenieurwesen, April 26, 2022.

C. Geiersbach, State constraints in stochastic optimization, PGMO days 2022, EDF Lab ParisSaclay, Palaiseau, France, November 30, 2022.

R. Henrion, A turnpike property for a discretetime linear optimal control problem with probabilistic constraints, Workshop on Optimal Control Theory, June 22  24, 2022, Institut National des Sciences Appliquées Rouen Normandie, Rouen, France, June 24, 2022.

R. Henrion, A turnpike property for an optimal control problem with chance constraints, PGMO DAYS 2022, Session 15F: ``New Developments in Optimal Control Theory, Part II'', November 28  30, 2022, Gaspard Monge Program for Optimization, Operations Research and their Interaction with Data Science, EDF Lab ParisSaclay, Palaiseau, France, November 29, 2022.

R. Henrion, Probabilistic constraints via sphericalradial decomposition. Part I (online talk), Seminar on Variational Analysis and Optimization, Western Michigan University, Kalamazoo, USA, February 4, 2022.

R. Henrion, Probabilistic constraints via sphericalradial decomposition. Part II (online talk), Western Michigan University, Kalamazoo, USA, February 11, 2022.

H. Heitsch, An algorithmic approach for solving optimization problems with probabilistic/robust (probust) constraints, Workshop ``Applications of SemiInfinite Optimization'' (Online Event), May 20  21, 2021, FraunhoferInstitut für Techno und Wirtschaftsmathematik ITWM, Kaiserslautern, May 21, 2021.

C. Geiersbach, Almost sure state constraints with an application to stochastic Nash equilibrium problems (online talk), SIAM Conference on Computational Science and Engineering  CSE21 (Virtual Conference), Minisymposium MS 114 ``RiskAverse PDEConstrained Optimization'', March 1  5, 2021, Virtual Conference Host: National Security Agency (NSA), March 2, 2021.

C. Geiersbach, Optimal conditions & regularization for stochastic optimization with almost sure state constraints, Vienna Colloquium on Decision Making under Uncertainty, October 1, 2021, Vienna, Austria, October 1, 2021.

C. Geiersbach, Optimality conditions and regularization for stochastic optimization with almost sure state constraints, Forschungsseminar Algorithmische Optimierung, HumboldtUniversität zu Berlin, November 18, 2021.

C. Geiersbach, Optimality conditions and regularization for convex stochastic optimization with almost sure state constraints (online talk), Workshop ``Challenges in Optimization with Complex PDESystems'' (Hybrid Workshop), February 14  20, 2021, Mathematisches Forschungsinstitut Oberwolfach, February 16, 2021.

C. Geiersbach, Stochastic approximation for optimization in shape spaces, 15th International Conference on Free Boundary Problems: Theory and Applications 2021 (FBP 2021, Online Event), Minisymposium ``UQ in Free Boundary Problems'', September 13  17, 2021, WIAS, Berlin, September 14, 2021.

C. Geiersbach, Stochastic approximation with applications to PDEconstrained optimization under uncertainty (online talk), WIAS Seminar ``Modern Methods in Applied Stochastics and Nonparametric Statistics'', March 9, 2021.

C. Geiersbach, Stochastic approximation with applications to PDEconstrained optimization under uncertainty  Part two (online talk), WIAS Seminar ``Modern Methods in Applied Stochastics and Nonparametric Statistics'', April 20, 2021.

P. Dvurechensky, Accelerated gradient methods and their applications to Wasserstein barycenter problem (online talk), The XIII International Scientific Conference and Young Scientist School ``Theory and Numerics of Inverse and Illposed Problems'' (Online Event), April 12  22, 2021, Mathematical Center in Akademgorodok, Novosibirsk, Russian Federation, April 14, 2021.

P. Dvurechensky, Wasserstein barycenters from the computational perspective (online talk), Moscow Conference on Combinatorics and Applications (Online Event), May 31  June 4, 2021, Moscow Institute of Physics and Technology, School of Applied Mathematics and Computer Science, Moscow, Russian Federation, June 2, 2021.

R. Henrion, Adaptive grid refinement for optimization problems with probabilistic/robust (probust) constraints, PGMO DAYS 2021, Session 12E ``Stochastic Optimization I'', November 30  December 1, 2021, Gaspard Monge Program for Optimization, Operations Research and their Interaction with Data Science, EDF Lab ParisSaclay, Palaiseau, France, December 1, 2021.

R. Henrion, Contraintes en probabilité audelà de la recherche opérationnelle (online talk), 13e Journée NormandieMathématique (Hybrid Event), Rouen, France, June 24, 2021.

R. Henrion, Dealing with probust constraints in stochastic optimization, Workshop ``Applications of SemiInfinite Optimization'' (Online Event), May 20  21, 2021, FraunhoferInstitut für Techno und Wirtschaftsmathematik ITWM, Kaiserslautern, May 21, 2021.

J.J. Zhu, Robust optimization and learning under distribution shift, Leibniz MMS Summer School ``Mathematical Methods for Machine Learning'', August 22  27, 2021, Schloss Dagstuhl, LeibnizZentrum für Informatik, Wadern.

H. Heitsch, On probabilistic capacity maximization in a stationary gas network, 9th International Congress on Industrial and Applied Mathematics (ICIAM), Minisymposium MS A611 4 ``Mathematical Optimization and Gas Transport Networks: Academic Developments II'', July 15  19, 2019, Valencia, Spain, July 16, 2019.

H. Heitsch, Optimal Neumann boundary control of the vibrating string with uncertain initial data and probabilistic terminal constraints, The XV International Conference on Stochastic Programming (ICSP XV), Minisymposium ``Nonlinear Programming with Probability Functions'', July 29  August 2, 2019, Norwegian University of Science and Technology, Trondheim, Norway, July 30, 2019.

CH. Bayer, Pricing American options by exercise rate optimization, Workshop on Financial Risks and Their Management, February 19  20, 2019, Ryukoku University, Wagenkan, Kyoto, Japan, February 19, 2019.

R. Henrion, Chance constraints then and now, International Conference on Stochastic Optimization and Related Topics, April 25  26, 2019, Mühlheim an der Ruhr, April 26, 2019.

R. Henrion, Nonsmoothness in the context of probability functions, Workshop 4 within the Special Semester on Optimization ``Nonsmooth Optimization'', November 25  27, 2019, Johann Radon Institute for Computational and Applied Mathematics (RICAM), Linz, Austria, November 25, 2019.

R. Henrion, On derivatives of probability functions, Workshop ``Statistics, Risk & Optimization'', Universität Wien, Austria, September 27, 2019.

R. Henrion, On some extended models of chance constraints, Workshop ``Mathematical Optimization of Systems Impacted by Rare, HighImpact Random Events'', June 24  28, 2019, Institute for Computational and Experimental Research in Mathematics (ICERM), Providence, USA, June 24, 2019.

R. Henrion, Optimal Neumann boundary control of the vibrating string under random initial conditions, OVA9: 9th International Seminar on Optimization and Variational Analysis, Universidad Miguel Hernández, Elche, Spain, September 2, 2019.

R. Henrion, Optimal Neumann boundary control of the vibrating string with uncertain initial data, ICCOPT 2019  Sixth International Conference on Continuous Optimization, Session ``PDEconstrained Optimization under Uncertainty (Part I)'', August 5  8, 2019, Berlin, August 8, 2019.

R. Henrion, Optimal probabilistic control of the vibrating string under random initial conditions, PGMO DAYS 2018, Session 1E ``Stochastic Optimal Control'', December 3  4, 2019, Gaspard Monge Program for Optimization, Operations Research and their Interaction with Data Science, EDF'Lab ParisSaclay, Palaiseau, France, December 4, 2019.

R. Henrion, Optimization problems with probust constraints: Theory, applications and algorithmic solution, XXXVIII Spanish Conference on Statistics and Operations Research, September 3  6, 2019, Universitat Politècnica de València, Alcoi, Spain, September 5, 2019.

R. Henrion, Probabilistic constraints in optimization with PDEs, Workshop 3 within the Special Semester on Optimization ``Optimization and Inversion under Uncertainty'', November 11  15, 2019, Johann Radon Institute for Computational and Applied Mathematics (RICAM), Linz, Austria, November 13, 2019.

R. Henrion, Problèmes d'optimisation sous contraintes en probabilité, Spring School in Nonsmooth Analysis and Optimization, April 16  18, 2019, Université Mohammed V, Rabat, Morocco.

R. Henrion, Robust control of a sweeping process with probabilistic endpoint constraints, The XV International Conference on Stochastic Programming (ICSP XV), Minisymposium ``Nonlinear Programming with Probability Functions'', July 29  August 2, 2019, Norwegian University of Science and Technology, Trondheim, Norway, July 30, 2019.

R. Henrion, Robust control of a sweeping process with probabilistic endpoint constraints, Workshop ``Nonsmooth and Variational Analysis'', January 28  February 1, 2019, Erwin Schrödinger International Institute for Mathematics and Physics, Vienna, Austria, January 31, 2019.

H. Heitsch, A probabilistic approach to optimization in gas transport, 2nd Conference on Mathematics of Gas Transport (MoG2), October 10  11, 2018, KonradZuseZentrum für Informationstechnik Berlin, October 10, 2018.

D. Dvinskikh, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, Thirtysecond Conference on Neural Information Processing Systems, December 3  8, 2018, Montréal, Canada, December 6, 2018.

P. Dvurechensky, D. Dvinskikh, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, ThirtySecond Conference On Neural Information Processing Systems, Montréal, Canada, December 3  8, 2018.

P. Dvurechensky, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, Thirtysecond Conference on Neural Information Processing Systems, December 3  8, 2018, Montréal, Canada, December 6, 2018.

R. Henrion, Dynamic chance constraints under continuous random distribution, PGMO DAYS 2018, Session 1E ``Stochastic Optimization'', November 20  21, 2018, Gaspard Monge Program for Optimization, Operations Research and their Interaction with Data Science, EDF'Lab ParisSaclay, Palaiseau, France, November 21, 2018.

R. Henrion, Maximization of free capacities in gas networks with random load, Conference ``Variational Analysis  Challenges in Energy'', June 4  6, 2018, Castro Urdiales, Spain, June 4, 2018.

R. Henrion, Optimization problems under probabilistic constraints, 3rd RussianGerman Conference on MultiScale BioMathematics: Coherent Modeling of Human Body System, November 7  9, 2018, Lomonosov Moscow State University, Russian Federation, November 8, 2018.

R. Henrion, Optimization problems with probust constraints, Colloquium & International Conference on Variational Analysis and Nonsmooth Optimization, June 28  July 1, 2018, MartinLutherUniversität HalleWittenberg, Halle, June 28, 2018.

R. Henrion, Perspectives in probabilistic programming under continuous random distributions, Workshop ``New Directions in Stochastic Optimisation'', August 19  25, 2018, Mathematisches Forschungsinstitut Oberwolfach, August 20, 2018.

R. Henrion, Probabilistic programming with applications, Universidad Miguel Hernández de Elche, Instituto Centro de Investigación Operativa, Spain, September 13, 2018.

M. Marschall, Bayesian inversion with adaptive lowrank approximation, Analysis, Control and Inverse Problems for PDEs  Workshop of the FrenchGermanItalian LIA (Laboratoire International Associe) COPDESC on Applied Analysis, November 26  30, 2018, University of Naples Federico II and Accademia Pontaniana, Italy, November 29, 2018.

H. Heitsch, A probabilistic approach to optimization problems in gas transport networks, SESO 2017 International Thematic Week ``Smart Energy and Stochastic Optimization'', May 30  June 1, 2017, ENSTA ParisTech and École des Ponts ParisTech, Paris, France, June 1, 2017.

H. Heitsch, A probabilistic approach to optimization problems in gas transport networks, CIMWIAS Workshop ``Topics in Applied Analysis and Optimisation'', December 6  8, 2017, International Center for Mathematics, University of Lisbon, Portugal, December 6, 2017.

H. Heitsch, On probabilistic capacity maximization in stationary gas networks, 21st Conference of the International Federation of Operational Research Societies (IFORS 2017), Invited Session TB20 ``Optimization of Gas Networks 2'', July 17  21, 2017, Quebec, Canada, July 18, 2017.

P. Dvurechensky, A unified view on accelerated randomized optimization methods: Coordinate descent, directional search, derivativefree method, Foundations of Computational Mathematics (FoCM 2017), Barcelona, Spain, July 17  19, 2017.

R. Henrion, Contraintes en probabilité: Formules du gradient et applications, Workshop ``MASMODE 2017'', Institut Henri Poincaré, Paris, France, January 9, 2017.

R. Henrion, On Mstationary condition for a simple electricity spot market model, Workshop ``Variational Analysis and Applications for Modelling of Energy Exchange'', May 4  5, 2017, Université Perpignan, France, May 4, 2017.

R. Henrion, On a joint model for probabilistic/robust constraints with an application to gas networks under uncertainties, Workshop ``Models and Methods of Robust Optimization'', March 9  10, 2017, FraunhoferInstitut für Techno und Wirtschaftsmathematik ITWM, Kaiserslautern, March 10, 2017.

R. Henrion, Optimization problems under robust constraints with applications to gas networks under uncertainty, The Eighth AustraliaChina Workshop on Optimization (ACWO 2017), December 4, 2017, Curtin University, Perth, Australia, December 4, 2017.

R. Henrion, Probabilistic constraints in infinite dimensions, Universität Wien, Institut für Statistik und Operations Research, Austria, November 6, 2017.

R. Henrion, Probabilistic constraints: Convexity issues and beyond, XII International Symposium on Generalized Convexity and Monotonicity, August 27  September 2, 2017, Hajdúszoboszló, Hungary, August 29, 2017.

R. Henrion, Probabilistic programming in infinite dimensions, The South Pacific Optimization Meeting in Western Australia 2017 (SPOM in WA 2017), December 8  10, 2017, Curtin University, Perth, Australia, December 9, 2017.

R. Henrion, Probabilistic programming: Structural properties and applications, Control and Optimization Conference on the occasion of Frédéric Bonnans 60th birthday, November 15  17, 2017, Electricité de France, Palaiseau, France, November 17, 2017.

R. Henrion, Problèmes d'optimisation sous contraintes en probabilité, Université de Bourgogne, Département de Mathématiques, Dijon, France, October 25, 2017.

R. Henrion, Subdifferential characterization of Gaussian probability functions, SESO 2017 International Thematic Week ``Smart Energy and Stochastic Optimization'', May 30  June 1, 2017, ENSTA ParisTech and École des Ponts ParisTech, Paris, France, June 1, 2017.

R. Henrion, Subdifferential estimates for Gaussian probability functions, HCM Workshop: Nonsmooth Optimization and its Applications, May 15  19, 2017, Hausdorff Center for Mathematics, Bonn, May 17, 2017.

R. Henrion, Subdifferential of probability functions under Gaussian distribution, The Second Pacific Optimization Conference (POC2017), December 4  7, 2017, Curtin University, Perth, Australia, December 6, 2017.

H. Heitsch, Nonlinear probabilistic constraints in gas transportation problems, WIASPGMO Workshop on Nonsmooth and Stochastic Optimization with Applications to Energy Management, May 10  12, 2016, WIAS Berlin, Australia, May 11, 2016.

H. Heitsch, Optimization in gas transport networks using nonlinear probabilistic constraints, XIV International Conference on Stochastic Programming (ICSP 2016), Thematic Session: Probabilistic Constraints: Applications and Theory, June 25  July 1, 2016, Búzios, Brazil, June 28, 2016.

R. Hildebrand, Canonical barriers on convex cones, Oberseminar Geometrische Analysis, Johann Wolfgang GoetheUniversität Frankfurt am Main, Fachbereich Mathematik, April 26, 2016.

J. Neumann, The phase field approach for topology optimization under uncertainties, ZIB Computational Medicine and Numerical Mathematics Seminar, KonradZuseZentrum für Informationstechnik Berlin, August 25, 2016.

I. Bremer, Dealing with probabilistic constraints under multivariate normal distribution in a standard SQP solver by using Genz' method, WIASPGMO Workshop on Nonsmooth and Stochastic Optimization with Applications to Energy Management, May 10  12, 2016, WIAS Berlin, May 11, 2016.

R. Henrion, (Sub)Gradient formulae for Gaussian probability functions, XIV International Conference on Stochastic Programming (ICSP 2016), Thematic Session: Probabilistic Constraints: Applications and Theory, June 25  July 1, 2016, Búzios, Brazil, June 28, 2016.

R. Henrion, Aspects of nondifferentiability for probability functions, 7th International Seminar on Optimization and Variational Analysis, June 1  3, 2016, Universidad de Alicante, Spain, June 2, 2016.

R. Henrion, Aspects of nonsmoothness for Gaussian probability functions, PGMO Days 2016  Gaspard Monge Program for Optimization and Operations Research, November 8  9, 2016, Electricité de France, Palaiseau, France, November 9, 2016.

R. Henrion, Formules du gradient pour des fonctions probabilistes Gaussiennes, Workshop on Offshore Wind Generation, September 9, 2016, Electricité de France R&D, Paris, France, September 9, 2016.

R. Henrion, Initiation aux problèmes d'optimisation sous contraintes en probabilité, Workshop ``Optimisation en Milieu Aléatoire'', November 8, 2016, Institut des Sciences Informatiques et de leurs Interactions, GdR 720 ISIS (Information, Signal, Image et ViSion), Paristech Télécom, Paris, France, November 8, 2016.

R. Henrion, Optimisation sous contraintes en probabilité, Séminaire du Groupe de Travail ``Modèles Stochastiques en Finance'', Ecole Nationale Supérieure des Techniques Avancées (ENSTA) ParisTech, Palaiseau, France, November 28, 2016.

R. Henrion, Robuststochastic optimization problems in stationary gas networks, Conference ``Mathematics of Gas Transport'', October 6  7, 2016, Zuse Institut Berlin, October 6, 2016.

H. Heitsch, Optimization of booked capacity in gas transport networks using nonlinear probabilistic constraints, 2nd International Symposium on Mathematical Programming (ISMP 2015), Cluster ``Optimization in Energy Systems'', July 13  17, 2015, Pittsburgh, USA, July 17, 2015.

R. Hildebrand, Geometry of barriers for 3dimensional cones, Optimization and Applications in Control and Data Science, May 13  15, 2015, Moscow Institute of Physics and Technology, PreMoLab, Moscow, Russian Federation, May 15, 2015.

R. Hildebrand, Rank 1 generated spectrahedral cones, Frontiers of High Dimensional Statistics, Optimization, and Econometrics, February 26  27, 2015, Higher School of Economics, Moscow, Russian Federation, February 26, 2015.

R. Hildebrand , Optimizing strategies in energy and storage markets, Matheon Center Days, Technische Universität Berlin, April 16, 2015.

P. Dvurechensky, Semisupervised pagerank model learning with gradientfree optimization methods, Traditional Youth School ``Control, Information and Optimization'', June 14  20, 2015, Moscow, Russian Federation, June 17, 2015.

P. Dvurechensky, Stochastic intermediate gradient method: Convex and strongly convex cases, Information Technologies and Systems 2015, September 6  11, 2015, Russian Academy of Sciences, Institute for Information Transmission Problems, Sochi, Russian Federation, September 9, 2015.

R. Henrion, (Sub) Gradient formulae for probability functions with Gaussian distribution, PGMO Days 2015  Gaspard Monge Program for Optimization and Operations Research, October 27  28, 2015, ENSTA ParisTech, Palaiseau, France, October 28, 2015.

R. Henrion, (Sub)Gradient formulae for probability functions with applications to power management, Universidad de Chile, Centro de Modelamiento Matemático, Santiago de Chile, Chile, November 25, 2015.

R. Henrion, Conditioning of linearquadratic twostage stochastic optimization problems, Charles University, Faculty of Mathematics and Physics, Prague, Czech Republic, March 26, 2015.

R. Henrion, On some relations between probability functions and variational analysis, International Workshop ``Variational Analysis and Applications'', August 28  September 5, 2015, Erice, Italy, August 31, 2015.

R. Henrion, Application of chance constraints in a coupled model of hydrowind energy production, Charles University in Prague, Faculty of Mathematics and Physics, Czech Republic, March 6, 2014.

R. Henrion, Application of probabilistic constraints to problems of energy management under uncertainty, Eidgenössische Technische Hochschule Zürich, Power Systems Laboratory, Switzerland, September 30, 2014.

R. Henrion, Conditioning of linearquadratic twostage stochastic optimization problems, 5th Conference on Optimization Theory and its Applications (ALEL 2014), June 5  7, 2014, Universidad de Sevilla, Spain, June 6, 2014.

R. Henrion, Gradient formulae in probabilistic programming, Conference on Optimization & Practices in Industry (PGMOCOPI'14), October 28  31, 2014, Ecole Polytechnique, Paris, France, October 29, 2014.

R. Henrion, Gradient formulae in probabilistic programming, Université Paul Sabatier, Laboratoire d'analyse et d'architecture des systèmes, Toulouse, France, December 8, 2014.

R. Henrion, Nonlinear programming for solving chance constrained optimization problems: Application to renewable energies, Winter School on Stochastic Programming with Applications in Energy, Finance and Insurance, March 23  28, 2014, Bad Hofgastein, Austria, March 25, 2014.

R. Henrion, Probabilistic constraints in hydro reservoir management, XIII Symposium of Specialists in Electric Operational and Expansion Planning (SEPOPE), May 18  21, 2014, Foz do Iguassu, Brazil, May 19, 2014.

R. Henrion, Probabilistic constraints via nonlinear programming: Application to energy management problems, Euro Mini Conference on Stochastic Programming and Energy Applications (EuroCSP2014), September 24  26, 2014, Institut Henri Poincaré, Paris, France, September 25, 2014.

R. Henrion, Probabilistic constraints: A structureoriented introduction, Optimization and Applications Seminar, Eidgenössische Technische Hochschule Zürich, Switzerland, September 29, 2014.

R. Henrion, Problèmes d'optimisation sous contraintes en probabilité: une initiation, December 9  10, 2014, Université Paul Sabatier, Institut de Mathématiques de Toulouse, France.
Preprints im Fremdverlag

D. Pasechnyuk, P. Dvurechensky, S. Omelchenko, A. Gasnikov, Stochastic optimization for dynamic pricing, Preprint no. arXiv:2106.14090, Cornell University Library, arXiv.org, 2021.
Abstract
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that consumers follow the discrete choice demand model, while suppliers are equipped with some quantity adjustment costs. The resulting optimization problem is smooth and convex making it amenable for application of efficient optimization algorithms with the aim of automatically setting prices for online marketplaces. We propose to use stochastic gradient methods to solve the above problem. We interpret the stochastic oracle as a response to the behavior of a random market participant, consumer or supplier. This allows us to interpret the considered algorithms and describe a suitable behavior of consumers and suppliers that leads to fast convergence to the equilibrium in a close to the real marketplace environment. 
J.J. Zhu, Ch. Kouridi, Y. Nemmour, B. Schölkopf, Adversarially robust kernel smoothing, Preprint no. arXiv:2102.08474, Cornell University Library, arXiv.org, 2021.

D. Tiapkin, A. Gasnikov, P. Dvurechensky, Stochastic saddlepoint optimization for Wasserstein barycenters, Preprint no. arXiv:2006.06763, Cornell University, 2020.
Abstract
We study the computation of nonregularized Wasserstein barycenters of probability measures supported on the finite set. The first result gives a stochastic optimization algorithm for the discrete distribution over the probability measures which is comparable with the current best algorithms. The second result extends the previous one to the arbitrary distribution using kernel methods. Moreover, this new algorithm has a total complexity better than the Stochastic Averaging approach via the Sinkhorn algorithm in many cases. 
D. Dvinskikh, Stochastic approximation versus sample average approximation for population Wasserstein barycenter calculation, Preprint no. arXiv:2001.07697, Cornell University, 2020.

F. Stonyakin, D. Dvinskikh, P. Dvurechensky, A. Kroshnin, O. Kuznetsova, A. Agafonov, A. Gasnikov, A. Tyurin, C.A. Uribe, D. Pasechnyuk, S. Artamonov, Gradient methods for problems with inexact model of the objective, Preprint no. arXiv:1902.09001, Cornell University Library, arXiv.org, 2019.

D. Dvinskikh, E. Gorbunov, A. Gasnikov, P. Dvurechensky, C.A. Uribe, On dual approach for distributed stochastic convex optimization over networks, Preprint no. arXiv:1903.09844, Cornell University Library, arXiv.org, 2019.
Abstract
We introduce dual stochastic gradient oracle methods for distributed stochastic convex optimization problems over networks. We estimate the complexity of the proposed method in terms of probability of large deviations. This analysis is based on a new technique that allows to bound the distance between the iteration sequence and the solution point. By the proper choice of batch size, we can guarantee that this distance equals (up to a constant) to the distance between the starting point and the solution. 
P. Dvurechensky, A. Gasnikov, E. Gorbunov, An accelerated directional derivative method for smooth stochastic convex optimization, Preprint no. arXiv:1804.02394, Cornell University Library, arXiv.org, 2018.
Abstract
We consider smooth stochastic convex optimization problems in the context of algorithms which are based on directional derivatives of the objective function. This context can be considered as an intermediate one between derivativefree optimization and gradientbased optimization. We assume that at any given point and for any given direction, a stochastic approximation for the directional derivative of the objective function at this point and in this direction is available with some additive noise. The noise is assumed to be of an unknown nature, but bounded in the absolute value. We underline that we consider directional derivatives in any direction, as opposed to coordinate descent methods which use only derivatives in coordinate directions. For this setting, we propose a nonaccelerated and an accelerated directional derivative method and provide their complexity bounds. Despite that our algorithms do not use gradient information, our nonaccelerated algorithm has a complexity bound which is, up to a factor logarithmic in problem dimension, similar to the complexity bound of gradientbased algorithms. Our accelerated algorithm has a complexity bound which coincides with the complexity bound of the accelerated gradientbased algorithm up to a factor of square root of the problem dimension, whereas for existing directional derivative methods this factor is of the order of problem dimension. We also extend these results to strongly convex problems. Finally, we consider derivativefree optimization as a particular case of directional derivative optimization with noise in the directional derivative and obtain complexity bounds for nonaccelerated and accelerated derivativefree methods. Complexity bounds for these algorithms inherit the gain in the dimension dependent factors from our directional derivative methods. 
P. Dvurechensky, A. Gasnikov, E. Gorbunov, An accelerated method for derivativefree smooth stochastic convex optimization, Preprint no. arXiv:1802.09022, Cornell University Library, arXiv.org, 2018.
Abstract
We consider an unconstrained problem of minimization of a smooth convex function which is only available through noisy observations of its values, the noise consisting of two parts. Similar to stochastic optimization problems, the first part is of a stochastic nature. On the opposite, the second part is an additive noise of an unknown nature, but bounded in the absolute value. In the twopoint feedback setting, i.e. when pairs of function values are available, we propose an accelerated derivativefree algorithm together with its complexity analysis. The complexity bound of our derivativefree algorithm is only by a factor of n??? larger than the bound for accelerated gradientbased algorithms, where n is the dimension of the decision variable. We also propose a nonaccelerated derivativefree algorithm with a complexity bound similar to the stochasticgradientbased algorithm, that is, our bound does not have any dimensiondependent factor. Interestingly, if the solution of the problem is sparse, for both our algorithms, we obtain better complexity bound if the algorithm uses a 1norm proximal setup, rather than the Euclidean proximal setup, which is a standard choice for unconstrained problems. 
P. Dvurechensky, D. Dvinskikh, A. Gasnikov, C.A. Uribe, A. Nedić, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, Preprint no. arXiv:1806.03915, Cornell University Library, arXiv.org, 2018.
Abstract
We study the problem of decentralized distributed computation of a discrete approximation for regularized Wasserstein barycenter of a finite set of continuous probability measures distributedly stored over a network. Particularly, we assume that there is a network of agents/machines/computers where each agent holds a private continuous probability measure, and seeks to compute the barycenter of all the measures in the network by getting samples from its local measure and exchanging information with its neighbors. Motivated by this problem, we develop and theoretically analyze a novel accelerated primaldual stochastic gradient method for general stochastic convex optimization problems with linear equality constraints. Then, we apply this method to the decentralized distributed optimization setting to propose a new algorithm for the distributed semidiscrete regularized Wasserstein barycenter problem. The proposed algorithm can be executed over arbitrary networks that are undirected, connected and static, using the local information only. Moreover, we show explicit nonasymptotic complexity in terms of the problem parameters. Finally, we show the effectiveness of our method on the distributed computation of the regularized Wasserstein barycenter of univariate Gaussian and von Mises distributions, as well as on some applications to image aggregation.
Ansprechpartner
Anwendungen
Projekte/Drittmittel
 Mehrzieloptimierung mit Gleichgewichtsrestriktionen am Beispiel von Gasmärkten
 Modelling and Optimization of Weakly Coupled Minigrids under Uncertainty
 Stochastische Gradienten Verfahren für fast sichere Zustandsschranken in der Optimalen Steuerung von Gasnetzwerken unter Unsicherheiten
 Wahrscheinlichkeitsrestriktionen in Gasmarktmodellen