Bartolomeo Stellato - Differentiable Cutting-plane Layers for Mixed-integer Linear Optimization

Part of Discrete Optimization Talks: talks.discrete...
Bartolomeo Stellato - Princeton University
Speaker webpage: stellato.io/
Differentiable Cutting-plane Layers for Mixed-integer Linear Optimization
Abstract: We consider the problem of optimizing a sequence of mixed-integer linear optimization problems (MIPs) with varying parameters. By combining recent advances in cutting plane generation and differentiation through convex optimization problems, we construct a new differentiable architecture to predict the optimal cutting planes from the key parameters of each instance. During the offline phase, our method maximizes the cutting planes’ efficiency by evaluating the derivative of the solution of the continuous relaxations with respect to the cut-generating parameters. We show on preliminary computational results that, once trained, our architecture computes solutions with low infeasibility and suboptimality with fast and predictable execution times.
Biography: Bartolomeo Stellato is an Assistant Professor in the Department of Operations Research and Financial Engineering at Princeton University. Previously, he was a Postdoctoral Associate at the MIT Sloan School of Management and Operations Research Center. He received a DPhil (PhD) in Engineering Science from the University of Oxford, a MSc in Robotics, Systems and Control from ETH Zürich, and a BSc in Automation Engineering from Politecnico di Milano. He is the developer of OSQP, a widely used solver in mathematical optimization. Bartolomeo Stellato's awards include the NSF CAREER Award, the Franco Strazzabosco Young Investigator Award from ISSNAF, the Princeton SEAS Innovation Award in Data Science, the Best Paper Award in Mathematical Programming Computation, and the First Place Prize Paper Award in IEEE Transactions on Power Electronics. His research focuses on data-driven computational tools for mathematical optimization, machine learning, and optimal control.