CRAY Colloquium: Optimization in Theory and Practice

The computer science colloquium takes place on Mondays from 11:15 a.m. - 12:15 p.m. This week's speaker, Stephen Wright (UW Madison), will be giving a talk titled "Optimization in Theory and Practice"

Abstract

Algorithms for continuous optimization problems have a rich history of design and innovation over the past several decades, in which mathematical analysis of their convergence and complexity properties plays a central role. Besides their theoretical properties, optimization algorithms are interesting also for their practical usefulness as computational tools for solving real-world problems. There are often gaps between the practical performance of an algorithm and what can be proved about it. These two facets of the field — the theoretical and the practical — interact in fascinating ways, each driving innovation in the other. This work focuses on the development of algorithms in two areas — linear programming and unconstrained minimization of smooth functions — outlining major algorithm classes in each area along with their theoretical properties and practical performance, and highlighting how advances in theory and practice have influenced each other in these areas.  In discussing theory, we focus mainly on non-asymptotic complexity, which are upper bounds on the amount of computation required by a given algorithm to find an approximate solution of problems in a given class.

Biography

Stephen J. Wright is the George B. Dantzig Professor of Computer Sciences, Sheldon Lubar Chair of Computer Sciences, and Hilldale Professor at the University of Wisconsin-Madison. He recently served a term as Chair of the Computer Sciences Department. His research is in computational optimization and its applications to data science and many other areas of science and engineering.

Prior to joining UW-Madison in 2001, Wright held positions at North Carolina State University (1986-1990) and Argonne National Laboratory (1990-2001). He has served as Chair of the Mathematical Optimization Society (MOS) from 2007-2010 and was elected to the Board of Trustees of SIAM for the maximum three terms, from 2005-2014. He was elected to the National Academy of Engineering in 2024. In the same year, he received the George B. Dantzig Prize, awarded jointly by MOS and SIAM, for "original research having a major impact on mathematical optimization."  He has been invited to give a plenary lecture at ICM 2026. In 2020, he was awarded the Khachiyan Prize by the INFORMS Optimization Society for "lifetime achievements in the area of optimization," and also received the NeurIPS Test of Time Award.  He became a Fellow of SIAM in 2011. In 2014, he won the W.R.G. Baker Award from IEEE for best paper in an IEEE archival publication during 2009-2011.

Wright is the author / coauthor of widely used text and reference books in optimization including "Primal Dual Interior-Point Methods" and "Numerical Optimization." He has published broadly on optimization theory, algorithms, software, and applications.

Wright served from 2014-2019 as Editor-in-Chief of the SIAM Journal on Optimization and previously served as Editor-in-Chief of Mathematical Programming Series B. He has also served as Associate Editor of Mathematical Programming Series A, SIAM Review, SIAM Journal on Scientific Computing, and several other journals and book series.