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

• 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 & Technical Reports

• R. Paulavicius, J. Zilinskas, A. Grothey: Investigation of selection strategies in branch and bound algorithm with simplicial partitions and combination of Lipschitz bounds. Optimization Letters, published online 8 November 2009.
• M. Colombo, A. Grothey: A decomposition-based warm-start method for stochastic programming, Technical Report MS-09-008, School of Mathematics, The University of Edinburgh, June 2009.
• 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.
• M. Colombo, J. Gondzio, A. Grothey: A Warm-Start Approach for Large-Scale Stochastic Linear Programs, Mathematical Programming, published online 30 May 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. Technical Report ERGO-09-001, School of Mathematics, The University of Edinburgh, March 2009. Accepted for publication in Mathematical Programming Computation.
• J. Gondzio, A. Grothey, X. Yang: Asset-Liability Management Modelling with Risk Control by Stochastic Dominance. Technical Report ERGO-09-002, School of Mathematics, The University of Edinburgh, January 2009.
• A. Grothey, J. Hogg, K. Woodsend. M. Colombo, J. Gondzio: A Structure-Conveying Parallelisable Modelling Language for Mathematical Programming. In R. Ciegis, D. Henty, B. Kaagström, J. Zilinskas (eds.): "Parallel Scientific Computing and Optimization: Advances and Applications", Springer, 2009
• R. Paulavicius, J. Zilinskas, A. Grothey: Parallel branch and bound for global optimization with combination of Lipschitz bounds. Technical Report, Institute for Mathematics and Informatics, Vilnius, Lithuania. January 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.

Conference and Seminar talks

• Interior Point Methods, Nonlinear Models & Parallelisation, CARIPLO Stochastic Programming School 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.

Teaching

• Computing for Operational Research module on the OR MSc
• Simulation: Usage of Simul8 half module on the OR MSc
• Simulation: Stochastic Programming half module on the Financial Mathematics MSc

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