Recently there has been intensive interest on approximation of the NP-hard submodular maximization problem due to their theoretical and practical significance. In this work, we extend this line of research by focusing on the simultaneous approximation of multiple submodular function maximization. We address existence and nonexistence results for both deterministic and randomized approximation when the … Read more
Scarf’s min-max order formula for the distribution-free risk-neutral newsvendor problem is a classical result in the field of inventory management. The min-max order formula provides, in closed-form, the order quantity that maximizes the worst-case expected profit associated with the demand of a single product when only the mean and variance of the product’s demand distribution, … Read more
Many combinatorial optimization problems have natural formulations as submodular minimization problems over well-studied combinatorial structures. A standard approach to these problems is to linearize the objective function by introducing new variables and constraints, yielding an extended formulation. We propose two new approaches for constrained submodular minimization problems. The first is a linearization approach that requires … Read more
We consider solving the $\ell_1$-regularized least-squares ($\ell_1$-LS) problem in the context of sparse recovery, for applications such as compressed sensing. The standard proximal gradient method, also known as iterative soft-thresholding when applied to this problem, has low computational cost per iteration but a rather slow convergence rate. Nevertheless, when the solution is sparse, it often … Read more
We consider the decision problem asking whether a partial rational symmetric matrix with an all-ones diagonal can be completed to a full positive semidefinite matrix of rank at most $k$. We show that this problem is $\NP$-hard for any fixed integer $k\ge 2$. Equivalently, for $k\ge 2$, it is $\NP$-hard to test membership in the … Read more
Eliciting the utility of a decision maker is difficult. In this paper, we develop a flexible decision making framework, which uses the concept of utility robustness to address the problem of ambiguity and inconsistency in utility assessments. The ideas are developed by giving a probabilistic interpretation to utility and marginal utility functions. Boundary and additional … Read more
We study scheduling as a means to address the increasing energy concerns in manufacturing enterprises. In particular, we consider a flow shop scheduling problem with a restriction on peak power consumption, in addition to the traditional time-based objectives. We investigate both mathematical programming and combinatorial approaches to this scheduling problem, and test our approaches with … Read more
After an introduction to main ideas of semi-infinite optimization, this article surveys recent developments in theory and numerical methods for standard and generalized semi-infinite optimization problems. Particular attention is paid to connections with mathematical programs with complementarity constraints, lower level Wolfe duality, semi-smooth approaches, as well as branch and bound techniques in adaptive convexification procedures. … Read more
We present a new tree-search algorithm for solving mixed-integer nonlinear programs (MINLPs). Rather than relying on computationally expensive nonlinear solves at every node of the branch-and-bound tree, our algorithm solves a quadratic approximation at every node. We show that the resulting algorithm retains global convergence properties for convex MINLPs, and we present numerical results on … Read more
Given the steady increase in cores per CPU, it is only a matter of time until supercomputers will have a million or more cores. In this article, we investigate the opportunities and challenges that will arise when trying to utilize this vast computing power to solve a single integer linear optimization problem. We also raise … Read more