Total dual integrality is a powerful and unifying concept in polyhedral combinatorics and integer programming that enables the refinement of geometric min-max relations given by linear programming Strong Duality into combinatorial min-max theorems. The definition of total dual integrality (TDI) revolves around the existence of optimal dual solutions that are integral, and thus naturally applies … Read more
In this paper, we present an algorithm for solving stochastic minimax dynamic programmes where state and action sets are convex and compact. A feature of the formulations studied is the simultaneous non-rectangularity of both `min’ and `max’ feasibility sets. We begin by presenting convex programming upper and lower bound representations of saddle functions — extending … Read more
We consider a continuous time variant of the Inventory Routing Problem in which the maximum quantity that can delivered at a customer depends on the customer’s storage capacity and product inventory at the time of the delivery. We investigate critical components of a dynamic discretization discovery algorithm and demonstrate in an extensive computational study that … Read more
We introduce a framework for quasi-Newton forward–backward splitting algorithms (proximal quasi-Newton methods) with a metric induced by diagonal +/- rank-r symmetric positive definite matrices. This special type of metric allows for a highly efficient evaluation of the proximal mapping. The key to this efficiency is a general proximal calculus in the new metric. By using … Read more
Given an instance of the quadratic shortest path problem (QSPP) on a digraph $G$, the linearization problem for the QSPP asks whether there exists an instance of the linear shortest path problem on $G$ such that the associated costs for both problems are equal for every $s$-$t$ path in $G$. We prove here that the … Read more
We consider the clique problem with multiple-choice constraints (CPMC) and characterize a case where it is possible to give an efficient description of the convex hull of its feasible solutions. This new special case, which we call staircase compatibility, generalizes common properties in several applications and allows for a linear description of the integer feasible … Read more
The clique problem with multiple-choice constraints (CPMC) represents a very common substructure in many real-world applications, for example scheduling problems with precedence constraints. It consists in finding a clique in a graph whose nodes are partitioned into subsets, such that exactly one node from each subset is chosen. Even though we can show that (CPMC) … Read more
Markov decision processes (MDPs) have found success in many application areas that involve sequential decision making under uncertainty, including the evaluation and design of treatment and screening protocols for medical decision making. However, the usefulness of these models is only as good as the data used to parameterize them, and multiple competing data sources are … Read more
We study network models where flows cannot be split or merged when passing through certain nodes, i.e., for such nodes, each incoming arc flow must be matched to an outgoing arc flow of identical value. This requirement, which we call “no-split no-merge” (NSNM), appears in railroad applications where train compositions can only be modified at … Read more
This paper deals with the minimization of large sum of convex functions by Inexact Newton (IN) methods employing subsampled Hessian approximations. The Conjugate Gradient method is used to compute the inexact Newton step and global convergence is enforced by a nonmonotone line search procedure. The aim is to obtain methods with affordable costs and fast … Read more