Kuo-Ling Huang

Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs

  • Manish Bansal
  • Kuo-Ling Huang
  • Sanjay Mehrotra
    • Categories 0-1 Programming, Robust Optimization, Stochastic Programming

    In this paper, we introduce and study a two-stage distributionally robust mixed binary problem (TSDR-MBP) where the random parameters follow the worst-case distribution belonging to an uncertainty set of probability distributions. We present a decomposition algorithm, which utilizes distribution separation procedure and parametric cuts within Benders’ algorithm or L-shaped method, to solve TSDR-MBPs with binary … Read more

    Tight second-stage formulations in two-stage stochastic mixed integer programs

  • Manish Bansal
  • Kuo-Ling Huang
  • Sanjay Mehrotra
    • Categories Cutting Plane Approaches, Production and Logistics, Stochastic Programming Tags , , , , , ,

    We study two-stage stochastic mixed integer programs (TSS-MIPs) with integer variables in the second stage. We show that under suitable conditions, the second stage MIPs can be convexified by adding parametric cuts a priori. As special cases, we extend the results of Miller and Wolsey (Math Program 98(1):73-88, 2003) to TSS-MIPs. Furthermore, we consider second … Read more

    Solution of monotone complementarity and general convex programming problems using modified potential reduction interior point method

  • Kuo-Ling Huang
  • Sanjay Mehrotra
    • Categories Constrained Nonlinear Optimization, Convex Optimization, Quadratic Programming Tags , , , ,

    We present a homogeneous algorithm equipped with a modified potential function for the monotone complementarity problem. We show that this potential function is reduced by at least a constant amount if a scaled Lipschitz condition is satis ed. A practical algorithm based on this potential function is implemented in a software package named iOptimize. The implementation … Read more

    An Empirical Evaluation of Walk-and-Round Heuristics for Mixed-Integer Linear Programs

  • Kuo-Ling Huang
  • Sanjay Mehrotra
    • Categories (Mixed) Integer Linear Programming Tags , , , ,

    Geometric random walks have been proposed and analyzed for solving optimization problems. In this paper we report our computational experience with generating feasible integer solutions of mixed-integer linear programs using geometric random walks, and a random ray approach. A feasibility pump is used to heuristically round the generated points. Computational results on MIPLIB2003 and COR@L … Read more