## Andreas Grothey## Senior Lecturer
Room 6215, JCMB
School of Mathematics University of Edinburgh Peter Guthrie Tait Road Edinburgh, EH9 3FD email: A.Grothey@ed.ac.uk phone: +44-131-6505747 |

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.

*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.

- Stochastic and Mixed Integer Problems in Optimal Power Flow
- OOPS: Object Oriented Parallel Solver.
- Warmstarting Interior Point Methods.
- Efficient solution techniques for Stochastic Programming.
- Parallelisable structure exploiting modelling language.
- Parallelisation of Interior Point Methods on various platforms.

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

**T. Schulze, A. Grothey, K.I.M. McKinnon**: A Stabilised Scenario Decomposition Algorithm Applied to Stochastic Unit Commitment Problems. Optimization Online, July 2015.**A. Grothey, F. Qiang**: PSMG-A Parallel Structured Model Generator for Mathematical Programming. Optimization Online, Oct 2014.**N.-Y. Chiang, A. Grothey**: Solving Security Constrained Optimal Power Flow Problems by a Structure Exploiting Interior Point Method. Optimization and Engineering. Published online Feb 2014.**P.A. Trodden, W. A. Bukhsh, A. Grothey, K. I. M. McKinnon**: Optimization based Islanding of power Networks using Piecewise Linear AC Power Flow. IEEE Transactions on Power Systems. Volume 29/3 (2014), pp 1212 - 1220.^{1}**P.A. Trodden, W. A. Bukhsh, A. Grothey, K. I. M. McKinnon**: Controlled islanding as robust operator response under uncertainty. In*Handbook of Risk Management in Energy Production and Trading*, editors Raimund Kovacevic, Georg Pflug and Maria Teresa Vespucci. Springer 2013.**W. A. Bukhsh, A. Grothey, K. I. M. McKinnon and P. A. Trodden**: Local Solutions of Optimal Power Flow. IEEE Transactions on Power Systems, Volume 28/4 (2013), pp 4780-4788.^{1}**M. Colombo, A. Grothey**: A decomposition-based warm-start method for stochastic programming. Computational Optimization and Applications, Volume 55, Issue 2 (2013), pp 311-340.**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.**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}**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. IMA Journal of Management Mathematics Volume 23 (2012), Issue 4, pp. 413-434.**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 10^{9}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 10^{9}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.

- Contingency Generation for Optimal Power Flow by Interior Point Methods, ISMP 15, July 2015, Pittsburgh, PA.
- Interior Point Methods for Optimal Power Flow, IMA Conference on Numerical Linear Algebra and Optimization, September 2014, Birmingham, UK.
- Controlled islanding as robust operator response under uncertainty, Workshop on Risk Management in Energy, September 2013, Vienna, Austria.
- Contingency Generation for Optimal Power Flow by Interior Point Methods, ICCOPT, July 2013, Lisbon, Portugal.
- MINLP formulation for blackout prevention by deliberate islanding of power systems, XXVI EURO-INFORMS, June 2013, Rome, Italy.
- Controlled islanding as robust operator response for power network disturbances under uncertainty, CORMSIS, June 2013, Southampton, UK.
- A MINLP approach to forming secure islands in electricity networks, GOR 12, September 2012, Hannover, Germany.
- Reduced Tree Interior Point Method for Stochastic Programming, ISMP 12, August 2012, Berlin, Germany.
- 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 10
^{9}, SIAM Parallel Processing 2006, 22-24 February 2006, San Francisco. - How to solve QPs with 10
^{9}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.

*Fundamentals of Operational Research**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*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 visitors:

- 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)