Optimizing Placement of Stationary Monitors

We examine the problem of placing stationary monitors in a continuous space, with the goal of minimizing an adversary’s maximum probability of traversing an origin-destination route without being detected. The problem arises, for instance, in defending against the transport of illicit material through some area of interest. In particular, we consider the deployment of monitors … Read more

Obtaining Quadratic Models of Noisy Functions

When derivatives of a nonlinear objective function are unavailable, many derivative- free optimization algorithms rely on interpolation-based models of the function. But what if the function values are contaminated by noise, as in most of the simulation- based problems typically encountered in this area? We propose to obtain linear and quadratic models by using knowledge … Read more

Hybrid LP/SDP Bounding Procedure

The principal idea of this paper is to exploit Semidefinite Programming (SDP) relaxation within the framework provided by Mixed Integer Nonlinear Programming (MINLP) solvers when tackling Binary Quadratic Problems (BQP). SDP relaxation is well-known to provide strong bounds for BQP in practice. However, the method is not typically implemented in many state-of-the-art MINLP solvers based … Read more

Quadratic combinatorial optimization using separable underestimators

Binary programs with a quadratic objective function are NP-hard in general, even if the linear optimization problem over the same feasible set is tractable. In this paper, we address such problems by computing quadratic global underestimators of the objective function that are separable but not necessarily convex. Exploiting the binary constraint on the variables, a … Read more

A Reliable Affine Relaxation Method for Global Optimization

An automatic method for constructing linear relaxations of constrained global optimization problems is proposed. Such a construction is based on affine and interval arithmetics and uses operator overloading. These linear programs have exactly the same numbers of variables and of inequality constraints as the given problems. Each equality constraint is replaced by two inequalities. This … Read more

Variational Analysis of the Spectral Abscissa at a Matrix with a Nongeneric Multiple Eigenvalue

The spectral abscissa is a fundamental map from the set of complex matrices to the real numbers. Denoted $\alpha$ and defined as the maximum of the real parts of the eigenvalues of a matrix $X$, it has many applications in stability analysis of dynamical systems. The function $\alpha$ is nonconvex and is non-Lipschitz near matrices … Read more

Maximizing expected utility over a knapsack constraint

The expected utility knapsack problem is to pick a set of items whose values are described by random variables so as to maximize the expected utility of the total value of the items picked while satisfying a constraint on the total weight of items picked. We consider the following solution approach for this problem: (i) … Read more

Simplified Copositive and Lagrangian Relaxations for Linearly Constrained Quadratic Optimization Problems in Continuous and Binary Variables

For a quadratic optimization problem (QOP) with linear equality constraints in continuous nonnegative variables and binary variables, we propose three relaxations in simplified forms with a parameter $\lambda$: Lagrangian, completely positive, and copositive relaxations. These relaxations are obtained by reducing the QOP to an equivalent QOP with a single quadratic equality constraint in nonnegative variables, … Read more

Simulation Optimization for the Stochastic Economic Lot Scheduling Problem with Sequence-Dependent Setup Times

We consider the stochastic economic lot scheduling problem (SELSP) with lost sales and random demand, where switching between products is subject to sequence-dependent setup times. We propose a solution based on simulation optimization using an iterative two-step procedure which combines global policy search with local search heuristics for the traveling salesman sequencing subproblem. To optimize … Read more

On two relaxations of quadratically-constrained cardinality minimization

This paper considers a quadratically-constrained cardinality minimization problem with applications to digital filter design, subset selection for linear regression, and portfolio selection. Two relaxations are investigated: the continuous relaxation of a mixed integer formulation, and an optimized diagonal relaxation that exploits a simple special case of the problem. For the continuous relaxation, an absolute upper … Read more