Mixed-integer bilevel representability

We study the representability of sets that admit extended formulations using mixed-integer bilevel programs. We show that feasible regions modeled by continuous bilevel constraints (with no integer variables), complementarity constraints, and polyhedral reverse convex constraints are all finite unions of polyhedra. Conversely, any finite union of polyhedra can be represented using any one of these … Read more

A simplex method for uncapacitated pure-supply infinite network flow problems

We provide a simplex algorithm for a structured class of uncapacitated countably-infinite network flow problems. Previous efforts required explicit capacities on arcs with uniformity properties that facilitate duality arguments. By contrast, this paper takes a “primal” approach by devising a simplex method that provably converges to optimal value using arguments based on convergence of spanning … Read more

Mixed-integer linear representability, disjunctions, and Chvatal functions — modeling implications

Jeroslow and Lowe gave an exact geometric characterization of subsets of $\mathbb{R}^n$ that are projections of mixed-integer linear sets, also known as MILP-representable or MILP-R sets. We give an alternate algebraic characterization by showing that a set is MILP-R {\em if and only if} the set can be described as the intersection of finitely many … Read more

Strong duality and sensitivity analysis in semi-infinite linear programming

Finite-dimensional linear programs satisfy strong duality (SD) and have the “dual pricing” (DP) property. The (DP) property ensures that, given a sufficiently small perturbation of the right-hand-side vector, there exists a dual solution that correctly “prices” the perturbation by computing the exact change in the optimal objective function value. These properties may fail in semi-infinite … Read more

The Slater Conundrum: Duality and Pricing in Infinite Dimensional Optimization

Duality theory is pervasive in finite dimensional optimization. There is growing interest in solving infinite-dimensional optimization problems and hence a corresponding interest in duality theory in infinite dimensions. Unfortunately, many of the intuitions and interpretations common to finite dimensions do not extend to infinite dimensions. In finite dimensions, a dual solution is represented by a … Read more

On the sufficiency of finite support duals in semi-infinite linear programming

We consider semi-infinite linear programs with countably many constraints indexed by the natural numbers. When the constraint space is the vector space of all real valued sequences, we show the finite support (Haar) dual is equivalent to the algebraic Lagrangian dual of the linear program. This settles a question left open by Anderson and Nash~\cite{anderson-nash}. … Read more

Projection: A Unified Approach to Semi-Infinite Linear Programs and Duality in Convex Programming

Fourier-Motzkin elimination is a projection algorithm for solving finite linear programs. We extend Fourier-Motzkin elimination to semi-infinite linear programs which are linear programs with finitely many variables and infinitely many constraints. Applying projection leads to new characterizations of important properties for primal-dual pairs of semi-infinite programs such as zero duality gap, feasibility, boundedness, and solvability. … Read more