In semidefinite programming (SDP), unlike in linear programming, Farkas’ lemma may fail to prove infeasibility. Here we obtain an exact, short certificate of infeasibility in SDP by an elementary approach: we reformulate any equality constrained semidefinite system using only elementary row operations, and rotations. When the system is infeasible, the infeasibility of the reformulated system … Read more
This paper explores the classic single-item newsvendor problem under a novel setting which combines temporal dependence and tractable robust optimization. First, the demand is modeled as a time series which follows an autoregressive process AR(p), p>= 1. Second, a robust approach to maximize the worst-case revenue is proposed: a robust distribution-free autoregressive forecasting method, which … Read more
A recent series of papers has examined the extension of disjunctive-programming techniques to mixed-integer second-order-cone programming. For example, it has been shown—by several authors using different techniques—that the convex hull of the intersection of an ellipsoid, $\E$, and a split disjunction, $(l – x_j)(x_j – u) \le 0$ with $l < u$, equals the intersection ... Read more
We consider in this paper a class of composite optimization problems whose objective function is given by the summation of a general smooth and nonsmooth component, together with a relatively simple nonsmooth term. We present a new class of first-order methods, namely the gradient sliding algorithms, which can skip the computation of the gradient for … Read more
We investigate the convergence of a forward-backward-forward proximal-type algorithm with inertial and memory effects when minimizing the sum of a nonsmooth function with a smooth one in the absence of convexity. The convergence is obtained provided an appropriate regularization of the objective satisfies the Kurdyka-\L{}ojasiewicz inequality, which is for instance fulfilled for semi-algebraic functions. ArticleDownload … Read more
We derive and study a Gauss-Newton method for computing a symmetric low-rank product that is the closest to a given symmetric matrix in Frobenius norm. Our Gauss-Newton method, which has a particularly simple form, shares the same order of iteration-complexity as a gradient method when the size of desired eigenspace is small, but can be … Read more