The increasing availability of massive data sets poses a series of challenges for machine learning. Prominent among these is the need to learn models under hardware or human resource constraints. In such resource-constrained settings, a simple yet powerful approach is to operate on small subsets of the data. Coresets are weighted subsets of the data that provide approximation guarantees for the optimization objective. However, existing coreset constructions are highly model-specific and are limited to simple models such as linear regression, logistic regression, and $k$-means. In this work, we propose a generic coreset construction framework that formulates the coreset selection as a cardinality-constrained bilevel optimization problem. In contrast to existing approaches, our framework does not require model-specific adaptations and applies to any twice differentiable model, including neural networks. We show the effectiveness of our framework for a wide range of models in various settings, including training non-convex models online and batch active learning.

A transition to a low-carbon electricity supply is crucial to limit the impacts of climate change. Reducing carbon emissions could help prevent the world from reaching a tipping point, where runaway emissions are likely. Runaway emissions could lead to extremes in weather conditions around the world -- especially in problematic regions unable to cope with these conditions. However, the movement to a low-carbon energy supply can not happen instantaneously due to the existing fossil-fuel infrastructure and the requirement to maintain a reliable energy supply. Therefore, a low-carbon transition is required, however, the decisions various stakeholders should make over the coming decades to reduce these carbon emissions are not obvious. This is due to many long-term uncertainties, such as electricity, fuel and generation costs, human behaviour and the size of electricity demand. A well choreographed low-carbon transition is, therefore, required between all of the heterogenous actors in the system, as opposed to changing the behaviour of a single, centralised actor. The objective of this thesis is to create a novel, open-source agent-based model to better understand the manner in which the whole electricity market reacts to different factors using state-of-the-art machine learning and artificial intelligence methods. In contrast to other works, this thesis looks at both the long-term and short-term impact that different behaviours have on the electricity market by using these state-of-the-art methods.

In today's digital economy, there are numerous situations where many players have to compete for limited resources. For instance, on ride-hailing platforms such as Uber and Lyft, drivers pick an area to go and then compete with other drivers for riding requests at that area; on content platforms such as Youtube and Tiktok, content providers choose a style/theme for their contents and then compete with other providers of the same theme for Internet traffic interested in that theme; on digital markets such as Amazon and Wayfair, retailers choose a particular product category (e.g., pet supplies or home&kitchen, etc.) to focus on and compete with other retailers for sale demands on that category. All these problems share the following similarity: (1) many players make a choice (e.g., a ride-sharing area or a content theme) from multiple options and their payoffs has negative externalities with other players of the same choice due to competition; (2) players have high uncertainty about the payoffs of their choices since the entire system's demand of riding requests or Internet traffic are unknown to an individual player, whereas the system usually has much fined-grained information about these uncertainties. An important operational task common in all these applications is the following: how can the system (the sender) strategically reveal her privileged information to influence the decisions of so many players (the receivers) in order to steer their collective decisions towards a desirable social outcome? This task, also known as information design or persuasion [1, 2, 3, 4], has attracted extensive recent interests.

This paper presents a new optimization approach to causal estimation. Given data that contains covariates and an outcome, which covariates are causes of the outcome, and what is the strength of the causality? In classical machine learning (ML), the goal of optimization is to maximize predictive accuracy. However, some covariates might exhibit a non-causal association to the outcome. Such spurious associations provide predictive power for classical ML, but they prevent us from causally interpreting the result. This paper proposes CoCo, an optimization algorithm that bridges the gap between pure prediction and causal inference. CoCo leverages the recently-proposed idea of environments, datasets of covariates/response where the causal relationships remain invariant but where the distribution of the covariates changes from environment to environment. Given datasets from multiple environments -- and ones that exhibit sufficient heterogeneity -- CoCo maximizes an objective for which the only solution is the causal solution. We describe the theoretical foundations of this approach and demonstrate its effectiveness on simulated and real datasets. Compared to classical ML and existing methods, CoCo provides more accurate estimates of the causal model.

Decision-making problems under uncertainty have broad applications in operations research, machine learning, engineering, and economics. When the data involves uncertainty due to measurement error, insufficient sample size, contamination, and anomalies, or model misspecification, distributionally robust optimization (DRO) is a promising approach to data-driven optimization, by seeking a minimax robust optimal decision that minimizes the expected loss under the most adverse distribution within a given set of relevant distributions, called ambiguity set. It provides a principled framework to produce a solution with more promising out-of-sample performance than the traditional sample average approximation (SAA) method for stochastic programming [86]. We refer to [81] for a recent survey on DRO. At the core of DRO is the choice of the ambiguity set. Ideally, a good ambiguity set should take account of the properties of practical applications while maintaining the computational tractability of resulted DRO formulation; and it should be rich enough to contain all distributions relevant to the decision-making but, at the same time, should not include unnecessary distributions that lead to overly conservative decisions. Various DRO formulations have been proposed in the literature. Among them, the ambiguity set based on Wasserstein distance has recently received much attention [104, 67, 17, 46]. The Wasserstein distance incorporates the geometry of sample space, and thereby is suitable for comparing distributions with non-overlapping supports and hedging against data perturbations [46].

Several methods have been proposed to solve such derivative-free stochastic optimization problems, and we refer the reader to [3, 38] for surveys of these methods. A popular class of these methods estimate the gradients using function values and employ standard gradient-based optimization methods using these estimators. Quasi-Newton methods are recognized as one of the most powerful methods for solving deterministic optimization problems. These methods build quadratic models of the objective information using only gradient information. Recently, researchers have been adapting these methods for stochastic settings when the gradient information is available. The empirical results in [15] indicate that a careful implementation of these methods can be efficient compared with the popular stochastic gradient methods. We adapt these methods to make them suitable for situations where the gradients are estimated using function values. We propose finite-difference derivative-free stochastic quasi-Newton methods for solving (1) by exploiting common random number (CRN) evaluations of f.

The Conditional Preference Network (CP-net) graphically represents user's qualitative and conditional preference statements under the ceteris paribus interpretation. The constrained CP-net is an extension of the CP-net, to a set of constraints. The existing algorithms for solving the constrained CP-net require the expensive dominance testing operation. We propose three approaches to tackle this challenge. In our first solution, we alter the constrained CP-net by eliciting additional relative importance statements between variables, in order to have a total order over the outcomes. We call this new model, the constrained Relative Importance Network (constrained CPR-net). Consequently, We show that the Constrained CPR-net has one single optimal outcome (assuming the constrained CPR-net is consistent) that we can obtain without dominance testing. In our second solution, we extend the Lexicographic Preference Tree (LP-tree) to a set of constraints. Then, we propose a recursive backtrack search algorithm, that we call Search-LP, to find the most preferable outcome. We prove that the first feasible outcome returned by Search-LP (without dominance testing) is also preferable to any other feasible outcome. Finally, in our third solution, we preserve the semantics of the CP-net and propose a divide and conquer algorithm that compares outcomes according to dominance testing.

Integer programs provide a powerful abstraction for representing a wide range of real-world scheduling problems. Despite their ability to model general scheduling problems, solving large-scale integer programs (IP) remains a computational challenge in practice. The incorporation of more complex objectives such as robustness to disruptions further exacerbates the computational challenge. We present NICE (Neural network IP Coefficient Extraction), a novel technique that combines reinforcement learning and integer programming to tackle the problem of robust scheduling. More specifically, NICE uses reinforcement learning to approximately represent complex objectives in an integer programming formulation. We use NICE to determine assignments of pilots to a flight crew schedule so as to reduce the impact of disruptions. We compare NICE with (1) a baseline integer programming formulation that produces a feasible crew schedule, and (2) a robust integer programming formulation that explicitly tries to minimize the impact of disruptions. Our experiments show that, across a variety of scenarios, NICE produces schedules resulting in 33\% to 48\% fewer disruptions than the baseline formulation. Moreover, in more severely constrained scheduling scenarios in which the robust integer program fails to produce a schedule within 90 minutes, NICE is able to build robust schedules in less than 2 seconds on average.

An informative measurement is the most efficient way to gain information about an unknown state. We give a first-principles derivation of a general-purpose dynamic programming algorithm that returns a sequence of informative measurements by sequentially maximizing the entropy of possible measurement outcomes. This algorithm can be used by an autonomous agent or robot to decide where best to measure next, planning a path corresponding to an optimal sequence of informative measurements. This algorithm is applicable to states and controls that are continuous or discrete, and agent dynamics that is either stochastic or deterministic; including Markov decision processes. Recent results from approximate dynamic programming and reinforcement learning, including on-line approximations such as rollout and Monte Carlo tree search, allow an agent or robot to solve the measurement task in real-time. The resulting near-optimal solutions include non-myopic paths and measurement sequences that can generally outperform, sometimes substantially, commonly-used greedy heuristics such as maximizing the entropy of each measurement outcome. This is demonstrated for a global search problem, where on-line planning with an extended local search is found to reduce the number of measurements in the search by half.

Distributed computing enables large-scale computation tasks to be processed over multiple workers in parallel. However, the randomness of communication and computation delays across workers causes the straggler effect, which may degrade the performance. Coded computation helps to mitigate the straggler effect, but the amount of redundant load and their assignment to the workers should be carefully optimized. In this work, we consider a multi-master heterogeneous-worker distributed computing scenario, where multiple matrix multiplication tasks are encoded and allocated to workers for parallel computation. The goal is to minimize the communication plus computation delay of the slowest task. We propose worker assignment, resource allocation and load allocation algorithms under both dedicated and fractional worker assignment policies, where each worker can process the encoded tasks of either a single master or multiple masters, respectively. Then, the non-convex delay minimization problem is solved by employing the Markov's inequality-based approximation, Karush-Kuhn-Tucker conditions, and successive convex approximation methods. Through extensive simulations, we show that the proposed algorithms can reduce the task completion delay compared to the benchmarks, and observe that dedicated and fractional worker assignment policies have different scopes of applications.