Andreas Grothey

Senior Lecturer

School of Mathematics
Room 6215, JCMB
The King's Buildings
University of Edinburgh
Edinburgh, EH9 3JZ

email: A.Grothey@ed.ac.uk
phone: +44-131-6505747

Ich

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

[1] (c) 2011 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.