arXiv subjects

Bartolomeo Stellato

Publications and source records attributed to Bartolomeo Stellato.

At least 37 records · Page 2Linked to original sources

arXiv2024

Learning Algorithm Hyperparameters for Fast Parametric Convex Optimization

We introduce a machine-learning framework to learn the hyperparameter sequence of first-order methods (e.g., the step sizes in gradient descent) to quickly solve parametric convex optimization problems. Our computational architecture amounts to running fixed-point iterations where the hyperparameters are the same across all parametric instances and consists of two phases. In the first step-varying phase the hyperparameters vary across iterations, while in the second steady-state phase the hyperparameters are constant across iterations. Our learned optimizer is flexible in that it can be evaluated on any number of iterations and is guaranteed to converge to an optimal solution. To train, we minimize the mean square error to a ground truth solution. In the case of gradient descent, the one-step optimal step size is the solution to a least squares problem, and in the case of unconstrained quadratic minimization, we can compute the two and three-step optimal solutions in closed-form. In other cases, we backpropagate through the algorithm steps to minimize the training objective after a given number of steps. We show how to learn hyperparameters for several popular algorithms: gradient descent, proximal gradient descent, and two ADMM-based solvers: OSQP and SCS. We use a sample convergence bound to obtain generalization guarantees for the performance of our learned algorithm for unseen data, providing both lower and upper bounds. We showcase the effectiveness of our method with many examples, including ones from control, signal processing, and machine learning. Remarkably, our approach is highly data-efficient in that we only use $10$ problem instances to train the hyperparameters in all of our examples.

math.OC↗

arXiv2024

The Benefit of Uncertainty Coupling in Robust and Adaptive Robust Optimization

Despite the modeling power for problems under uncertainty, robust optimization (RO) and adaptive robust optimization (ARO) can exhibit too conservative solutions in terms of objective value degradation compared to the nominal case. One of the main reasons behind this conservatism is that, in many practical applications, uncertain constraints are directly designed as constraint-wise without taking into account couplings over multiple constraints. In this paper, we define a coupled uncertainty set as the intersection between a constraint-wise uncertainty set and a coupling set. We study the benefit of coupling in alleviating conservatism in RO and ARO. We provide theoretical tight and computable upper and lower bounds on the objective value improvement of RO and ARO problems under coupled uncertainty over constraint-wise uncertainty. In addition, we relate the power of adaptability over static solutions with the coupling of uncertainty set. Computational results demonstrate the benefit of coupling in applications.

math.OC↗

arXiv2024

A neural network-based approach to hybrid systems identification for control

We consider the problem of designing a machine learning-based model of an unknown dynamical system from a finite number of (state-input)-successor state data points, such that the model obtained is also suitable for optimal control design. We adopt a neural network (NN) architecture that, once suitably trained, yields a hybrid system with continuous piecewise-affine (PWA) dynamics that is differentiable with respect to the network's parameters, thereby enabling the use of derivative-based training procedures. We show that a careful choice of our NN's weights produces a hybrid system model with structural properties that are highly favorable when used as part of a finite horizon optimal control problem (OCP). Specifically, we rely on available results to establish that optimal solutions with strong local optimality guarantees can be computed via nonlinear programming (NLP), in contrast to classical OCPs for general hybrid systems which typically require mixed-integer optimization. Besides being well-suited for optimal control design, numerical simulations illustrate that our NN-based technique enjoys very similar performance to state-of-the-art system identification methods for hybrid systems and it is competitive on nonlinear benchmarks.

eess.SY↗

arXiv2024

Who Plays First? Optimizing the Order of Play in Stackelberg Games with Many Robots

We consider the multi-agent spatial navigation problem of computing the socially optimal order of play, i.e., the sequence in which the agents commit to their decisions, and its associated equilibrium in an N-player Stackelberg trajectory game. We model this problem as a mixed-integer optimization problem over the space of all possible Stackelberg games associated with the order of play's permutations. To solve the problem, we introduce Branch and Play (B&P), an efficient and exact algorithm that provably converges to a socially optimal order of play and its Stackelberg equilibrium. As a subroutine for B&P, we employ and extend sequential trajectory planning, i.e., a popular multi-agent control approach, to scalably compute valid local Stackelberg equilibria for any given order of play. We demonstrate the practical utility of B&P to coordinate air traffic control, swarm formation, and delivery vehicle fleets. We find that B&P consistently outperforms various baselines, and computes the socially optimal equilibrium.

cs.RO↗

arXiv2024

Exterior-point Optimization for Sparse and Low-rank Optimization

Many problems of substantial current interest in machine learning, statistics, and data science can be formulated as sparse and low-rank optimization problems. In this paper, we present the nonconvex exterior-point optimization solver NExOS -- a first-order algorithm tailored to sparse and low-rank optimization problems. We consider the problem of minimizing a convex function over a nonconvex constraint set, where the set can be decomposed as the intersection of a compact convex set and a nonconvex set involving sparse or low-rank constraints. Unlike the convex relaxation approaches, NExOS finds a locally optimal point of the original problem by solving a sequence of penalized problems with strictly decreasing penalty parameters by exploiting the nonconvex geometry. NExOS solves each penalized problem by applying a first-order algorithm, which converges linearly to a local minimum of the corresponding penalized formulation under regularity conditions. Furthermore, the local minima of the penalized problems converge to a local minimum of the original problem as the penalty parameter goes to zero. We then implement and test NExOS on many instances from a wide variety of sparse and low-rank optimization problems, empirically demonstrating that our algorithm outperforms specialized methods.

math.OC↗

arXiv2024

Learning Hierarchical Control For Multi-Agent Capacity-Constrained Systems

This paper introduces a novel data-driven hierarchical control scheme for managing a fleet of nonlinear, capacity-constrained autonomous agents in an iterative environment. We propose a control framework consisting of a high-level dynamic task assignment and routing layer and low-level motion planning and tracking layer. Each layer of the control hierarchy uses a data-driven Model Predictive Control (MPC) policy, maintaining bounded computational complexity at each calculation of a new task assignment or actuation input. We utilize collected data to iteratively refine estimates of agent capacity usage, and update MPC policy parameters accordingly. Our approach leverages tools from iterative learning control to integrate learning at both levels of the hierarchy, and coordinates learning between levels in order to maintain closed-loop feasibility and performance improvement of the connected architecture.

cs.RO↗

arXiv2024

Equitable Data-Driven Facility Location and Resource Allocation to Fight the Opioid Epidemic

The opioid epidemic is a crisis that has plagued the United States (US) for decades. One central issue is inequitable access to treatment for opioid use disorder (OUD), which puts certain populations at a higher risk of opioid overdose. We integrate a predictive dynamical model and a prescriptive optimization problem to compute high-quality opioid treatment facility and treatment budget allocations for each US state. Our predictive model is a differential equation-based epidemiological model that captures opioid epidemic dynamics. We use a process inspired by neural ODEs to fit this model to opioid epidemic data for each state and obtain estimates for unknown parameters in the model. We then incorporate this epidemiological model into a mixed-integer optimization problem (MIP) that aims to minimize opioid overdose deaths and the number of people with OUD. We develop strong relaxations based on McCormick envelopes to efficiently compute approximate solutions to our MIPs with a mean optimality gap of 3.99%. Our method provides socioeconomically equitable solutions, as it incentivizes investments in areas with higher social vulnerability (from the US Centers for Disease Control's Social Vulnerability Index) and opioid prescribing rates. On average, our approach decreases the number of people with OUD by 9.03 $\pm$ 1.772%, increases the number of people in treatment by 88.75 $\pm$ 26.223%, and decreases opioid-related deaths by 0.58 $\pm$ 0.111% after 2 years compared to baseline epidemiological model predictions. Our solutions show that policy-makers should target adding treatment facilities to counties that have fewer facilities than their population share and are more socially vulnerable. We demonstrate that our optimization approach should help inform these decisions, as it yields population health benefits in comparison to benchmarks based solely on population and social vulnerability.

physics.soc-ph↗

arXiv2023

Differentiable Cutting-plane Layers for Mixed-integer Linear Optimization

We consider the problem of solving a family of parametric mixed-integer linear optimization problems where some entries in the input data change. We introduce the concept of cutting-plane layer (CPL), i.e., a differentiable cutting-plane generator mapping the problem data and previous iterates to cutting planes. We propose a CPL implementation to generate split cuts, and by combining several CPLs, we devise a differentiable cutting-plane algorithm that exploits the repeated nature of parametric instances. In an offline phase, we train our algorithm by updating the internal parameters controlling the CPLs, thus altering cut generation. Once trained, our algorithm computes, with predictable execution times and a fixed number of cuts, solutions with low integrality gaps. Preliminary computational tests show that our algorithm generalizes on unseen instances and captures underlying parametric structures.

math.OC↗

arXiv2023

Learning to Warm-Start Fixed-Point Optimization Algorithms

We introduce a machine-learning framework to warm-start fixed-point optimization algorithms. Our architecture consists of a neural network mapping problem parameters to warm starts, followed by a predefined number of fixed-point iterations. We propose two loss functions designed to either minimize the fixed-point residual or the distance to a ground truth solution. In this way, the neural network predicts warm starts with the end-to-end goal of minimizing the downstream loss. An important feature of our architecture is its flexibility, in that it can predict a warm start for fixed-point algorithms run for any number of steps, without being limited to the number of steps it has been trained on. We provide PAC-Bayes generalization bounds on unseen data for common classes of fixed-point operators: contractive, linearly convergent, and averaged. Applying this framework to well-known applications in control, statistics, and signal processing, we observe a significant reduction in the number of iterations and solution time required to solve these problems, through learned warm starts.

math.OC↗

arXiv2023

Learning Rationality in Potential Games

We propose a stochastic first-order algorithm to learn the rationality parameters of simultaneous and non-cooperative potential games, i.e., the parameters of the agents' optimization problems. Our technique combines (i.) an active-set step that enforces that the agents play at a Nash equilibrium and (ii.) an implicit-differentiation step to update the estimates of the rationality parameters. We detail the convergence properties of our algorithm and perform numerical experiments on Cournot and congestion games, showing that our algorithm effectively finds high-quality solutions (in terms of out-of-sample loss) and scales to large datasets.

math.OC↗

arXiv2022

End-to-End Learning to Warm-Start for Real-Time Quadratic Optimization

First-order methods are widely used to solve convex quadratic programs (QPs) in real-time applications because of their low per-iteration cost. However, they can suffer from slow convergence to accurate solutions. In this paper, we present a framework which learns an effective warm-start for a popular first-order method in real-time applications, Douglas-Rachford (DR) splitting, across a family of parametric QPs. This framework consists of two modules: a feedforward neural network block, which takes as input the parameters of the QP and outputs a warm-start, and a block which performs a fixed number of iterations of DR splitting from this warm-start and outputs a candidate solution. A key feature of our framework is its ability to do end-to-end learning as we differentiate through the DR iterations. To illustrate the effectiveness of our method, we provide generalization bounds (based on Rademacher complexity) that improve with the number of training problems and number of iterations simultaneously. We further apply our method to three real-time applications and observe that, by learning good warm-starts, we are able to significantly reduce the number of iterations required to obtain high-quality solutions.

math.OC↗

arXiv2022

Embedded Code Generation with CVXPY

We introduce CVXPYgen, a tool for generating custom C code, suitable for embedded applications, that solves a parametrized class of convex optimization problems. CVXPYgen is based on CVXPY, a Python-embedded domain-specific language that supports a natural syntax (that follows the mathematical description) for specifying convex optimization problems. Along with the C implementation of a custom solver, CVXPYgen creates a Python wrapper for prototyping and desktop (non-embedded) applications. We give two examples, position control of a quadcopter and back-testing a portfolio optimization model. CVXPYgen outperforms a state-of-the-art code generation tool in terms of problem size it can handle, binary code size, and solve times. CVXPYgen and the generated solvers are open-source.

math.OC↗

arXiv2021

Is Bang-Bang Control All You Need? Solving Continuous Control with Bernoulli Policies

Reinforcement learning (RL) for continuous control typically employs distributions whose support covers the entire action space. In this work, we investigate the colloquially known phenomenon that trained agents often prefer actions at the boundaries of that space. We draw theoretical connections to the emergence of bang-bang behavior in optimal control, and provide extensive empirical evaluation across a variety of recent RL algorithms. We replace the normal Gaussian by a Bernoulli distribution that solely considers the extremes along each action dimension - a bang-bang controller. Surprisingly, this achieves state-of-the-art performance on several continuous control benchmarks - in contrast to robotic hardware, where energy and maintenance cost affect controller choices. Since exploration, learning,and the final solution are entangled in RL, we provide additional imitation learning experiments to reduce the impact of exploration on our analysis. Finally, we show that our observations generalize to environments that aim to model real-world challenges and evaluate factors to mitigate the emergence of bang-bang solutions. Our findings emphasize challenges for benchmarking continuous control algorithms, particularly in light of potential real-world applications.

cs.LG↗

arXiv2021

Accelerating Quadratic Optimization with Reinforcement Learning

First-order methods for quadratic optimization such as OSQP are widely used for large-scale machine learning and embedded optimal control, where many related problems must be rapidly solved. These methods face two persistent challenges: manual hyperparameter tuning and convergence time to high-accuracy solutions. To address these, we explore how Reinforcement Learning (RL) can learn a policy to tune parameters to accelerate convergence. In experiments with well-known QP benchmarks we find that our RL policy, RLQP, significantly outperforms state-of-the-art QP solvers by up to 3x. RLQP generalizes surprisingly well to previously unseen problems with varying dimension and structure from different applications, including the QPLIB, Netlib LP and Maros-Meszaros problems. Code for RLQP is available at https://github.com/berkeleyautomation/rlqp.

cs.LG↗

arXiv2021

Online Mixed-Integer Optimization in Milliseconds

We propose a method to solve online mixed-integer optimization (MIO) problems at very high speed using machine learning. By exploiting the repetitive nature of online optimization, we are able to greatly speedup the solution time. Our approach encodes the optimal solution into a small amount of information denoted as strategy using the Voice of Optimization framework proposed in [BS21]. In this way the core part of the optimization algorithm becomes a multiclass classification problem which can be solved very quickly. In this work, we extend that framework to real-time and high-speed applications focusing on parametric mixed-integer quadratic optimization (MIQO). We propose an extremely fast online optimization algorithm consisting of a feedforward neural network (NN) evaluation and a linear system solution where the matrix has already been factorized. Therefore, this online approach does not require any solver nor iterative algorithm. We show the speed of the proposed method both in terms of total computations required and measured execution time. We estimate the number of floating point operations (flops) required to completely recover the optimal solution as a function of the problem dimensions. Compared to state-of-the-art MIO routines, the online running time of our method is very predictable and can be lower than a single matrix factorization time. We benchmark our method against the state-of-the-art solver Gurobi obtaining from two to three orders of magnitude speedups on examples from fuel cell energy management, sparse portfolio optimization and motion planning with obstacle avoidance.

math.OC↗

arXiv2020

From predictions to prescriptions: A data-driven response to COVID-19

The COVID-19 pandemic has created unprecedented challenges worldwide. Strained healthcare providers make difficult decisions on patient triage, treatment and care management on a daily basis. Policy makers have imposed social distancing measures to slow the disease, at a steep economic price. We design analytical tools to support these decisions and combat the pandemic. Specifically, we propose a comprehensive data-driven approach to understand the clinical characteristics of COVID-19, predict its mortality, forecast its evolution, and ultimately alleviate its impact. By leveraging cohort-level clinical data, patient-level hospital data, and census-level epidemiological data, we develop an integrated four-step approach, combining descriptive, predictive and prescriptive analytics. First, we aggregate hundreds of clinical studies into the most comprehensive database on COVID-19 to paint a new macroscopic picture of the disease. Second, we build personalized calculators to predict the risk of infection and mortality as a function of demographics, symptoms, comorbidities, and lab values. Third, we develop a novel epidemiological model to project the pandemic's spread and inform social distancing policies. Fourth, we propose an optimization model to re-allocate ventilators and alleviate shortages. Our results have been used at the clinical level by several hospitals to triage patients, guide care management, plan ICU capacity, and re-distribute ventilators. At the policy level, they are currently supporting safe back-to-work policies at a major institution and equitable vaccine distribution planning at a major pharmaceutical company, and have been integrated into the US Center for Disease Control's pandemic forecast.

stat.AP↗

arXiv2020

The Voice of Optimization

We introduce the idea that using optimal classification trees (OCTs) and optimal classification trees with-hyperplanes (OCT-Hs), interpretable machine learning algorithms developed by Bertsimas and Dunn [2017, 2018], we are able to obtain insight on the strategy behind the optimal solution in continuous and mixed-integer convex optimization problem as a function of key parameters that affect the problem. In this way, optimization is not a black box anymore. Instead, we redefine optimization as a multiclass classification problem where the predictor gives insights on the logic behind the optimal solution. In other words, OCTs and OCT-Hs give optimization a voice. We show on several realistic examples that the accuracy behind our method is in the 90%-100% range, while even when the predictions are not correct, the degree of suboptimality or infeasibility is very low. We compare optimal strategy predictions of OCTs and OCT-Hs and feedforward neural networks (NNs) and conclude that the performance of OCT-Hs and NNs is comparable. OCTs are somewhat weaker but often competitive. Therefore, our approach provides a novel insightful understanding of optimal strategies to solve a broad class of continuous and mixed-integer optimization problems.

math.OC↗

arXiv2020

OSQP: An Operator Splitting Solver for Quadratic Programs

We present a general-purpose solver for convex quadratic programs based on the alternating direction method of multipliers, employing a novel operator splitting technique that requires the solution of a quasi-definite linear system with the same coefficient matrix at almost every iteration. Our algorithm is very robust, placing no requirements on the problem data such as positive definiteness of the objective function or linear independence of the constraint functions. It can be configured to be division-free once an initial matrix factorization is carried out, making it suitable for real-time applications in embedded systems. In addition, our technique is the first operator splitting method for quadratic programs able to reliably detect primal and dual infeasible problems from the algorithm iterates. The method also supports factorization caching and warm starting, making it particularly efficient when solving parametrized problems arising in finance, control, and machine learning. Our open-source C implementation OSQP has a small footprint, is library-free, and has been extensively tested on many problem instances from a wide variety of application areas. It is typically ten times faster than competing interior-point methods, and sometimes much more when factorization caching or warm start is used. OSQP has already shown a large impact with tens of thousands of users both in academia and in large corporations.

math.OC↗