Dominance in Pricing Problems with Stochasticity

Sequencing activities over time is a fundamental optimization problem. The problem can be modeled using a directed network in which activities are represented by nodes and pairs of activities that can be performed consecutively are represented by arcs. A sequence of activities then corresponds to a path in the directed network, and an optimal sequence … Read more

On the Convergence of Multi-Block Alternating Direction Method of Multipliers and Block Coordinate Descent Method

The paper answers several open questions of the alternating direction method of multipliers (ADMM) and the block coordinate descent (BCD) method that are now wildly used to solve large scale convex optimization problems in many fields. For ADMM, it is still lack of theoretical understanding of the algorithm when the objective function is not separable … Read more

Diffusion Methods for Classification with Pairwise Relationships

We define two algorithms for propagating information in classification problems with pairwise relationships. The algorithms involve contraction maps and are related to non-linear diffusion and random walks on graphs. The approach is also related to message passing and mean field methods. The algorithms we describe are guaranteed to converge on graphs with arbitrary topology. Moreover … Read more