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https://github.com/Argonne-National-Laboratory/DSP
An open-source parallel optimization solver for structured mixed-integer programming
https://github.com/Argonne-National-Laboratory/DSP
julia mixed-integer-programming optimization parallel stochastic-optimization
Last synced: 3 months ago
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An open-source parallel optimization solver for structured mixed-integer programming
- Host: GitHub
- URL: https://github.com/Argonne-National-Laboratory/DSP
- Owner: Argonne-National-Laboratory
- License: other
- Created: 2014-11-13T23:24:20.000Z (about 10 years ago)
- Default Branch: release
- Last Pushed: 2023-07-13T14:49:27.000Z (over 1 year ago)
- Last Synced: 2024-08-02T00:25:50.144Z (6 months ago)
- Topics: julia, mixed-integer-programming, optimization, parallel, stochastic-optimization
- Language: C++
- Homepage:
- Size: 64.1 MB
- Stars: 81
- Watchers: 15
- Forks: 24
- Open Issues: 27
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
- awesome-power-analysis - DSP - An open-source parallel optimization solver for stochastic mixed-integer programming (Solvers)
README
# DSP
Release: 
[](https://zenodo.org/badge/latestdoi/26612881)
Documentation: [](https://dsp.readthedocs.io/?badge=stable)
Status: 
[](https://codecov.io/gh/Argonne-National-Laboratory/DSP)
--------
DSP is an open-source and parallel package that implements decomposition methods for **structured mixed-integer programming** problems. These are structured optimization problems in the following form:
minimize c^T x + \sum_{s=1}^S q_s^T y_s
subject to A x = b
T_s x + W_s y_s = h_s for s = 1, .., S
some x, y_s are integers
where x and y_s are decision variable vectors with dimensions n_1 and n_2, respectively, A, T_s and W_s are matrices of dimensions m_1 by n_1, m_2 by n_1 and m_2 by n_2, respectively, and c, q_s, b, and h_s are vectors of appropriate dimensions.
**DSP Solution Methods:**
* Extensive form solver (global solver)
* Serial/parallel dual decomposition (dual bounding solver)
* Serial/parallel Dantzig-Wolfe decomposition (global solver)
* Serial/parallel Benders decomposition
**Problem Types:**
* Two-stage stochastic mixed-integer linear programs
* Distributionally robust stochastic mixed-integer linear programs
* Structured mixed-integer linear programs
**Problem Input Formats:**
* SMPS file format for stochastic programs (`.dro` optionally for distributionally robust)
* MPS and DEC files for generic block-structured optimization problems
* Julia modeling package [DSPopt.jl](https://github.com/kibaekkim/DSPopt.jl)
## Installation
```
git clone --recursive https://github.com/Argonne-National-Laboratory/DSP.git
```
## Contributors
* [Kibaek Kim](https://kibaekkim.github.io/), Mathematics and Computer Science Division, Argonne National Laboratory.
* [Victor M. Zavala](http://zavalab.engr.wisc.edu/), Department of Chemical and Biological Engineering, University of Wisconsin-Madison.
* Christian Tjandraatmadja, Google Research.
* Yingqiu Zhang, Industrial and Systems Engineering, Virginia Tech.
* [Geunyeong Byeon](https://sites.google.com/asu.edu/geunyeongbyeon/home), Industrial Engineering, Arizona State University.
* Hideaki Nakao, Mathematics and Computer Science Division, Argonne National Laboratory.
*The contributors are listed in chronological order (first-come first-listed).*
## Key Publications
* Kibaek Kim. "[Dual Decomposition of Two-Stage Distributionally Robust Mixed-Integer Programming under the Wasserstein Ambiguity Set](http://www.optimization-online.org/DB_HTML/2020/04/7723.pdf)" Optimization Online, 2020
* Kibaek Kim and Briand Dandurand. "[Scalable Branching on Dual Decomposition of Stochastic Mixed-Integer Programming Problems](http://www.optimization-online.org/DB_HTML/2018/10/6867.html)" Mathematical Programming Computation 14(1), 2022
* Kibaek Kim, Cosmin Petra, and Victor Zavala. "[An Asynchronous Bundle-Trust-Region Method for Dual Decomposition of Stochastic Mixed-Integer Programming](https://epubs.siam.org/doi/abs/10.1137/17M1148189)" SIAM Journal on Optimization 29(1), 2019
* Kibaek Kim and Victor M. Zavala. "[Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs](https://link.springer.com/article/10.1007/s12532-017-0128-z)" Mathematical Programming Computation 10(2), 2017
## Acknowledgements
This material is based upon work supported by the U.S. Department of Energy, Office of Science, under contract number DE-AC02-06CH11357.