Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE)

SP models combine the paradigm of dynamic linear programming with modelling of random parameters, providing optimal decisions which hedge against future uncertainties. Advances in hardware as well as software techniques and solution methods have made SP a viable optimisation tool. We identify a growing need for modelling systems which support the creation and investigation of SP problems. Our SPInE system integrates a number of components which include a flexible modelling tool (based on stochastic extensions of the algebraic modelling languages AMPL and MPL), stochastic solvers, as well as special purpose scenario generators and database tools. We introduce an asset/liability management model and illustrate how SPInE can be used to create and process this model as a multistage SP application

Theoretical and Practical Advances on Smoothing for Extensive-Form Games

Sparse iterative methods, in particular first-order methods, are known to be among the most effective in solving large-scale two-player zero-sum extensive-form games. The convergence rates of these methods depend heavily on the properties of the distance-generating function that they are based on. We investigate the acceleration of first-order methods for solving extensive-form games through better design of the dilated entropy function---a class of distance-generating functions related to the domains associated with the extensive-form games. By introducing a new weighting scheme for the dilated entropy function, we develop the first distance-generating function for the strategy spaces of sequential games that has no dependence on the branching factor of the player. This result improves the convergence rate of several first-order methods by a factor of $\Omega(b^dd)$, where $b$ is the branching factor of the player, and $d$ is the depth of the game tree. Thus far, counterfactual regret minimization methods have been faster in practice, and more popular, than first-order methods despite their theoretically inferior convergence rates. Using our new weighting scheme and practical tuning we show that, for the first time, the excessive gap technique can be made faster than the fastest counterfactual regret minimization algorithm, CFR+, in practice

Three Puzzles on Mathematics, Computation, and Games

In this lecture I will talk about three mathematical puzzles involving mathematics and computation that have preoccupied me over the years. The first puzzle is to understand the amazing success of the simplex algorithm for linear programming. The second puzzle is about errors made when votes are counted during elections. The third puzzle is: are quantum computers possible?Comment: ICM 2018 plenary lecture, Rio de Janeiro, 36 pages, 7 Figure

A Hybrid Multi-GPU Implementation of Simplex Algorithm with CPU Collaboration

The simplex algorithm has been successfully used for many years in solving linear programming (LP) problems. Due to the intensive computations required (especially for the solution of large LP problems), parallel approaches have also extensively been studied. The computational power provided by the modern GPUs as well as the rapid development of multicore CPU systems have led OpenMP and CUDA programming models to the top preferences during the last years. However, the desired efficient collaboration between CPU and GPU through the combined use of the above programming models is still considered a hard research problem. In the above context, we demonstrate here an excessively efficient implementation of standard simplex, targeting to the best possible exploitation of the concurrent use of all the computing resources, on a multicore platform with multiple CUDA-enabled GPUs. More concretely, we present a novel hybrid collaboration scheme which is based on the concurrent execution of suitably spread CPU-assigned (via multithreading) and GPU-offloaded computations. The experimental results extracted through the cooperative use of OpenMP and CUDA over a notably powerful modern hybrid platform (consisting of 32 cores and two high-spec GPUs, Titan Rtx and Rtx 2080Ti) highlight that the performance of the presented here hybrid GPU/CPU collaboration scheme is clearly superior to the GPU-only implementation under almost all conditions. The corresponding measurements validate the value of using all resources concurrently, even in the case of a multi-GPU configuration platform. Furthermore, the given implementations are completely comparable (and slightly superior in most cases) to other related attempts in the bibliography, and clearly superior to the native CPU-implementation with 32 cores.Comment: 12 page