Florian Jarre

The solution of Euclidean norm trust region SQP subproblems via second order cone programs, an overview and elementary introduction

  • Florian Jarre
  • Felix Lieder
    • Categories Constrained Nonlinear Optimization, Second-Order Cone Programming Tags , ,

    It is well known that convex SQP subproblems with a Euclidean norm trust region constraint can be reduced to second order cone programs for which the theory of Euclidean Jordan-algebras leads to efficient interior-point algorithms. Here, a brief and self-contained outline of the principles of such an implementation is given. All identities relevant for the … Read more

    A priori bounds on the condition numbers in interior-point methods

  • Florian Jarre
    • Categories Linear Programming, Semi-definite Programming Tags , ,

    Interior-point methods are known to be sensitive to ill-conditioning and to scaling of the data. This paper presents new asymptotically sharp bounds on the condition numbers of the linear systems at each iteration of an interior-point method for solving linear or semidefinite programs and discusses a stopping test which leads to a problem-independent “a priori” … Read more

    Calibration by Optimization Without Using Derivatives

  • Florian Jarre
  • Markus Lazar
    • Categories Bound-constrained Optimization, Mechanical Engineering, Optimization Software and Modeling Systems Tags , , ,

    Applications in engineering frequently require the adjustment of certain parameters. While the mathematical laws that determine these parameters often are well understood, due to time limitations in every day industrial life, it is typically not feasible to derive an explicit computational procedure for adjusting the parameters based on some given measurement data. This paper aims … Read more

    Simple examples for the failure of Newton’s method with line search for strictly convex minimization

  • Florian Jarre
  • Philippe L. Toint
    • Categories Unconstrained Optimization Tags ,

    In this paper two simple examples of a twice continuously differentiable strictly convex function $f$ are presented for which Newton’s method with line search converges to a point where the gradient of $f$ is not zero. The first example uses a line search based on the Wolfe conditions. For the second example, some strictly convex … Read more

    Unifying semidefinite and set-copositive relaxations of binary problems and randomization techniques

  • Florian Jarre
  • Felix Lieder
  • Fatameh Bani Asadi Rad
    • Categories 0-1 Programming, Combinatorial Optimization Tags , , , , , ,

    A reformulation of quadratically constrained binary programs as duals of set-copositive linear optimization problems is derived using either \(\{0,1\}\)-formulations or \(\{-1,1\}\)-formulations. The latter representation allows an extension of the randomization technique by Goemans and Williamson. An application to the max-clique problem shows that the max-clique problem is equivalent to a linear program over the max-cut … Read more

    A symmetric reduction of the NT direction

  • Chantal Hergenroeder
  • Florian Jarre
    • Categories Semi-definite Programming

    A stable symmetrization of the linear systems arising in interior-point methods for solving linear programs is introduced. A comparison of the condition numbers of the resulting interior-point linear systems with other commonly used approaches indicates that the new approach may be best suitable for an iterative solution. It is shown that there is a natural … Read more

    On the cp-rank and minimal cp factorizations of a completely positive matrix

  • Immanuel M. Bomze
  • Florian Jarre
  • Werner Schachinger
  • Naomi Shaked-Monderer
    • Categories Linear, Cone and Semidefinite Programming Tags ,

    We show that the maximal cp-rank of $n\times n$ completely positive matrices is attained at a positive-definite matrix on the boundary of the cone of $n\times n$ completely positive matrices, thus answering a long standing question. We also show that the maximal cp-rank of $5\times 5$ matrices equals six, which proves the famous Drew-Johnson-Loewy conjecture … Read more

    On Nesterov’s Smooth Chebyshev-Rosenbrock Function

  • Florian Jarre
    • Categories Unconstrained Optimization Tags ,

    We discuss a modification of the chained Rosenbrock function introduced by Nesterov, a polynomial of degree four of $n$ variables. Its only stationary point is the global minimizer with optimal value zero. An initial point is given such that any continuous piecewise linear descent path consists of at least an exponential number of $0.72 \cdot … Read more

    High accuracy solution of large scale semidefinite programs

  • Thomas Davi
  • Florian Jarre
    • Categories Semi-definite Programming Tags , ,

    We present a first order approach for solving semidefinite programs. Goal of this approach is to compute a solution of the SDP up to high accuracy in spite of using only partial second order information. We propose a hybrid approach that uses an accelerated projection method to generate an approximate solution and then switches to … Read more

    Solving large scale problems over the doubly nonnegative cone

  • Thomas Davi
  • Florian Jarre
    • Categories Semi-definite Programming Tags , , , ,

    The recent approach of solving large scale semidefinite programs with a first order method by minimizing an augmented primal-dual function is extended to doubly nonnegative programs. Regularity of the augmented primal-dual function is established under the condition of uniqueness and strict complementarity. The application to the doubly nonnegative cone is motivated by the fact that … Read more