Evangelos Theodorou

Alex Oshin, Rahul Vodeb Ghosh, Augustinos D. Saravanos et al.

We propose an always-feasible quadratic programming (QP) optimizer, FlexQP, which is based on an exact relaxation of the QP constraints. If the original constraints are feasible, then the optimizer finds the optimal solution to the original QP. On the other hand, if the constraints are infeasible, the optimizer identifies a solution that minimizes the constraint violation in a sparse manner. FlexQP scales favorably with respect to the problem dimension, is robust to both feasible and infeasible QPs with minimal assumptions on the problem data, and can be effectively warm-started. We subsequently apply deep unfolding to improve our optimizer through data-driven techniques, leading to an accelerated Deep FlexQP. By learning dimension-agnostic feedback policies for the parameters from a small number of training examples, Deep FlexQP generalizes to problems with larger dimensions and can optimize for many more iterations than it was initially trained for. Our approach outperforms two recently proposed state-of-the-art accelerated QP approaches on a suite of benchmark systems including portfolio optimization, classification, and regression problems. We provide guarantees on the expected performance of our deep QP optimizer through probably approximately correct (PAC) Bayes generalization bounds. These certificates are used to design an accelerated sequential quadratic programming solver that solves nonlinear optimal control and predictive safety filter problems faster than traditional approaches. Overall, our approach is very robust and greatly outperforms existing non-learning and learning-based optimizers in terms of both runtime and convergence to the optimal solution across multiple classes of NLPs.

Panagiotis Theodoropoulos, Juno Nam, Evangelos Theodorou et al.

Transportation on graphs is a fundamental challenge across many domains, where decisions must respect topological and operational constraints. Despite the need for actionable policies, existing graph-transport methods lack this expressivity. They rely on restrictive assumptions, fail to generalize across sparse topologies, and scale poorly with graph size and time horizon. To address these issues, we introduce Generalized Schrödinger Bridge on Graphs (GSBoG), a novel scalable data-driven framework for learning executable controlled continuous-time Markov chain (CTMC) policies on arbitrary graphs under state cost augmented dynamics. Notably, GSBoG learns trajectory-level policies, avoiding dense global solvers and thereby enhancing scalability. This is achieved via a likelihood optimization approach, satisfying the endpoint marginals, while simultaneously optimizing intermediate behavior under state-dependent running costs. Extensive experimentation on challenging real-world graph topologies shows that GSBoG reliably learns accurate, topology-respecting policies while optimizing application-specific intermediate state costs, highlighting its broad applicability and paving new avenues for cost-aware dynamical transport on general graphs.

Jiawei Wang, Arshiya Taj Abdul, Evangelos A. Theodorou

Robust trajectory optimization enables autonomous systems to operate safely under uncertainty by computing control policies that satisfy the constraints for all bounded disturbances. However, these problems often lead to large Second Order Conic Programming (SOCP) constraints, which are computationally expensive. In this work, we propose the CUDA Nonlinear Robust Trajectory Optimization (cuNRTO) framework by introducing two dynamic optimization architectures that have direct application to robust decision-making and are implemented on CUDA. The first architecture, NRTO-DR, leverages the Douglas-Rachford (DR) splitting method to solve the SOCP inner subproblems of NRTO, thereby significantly reducing the computational burden through parallel SOCP projections and sparse direct solves. The second architecture, NRTO-FullADMM, is a novel variant that further exploits the problem structure to improve scalability using the Alternating Direction Method of Multipliers (ADMM). Finally, we provide GPU implementations of the proposed methodologies using custom CUDA kernels for SOC projection steps and cuBLAS GEMM chains for feedback gain updates. We validate the performance of cuNRTO through simulated experiments on unicycle, quadcopter, and Franka manipulator models, demonstrating speedups of up to 139.6$\times$. More details are available at https://cunrto.github.io.

Evangelos Theodorou, Shengjie Wang, Yanfei Kang et al.

The main objective of the M5 competition, which focused on forecasting the hierarchical unit sales of Walmart, was to evaluate the accuracy and uncertainty of forecasting methods in the field in order to identify best practices and highlight their practical implications. However, whether the findings of the M5 competition can be generalized and exploited by retail firms to better support their decisions and operation depends on the extent to which the M5 data is sufficiently similar to unit sales data of retailers that operate in different regions, sell different types of products, and consider different marketing strategies. To answer this question, we analyze the characteristics of the M5 time series and compare them with those of two grocery retailers, namely Corporación Favorita and a major Greek supermarket chain, using feature spaces. Our results suggest that there are only small discrepancies between the examined data sets, supporting the representativeness of the M5 data.