How to Convexify the Intersection of a Second Order Cone and a Nonconvex Quadratic

A recent series of papers has examined the extension of disjunctive-programming techniques to mixed-integer second-order-cone programming. For example, it has been shown—by several authors using different techniques—that the convex hull of the intersection of an ellipsoid, $\E$, and a split disjunction, $(l – x_j)(x_j – u) \le 0$ with $l < u$, equals the intersection ... Read more

Two-Term Disjunctions on the Second-Order Cone

Balas introduced disjunctive cuts in the 1970s for mixed-integer linear programs. Several recent papers have attempted to extend this work to mixed-integer conic programs. In this paper we study the structure of the convex hull of a two-term disjunction applied to the second-order cone, and develop a methodology to derive closed-form expressions for convex inequalities … Read more

On Minimal Valid Inequalities for Mixed Integer Conic Programs

We study mixed integer conic sets involving a general regular (closed, convex, full dimensional, and pointed) cone K such as the nonnegative orthant, the Lorentz cone or the positive semidefinite cone. In a unified framework, we introduce K-minimal inequalities and show that under mild assumptions, these inequalities together with the trivial cone-implied inequalities are sufficient … Read more

Accuracy guarantees for ℓ1-recovery

We discuss two new methods of recovery of sparse signals from noisy observation based on ℓ1- minimization. They are closely related to the well-known techniques such as Lasso and Dantzig Selector. However, these estimators come with efficiently verifiable guaranties of performance. By optimizing these bounds with respect to the method parameters we are able to … Read more

L1 Minimization via Randomized First Order Algorithms

In this paper we propose randomized first-order algorithms for solving bilinear saddle points problems. Our developments are motivated by the need for sublinear time algorithms to solve large-scale parametric bilinear saddle point problems where cheap online assessment of solution quality is crucial. We present the theoretical efficiency estimates of our algorithms and discuss a number … Read more

On Low Rank Matrix Approximations with Applications to Synthesis Problem in Compressed Sensing

We consider the synthesis problem of Compressed Sensing: given $s$ and an $M\times n$ matrix $A$, extract from $A$ an $m\times n$ submatrix $A_m$, with $m$ as small as possible, which is $s$-good, that is, every signal $x$ with at most $s$ nonzero entries can be recovered from observation $A_m x$ by $\ell_1$ minimization: $x … Read more

Verifiable conditions of $\ell_1hBcrecovery for sparse signals with sign restrictions

We propose necessary and sufficient conditions for a sensing matrix to be “$s$-semigood” — to allow for exact $\ell_1$-recovery of sparse signals with at most $s$ nonzero entries under sign restrictions on part of the entries. We express error bounds for imperfect $\ell_1$-recovery in terms of the characteristics underlying these conditions. These characteristics, although difficult … Read more

Information-Based Branching Schemes for Binary Linear Mixed Integer Problems

Branching variable selection can greatly a ffect the eff ectiveness and efficiency of a branch-and- bound algorithm. Traditional approaches to branching variable selection rely on estimating the eff ect of the candidate variables on the objective function. We propose an approach which is empowered by exploiting the information contained in a family of fathomed subproblems, collected beforehand from … Read more

Approximating the Stability Region for Binary Mixed-Integer Programs

We consider optimization problems with some binary variables, where the objective function is linear in these variables. The stability region of a given solution of such a problem is the polyhedral set of objective coefficients for which the solution is optimal. A priori knowledge of this set provides valuable information for sensitivity analysis and re-optimization … Read more