Convexification by Averages

Master’s thesis

This is a work in non-convex stochastic optimization. The main concern consists of taking advantage of the natural probabilistic nature of these problems to make them more computationally tractable.

You can read the thesis or just take a peek at the defense’s slides to know what it is all about.

Throughout my Masters, I’ve worked in two technical collaboration projects between UFRJ and the Brazilian Operator of the National Electricity System (ONS). The last project applied the ideas in my thesis to show the possibility of improvement in the convergence of multistage stochastic optimization problems that are fundamental to the Brazilian distribution of energy. We wrote two technical reports (in Portuguese) for these projects, which can be found here and here.