Andreas Grothey

About me

Born in Göttingen, Germany on 23 June 1971. Then educated at Hainberg Gymnasium and the Georg-August-Universität Göttingen. Came to the University of Dundee for an MSc in 1994 and I have been in Edinburgh since 1996 (as a lecturer from 2005). I have received a PhD from the University of Edinburgh in Summer 2001.

Research Grants

• Warmstarting Techniques for Stochastic Programming Problems solved by Interior Point Methods. EPSRC (first grant) EP/E036910/1, April 2007-March 2009. With Marco Colombo.
• Global Inference for Summarization Using Integer Linear Programming. EPSRC grant EP/F055765/1 (PI: Mirella Lapata), August 2008-July 2011. I am Co-Investigator on this project.

Research Interests

• Stochastic and Mixed Integer Problems in Optimal Power Flow
• OOPS: Object Oriented Parallel Solver.

OOPS has been used to solve a QP problem with 1 010 507 968 variables and 352 875 799 constraints! Watch this space

• Warmstarting Interior Point Methods.

• Efficient solution techniques for Stochastic Programming.

• Parallelisable structure exploiting modelling language.

• Parallelisation of Interior Point Methods on various platforms.

Publications

• M. Colombo, A. Grothey: A decomposition-based warm-start method for stochastic programming. Computational Optimization and Applications, published online Jan 2013.
• P. A. Trodden, W. A. Bukhsh, A. Grothey, and K. I. M. McKinnon: MILP Formulation for controlled islanding of Power Networks. International Journal of Electrical Power & Energy Systems, Volume 45, Issue 1, February 2013, pp 501-508.
• A. Grothey, Xinan Yang: Approximate dynamic programming with Bézier curves/surfaces for top-percentile traffic routing. European Journal of Operations Research 218/3 (2012), pp 698-707.
• W. A. Bukhsh, A. Grothey, K. I. M. McKinnon and P. A. Trodden: Local Solutions of Optimal Power Flow. Technical Report ERGO-11-017, School of Mathematics, The University of Edinburgh, November 2011.¹
• P. A. Trodden, W. A. Bukhsh, A. Grothey, and K. I. M. McKinnon: MILP islanding of power networks by bus splitting. Technical Report ERGO-11-016, School of Mathematics, The University of Edinburgh, November 2011.¹
• N.-Y. Chiang, A. Grothey: Solving Security Constrained Optimal Power Flow Problems by a Structure Exploiting Interior Point Method. Technical Report ERGO-11-014, School of Mathematics, The University of Edinburgh, June 2011.
• R. Paulavičius, J. Žilinskas, A. Grothey: Parallel branch and bound for global optimization with combination of Lipschitz bounds. Optimization Methods and Software Volume 26/3 (2011), pp 487-498.
• A. Grothey: Massively Parallel Asset and Liability Management in Mario Guarracino et al. (ed.), Euro-Par 2010 Parallel Processing Workshops, Lecture Notes in Computer Sciences 6586 (2011), pp 423-430.
• M. Colombo, J. Gondzio, A. Grothey: A Warm-Start Approach for Large-Scale Stochastic Linear Programs, Mathematical Programming, 127/2 (2011), pp 371-397.
• R. Paulavičius, J. Žilinskas, A. Grothey: Investigation of selection strategies in parallel branch and bound algorithm with simplicial partitions. Proceedings of 2010 IEEE International Conference on Cluster Computing Workshops and Posters, September 2010.
• A. Grothey, Xinan Yang: Solving the Top-Percentile Traffic Routing Problem by Approximate Dynamic Programming. Technical Report ERGO-10-003, School of Mathematics, The University of Edinburgh, February 2010.
• Xi Yang, J. Gondzio, A. Grothey: Asset-Liability Management Modelling with Risk Control by Stochastic Dominance. Journal of Asset Management 11 (2010), pp 73-93.
• R. Paulavičius, J. Žilinskas, A. Grothey: Investigation of selection strategies in branch and bound algorithm with simplicial partitions and combination of Lipschitz bounds. Optimization Letters, Volume 4, Issue 2 (2010), pp 173-183.
• M. Colombo, A. Grothey: A multi-step interior point warm-start approach for large-scale stochastic linear programming, Technical Report MS-09-007, School of Mathematics, The University of Edinburgh, June 2009.
• A. Grothey: Financial Applications: Parallel Portfolio Optimization. In R. Trobec, M. Vajtersic, P. Zinterhof (eds.): "Parallel Computing: Numerics, Applications, and Trends", Springer, 2009
• J. Gondzio, A. Grothey: Exploiting Structure in Parallel Implementation of Interior Point Methods for Optimization. Computational Management Science, Volume 6 (2009), Issue 2, pp 135-160.
• A. Grothey, X. Yang: Top percentile traffic routing by Dynamic Programming. Technical Report ERGO-09-006, School of Mathematics, The University of Edinburgh, March 2009.
• M. Colombo, A. Grothey, J. Hogg, K. Woodsend, J. Gondzio: A Structure-Conveying Modelling Language for Mathematical and Stochastic Programming. Mathematical Programming Computation, Volume 1/4 (2009), pp 223-247.
• A. Grothey, J. Hogg, K. Woodsend. M. Colombo, J. Gondzio: A Structure-Conveying Parallelisable Modelling Language for Mathematical Programming. In R. Čiegis, D. Henty, B. Kågström, J. Žilinskas (eds.): "Parallel Scientific Computing and Optimization: Advances and Applications", Springer, 2009
• J. Gondzio, A. Grothey: A New Unblocking Technique to Warmstart Interior Point Methods based on Sensitivity Analysis, SIAM J. Optim. Volume 19, Issue 3, pp. 1184-1210 (2008)
• J. Gondzio, A. Grothey: Solving Nonlinear Financial Planning Problems with 10⁹ Decision Variables on Massively Parallel Architectures, in M. Constantino, C.A. Brebbia (ed.), Computational Finance and its Applications II, WIT Transactions on Modelling and Simulation 43.
• J. Gondzio, A. Grothey: Solving Distribution Planning Problems with the Interior Point Method, Technical Report MS-06-001, School of Mathematics, The University of Edinburgh, February 2006.
• J. Gondzio, A. Grothey: Direct Solution of Linear Systems of Size 10⁹ Arising in Optimization with Interior Point Methods in R. Wyrzykowski (ed.), Parallel Processing and Applied Mathematics, Lecture Notes in Computer Sciences 3911.
• J. Gondzio, A. Grothey: Solving Nonlinear Portfolio Optimization Problems with the Primal-Dual Interior Point Method, European Journal of Operational Research 181 (2007), pp. 1019-1029.
• J. Gondzio, A. Grothey: Parallel Interior Point Solver for Structured Quadratic Programs: Application to Financial Planning Problems, Annals of Operations Research 152 (2007), pp. 319-339.
• A. Grothey: A Second Order Trust Region Bundle Method for Nonconvex Nonsmooth Optimization, University of Edinburgh Report MS02-001, June 2002.
• J. Gondzio, A. Grothey: Re-optimization with the Primal-Dual Interior Point Method, University of Edinburgh Report MS01-004, July 2001. Published in: SIAM J. Opt, 13 (2003), pp. 842-864 .
• A. Grothey: Decomposition Methods for Nonlinear Nonconvex Optimization Problems, PhD Thesis, University of Edinburgh, June 2001.
• A.Grothey, K.I.M.McKinnon: Decomposing the optimization of a gas lifted oil well network, University of Edinburgh Report MS00-005, March 2000.
• A.Grothey, S.Leyffer, K.I.M.McKinnon: A note on feasibility in Benders Decomposition, University of Dundee Report NA\188, January 1999.
• A.Grothey, K.I.M.McKinnon: A Superlinearly Convergent Trust Region Bundle Method, University of Edinburgh Report MS98-015, December 1998.
• R.Fletcher, A.Grothey, S.Leyffer: Computing sparse Hessian and Jacobian approximations with optimal hereditary properties,Large-scale optimization with applications, Part II (Minneapolis, MN, 1995), 37--52, IMA Vol. Math. Appl., 93, Springer, New York, 1997.

Copyright Notice

Conference and Seminar talks

• Interior Point Crashstarts for Stochastic Programming, SIOPT 11, May 2011, Darmstadt, Germany.
• Interior Point Crashstarts for Stochastic Programming, LANCS Workshop on Modelling and Solving Complex Optimisation Problems, April 2011, Lancaster, UK.
• Massively Parallel Asset and Liability Management, HPCF2010, August 2010, Ischia, Italy.
• Interior Point Methods Applied to (n-1) Secure and Stochastic Optimal Power Flow Formulations, Optimization in Energy Systems Workshop, August 2010, Snowbird, UT.
• A Structure-Conveying Modelling Language for Mathematical and Stochastic Programming, EURO XXIV, July 2010, Lisbon, Portugal.
• Interior Point Methods, Nonlinear Models & Parallelisation, CARIPLO Stochastic Programming School 2009, November 2009, Bergamo, Italy.
• A Decomposition-based Warmstart Method for Stochastic Programming, 20th ISMP, 23-28 August 2009, Chicago, IL.
• Interior Point Warmstarts applied to Stochastic Programming Problems, SIOPT 2008, 10-13 May 2008, Boston, MA.
• A Structure-Conveying Modelling Language for Mathematical Programming, INYS-HPC, February 2008, Druskininkai, Lithuania.
• Solving Very Large Portfolio Optimization Problems on Massively Parallel Architectures, SPXI 07, August 2007, Vienna.
• Unblocking Heuristics for Warmstarting Interior Point Methods, ICIAM 07, July 2007, Zürich.
• Solving Very Large Financial Planning Problems on Blue Gene, AURORA 07, June 2007, Vienna.
• Unblocking Heuristics for Warmstarting Interior Point Methods, ISMP 2006, August 2006, Rio de Janeiro.
• Direct parallel solution of linear systems of size 10⁹, SIAM Parallel Processing 2006, 22-24 February 2006, San Francisco.
• How to solve QPs with 10⁹ variables, Numerical Analysis Conference 2005, June 2005, Dundee.
• Towards an Interior-Point SQP Scheme with Warmstarts, SIOPT 2005, 16-19 May 2005, Stockholm, Sweden.
• An Object-Oriented Parallel Interior Point Solver for Structured Nonlinear Programming Problems, INFORMS/CORS 2004, 14-19 May 2004, Banff, Canada.
• Solving Very Large Stochastic Programming Problems by a Parallel Object Oriented Interior Point Solver, EUMOptFin2, 10-14 November 2003, Agia Napa, Cyprus.
• An Object Oriented Parallel Interior Point Solver for Structured QP and NLP, ISMP2003, 18-22 August 2003, Copenhagen, Denmark.
• An Object Oriented Parallel Interior Point Solver for Structured QP and NLP, Numerical Analysis Conference 2003, 24-27 June 2003, Dundee.
• Global Convergence of a Trust Region Bundle Method for Nonconvex Nonsmooth Optimization, FGP Optimization 2002, 9-13 September 2002, Cottbus, Germany.
• An Augmented Lagrangian Relaxation Approach to the Decomposition of Process Engineering Problems, ISMP2000, 7-11 August 2000, Atlanta, USA.
• Solving a feed-mix pooling problem in agriculture, OR41, 14-16 September 1999, Edinburgh.
• Bundle Methods and Decomposition, ERGO, December 1998.
• Bundle Methods and Applications to Decomposition, ERGO, January 1998.
• A comparison of the treatment of nonsmooth constraints in SQP, ERGO, May 1997.

Current Teaching

• Discrete Programming and Game Theory/Dynamic and Integer Programming half of course/module on the OR MSc and y2/3 for Maths Undergraduates.
• Computing for Operational Research part of module on the OR MSc
• Advanced Computing for Operational Research module on the OR MSc
• Stochastic Optimization Methods in Finance module on the OR MSc

Past Teaching

• Simulation: Usage of Simul8 half module on the OR MSc, 2008/09 - 2010/11.
• Simulation: Stochastic Programming half module on the Financial Mathematics MSc, 2009/10.
• Mathematical Programming module on the Financial Mathematics MSc, 2005/06-2007/08

HPC Europa

• Algirdas Lanciskas (June-Aug 2011)
• Aránzazu Arrondo (January-March 2011)
• Leonidas Sakalauskas (Nov/Dec 2009)
• Remigijus Paulavicius (June-Aug 2008)
• Sergejus Ivanikovas (June-Aug 2008)
• Virginijus Marcinkeviclus (Aug/Sep 2007)

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