Self Equivalence of the Alternating Direction Method of Multipliers

The alternating direction method of multipliers (ADM or ADMM) breaks a complex optimization problem into much simpler subproblems. The ADM algorithms are typically short and easy to implement yet exhibit (nearly) state-of-the-art performance for large-scale optimization problems. To apply ADM, we first formulate a given problem into the “ADM-ready” form, so the final algorithm depends … Read more

Block-wise Alternating Direction Method of Multipliers for Multiple-block Convex Programming and Beyond

The alternating direction method of multipliers (ADMM) is a benchmark for solving a linearly constrained convex minimization model with a two-block separable objective function; and it has been shown that its direct extension to a multiple-block case where the objective function is the sum of more than two functions is not necessarily convergent. For the … Read more

A branch-cut-and-price algorithm for the energy minimization vehicle routing problem

We study a variant of the capacitated vehicle routing problem where the cost over each arc is defined as the product of the arc length and the weight of the vehicle when it traverses that arc. We propose two new mixed integer linear programming formulations for the problem: an arc-load formulation and a set partitioning … Read more

On efficiency of nonmonotone Armijo-type line searches

Monotonicity and nonmonotonicity play a key role in studying the global convergence and the efficiency of iterative schemes employed in the field of nonlinear optimization, where globally convergent and computationally efficient schemes are explored. This paper addresses some features of descent schemes and the motivation behind nonmonotone strategies and investigates the efficiency of an Armijo-type … Read more

A proximal point algorithm for DC functions on Hadamard manifolds

An extension of a proximal point algorithm for difference of two convex functions is presented in the context of Riemannian manifolds of nonposite sectional curvature. If the sequence generated by our algorithm is bounded it is proved that every cluster point is a critical point of the function (not necessarily convex) under consideration, even if … Read more

A hybrid Lagrangean metaheuristic for single machine scheduling problem with sequence-dependent setup times and due dates

In this article, a hybrid Lagrangean metaheuristic is proposed for single machine scheduling problems with sequence-dependent setup times and due dates. The objective function considered throughout this work, is to minimize the total tardiness. Related works and taxonomies for hybrid metaheuristics are analyzed, through a thorough historical overview. The proposed hybrid Lagrangean metaheuristic is a … Read more

Robust risk adjustment in health insurance

Risk adjustment is used to calibrate payments to health plans based on the relative health status of insured populations and helps keep the health insurance market competitive. Current risk adjustment models use parameter estimates obtained via regression and are thus subject to estimation error. This paper discusses the impact of parameter uncertainty on risk scoring, … Read more

Robust Investment Management with Uncertainty in Fund Managers’ Asset Allocation

We consider a problem where an investment manager must allocate an available budget among a set of fund managers, whose asset allocations are not precisely known to the investment manager. In this paper, we propose a robust framework that takes into account the uncertainty stemming from the fund managers’ allocation, as well as the more … Read more

Mathematical programming approach to tighten a Big-$ formulation

In this paper we present a mathematical programming approach to tighten a Big-$M$ formulation ($P_M$) of a Mixed Integer Problem with Logical Implications ($P$). If $M_0$ is a valid vector (the optimal solutions of $P$ belong to the feasible solutions set of $P_{M_0}$) our procedures find a valid vector $M$ such that $M \leq M_0$. … Read more

Homotopy methods based on l0 norm for the compressed sensing problem

In this paper, two homotopy methods, which combine the advantage of the homotopy technique with the effectiveness of the iterative hard thresholding method, are presented for solving the compressed sensing problem. Under some mild assumptions, we prove that the limits of the sequences generated by the proposed homotopy methods are feasible solutions of the problem, … Read more