Margin Optimal Classification Trees
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Month: October 2022
An Exact Method for Nonlinear Network Flow Interdiction Problems
We study network flow interdiction problems with nonlinear and nonconvex flow models. The resulting model is a max-min bilevel optimization problem in which the follower’s problem is nonlinear and nonconvex. In this game, the leader attacks a limited number of arcs with the goal to maximize the load shed and the follower aims at minimizing … Read more
Tractable continuous approximations for constraint selection via cardinality minimization
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Wasserstein Regularization for 0-1 Loss
Wasserstein distributionally robust optimization (DRO) finds robust solutions by hedging against data perturbation specified by distributions in a Wasserstein ball. The robustness is linked to the regularization effect, which has been studied for continuous losses in various settings. However, existing results cannot be simply applied to the 0-1 loss, which is frequently seen in uncertainty … Read more
Decision-making with Side Information: A Causal Transport Robust Approach
We consider stochastic optimization with side information where, prior to decision making, covariate data are available to inform better decisions. In particular, we propose to consider a distributionally robust formulation based on causal transport distance. Compared with divergence and Wasserstein metric, the causal transport distance is better at capturing the information structure revealed from the conditional distribution … Read more
Data-driven Multistage Distributionally Robust Linear Optimization with Nested Distance
We study multistage distributionally robust linear optimization, where the uncertainty set is defined as a ball of distribution centered at a scenario tree using the nested distance. The resulting minimax problem is notoriously difficult to solve due to its inherent non-convexity. In this paper, we demonstrate that, under mild conditions, the robust risk evaluation of … Read more
A Projected-Search Interior Method for Nonlinear Optimization
This paper concerns the formulation and analysis of a new interior method for general nonlinearly constrained optimization that combines a shifted primal-dual interior method with a projected-search method for bound-constrained optimization. The method involves the computation of an approximate Newton direction for a primal-dual penalty-barrier function that incorporates shifts on both the primal and dual … Read more
Robust Two-Stage Optimization with Covariate Data
We consider a generalization of two-stage decision problems in which the second-stage decision may be a function of a predictive signal but cannot adapt fully to the realized uncertainty. We will show how such problems can be learned from sample data by considering a family of regularized sample average formulations. Furthermore, our regularized data-driven formulations … Read more
Steiner Cut Dominants
For a subset T of nodes of an undirected graph G, a T-Steiner cut is a cut δ(S) where S intersects both T and the complement of T. The T-Steiner cut dominant} of G is the dominant CUT_+(G,T) of the convex hull of the incidence vectors of the T-Steiner cuts of G. For T={s,t}, this … Read more
An Explicit Spectral Fletcher-Reeves Conjugate Gradient Method for Bi-criteria Optimization
In this paper we propose a spectral Fletcher-Reeves conjugate gradient-like method (SFRCG) for solving unconstrained bi-criteria minimisation problems without using any technique of scalarization. We suggest an explicit formulae for computing a descent direction common to both criteria. This latter verifies furthermore a sufficient descent property which does not depend on the line search nor … Read more