Generating moment matching scenarios using optimization techniques

An optimization based method is proposed to generate moment matching scenarios for numerical integration and its use in stochastic programming. The main advantage of the method is its flexibility: it can generate scenarios matching any prescribed set of moments of the underlying distribution rather than matching all moments up to a certain order, and the … Read more

Robust Optimization under Multi-band Uncertainty – Part I: Theory

The classical single-band uncertainty model introduced by Bertsimas and Sim has represented a breakthrough in the development of tractable robust counterparts of Linear Programs. However, adopting a single deviation band may be too limitative in practice: in many real-world problems, observed deviations indeed present asymmetric distributions over asymmetric ranges, so that getting a higher modeling … Read more

Variable Metric Forward-Backward algorithm for minimizing the sum of a differentiable function and a convex function

We consider the minimization of a function $G$ defined on $R^N$, which is the sum of a (non necessarily convex) differentiable function and a (non necessarily differentiable) convex function. Moreover, we assume that $G$ satisfies the Kurdyka-Lojasiewicz property. Such a problem can be solved with the Forward-Backward algorithm. However, the latter algorithm may suffer from … Read more


Recently, the globally uniquely solvable (GUS) property of the linear transformation $M\in R^{n\times n}$ in the second-order cone linear complementarity problem (SOCLCP) receives much attention and has been studied substantially. Yang and Yuan [30] contributed a new characterization of the GUS property of the linear transformation, which is formulated by basic linear-algebra-related properties. In this … Read more

Effectiveness-Equity Models for Facility Location Problems on Tree Networks

We propose models to investigate effectiveness-equity tradeoffs in tree network facility location problems. We use the commonly used median objective as a measure of effectiveness, and the Gini index as a measure of (in)equity, and formulate bicriteria problems involving these objectives. We develop procedures to identify an efficient set of solutions to these problems, analyze … Read more

Public Facility Location Using Dispersion, Population, and Equity Criteria

Administrators/Decision Makers (DMs) responsible for making locational decisions for public facilities have many other overriding factors to consider that dominate traditional OR/MS objectives that relate to response time. We propose that an appropriate role for the OR/MS analyst is to help the DMs identify a good set of solutions rather than an optimal solution that … Read more

An Extragradient-Based Alternating Direction Method for Convex Minimization

In this paper, we consider the problem of minimizing the sum of two convex functions subject to linear linking constraints. The classical alternating direction type methods usually assume that the two convex functions have relatively easy proximal mappings. However, many problems arising from statistics, image processing and other fields have the structure that while one … Read more

Multidirectional Physarum Solver: an Innovative Bio-inspired Algorithm for Optimal Discrete Decision Making

This paper introduces a new bio-inspired algorithm for optimal discrete decision making, able to incrementally grow and explore decision graphs in multiple directions. The heuristic draws inspiration from the idea that building decision sequences from multiple directions and then combining the sequences is an optimal choice if compared with a unidirectional approach. The behaviour of … Read more

Calmness modulus of linear semi-infinite programs

Our main goal is to compute or estimate the calmness modulus of the argmin mapping of linear semi-infinite optimization problems under canonical perturbations, i.e., perturbations of the objective function together with continuous perturbations of the right-hand side of the constraint system (with respect to an index ranging in a compact Hausdorff space). Specifically, we provide … Read more