The Multi-Vehicle Covering Tour Problem (m-CTP) involves a graph in which the set of vertices is partitioned into a depot and three distinct subsets representing customers, mandatory facilities, and optional facilities. Each customer is linked to a specific subset of optional facilities that define its coverage set. The goal is to determine a set of … Read more
Robust Optimization (RO) is an approach to tackle uncertainties in the parameters of an optimization problem. Constructing an uncertainty set is crucial for RO, as it determines the quality and the conservativeness of the solutions. In this paper, we introduce an approach for constructing a data-driven uncertainty set through volume-based clustering, which we call Minimum-Volume … Read more
Due to their nested structure, bilevel problems are intrinsically hard to solve–even if all variables are continuous and all parameters of the problem are exactly known. In this paper, we study mixed-integer linear bilevel problems with lower-level objective uncertainty, which we address using the notion of Γ-robustness. To tackle the Γ-robust counterpart of the bilevel … Read more
This paper investigates convex quadratic optimization problems involving $n$ indicator variables, each associated with a continuous variable, particularly focusing on scenarios where the matrix $Q$ defining the quadratic term is positive definite and its sparsity pattern corresponds to the adjacency matrix of a tree graph. We introduce a graph-based dynamic programming algorithm that solves this … Read more
In automated decision making processes in the online fashion industry, the ‘predict-then-optimize’ paradigm is frequently applied, particularly for markdown pricing strategies. This typically involves a mixed-integer optimization step, which is crucial for maximizing profit and merchandise volume. In practice, the size and complexity of the optimization problem is prohibitive for using off-the-shelf solvers for mixed … Read more
For continuous decision spaces, nonlinear programs (NLPs) can be efficiently solved via sequential quadratic programming (SQP) and, more generally, sequential convex programming (SCP). These algorithms linearize only the nonlinear equality constraints and keep the outer convex structure of the problem intact, such as (conic) inequality constraints or convex objective terms. The aim of the presented … Read more
In this paper, we consider convex quadratic optimization problems with indicators on the continuous variables. In particular, we assume that the Hessian of the quadratic term is a Stieltjes matrix, which naturally appears in sparse graphical inference problems and others. We describe an explicit convex formulation for the problem by studying the Stieltjes polyhedron arising … Read more
Factored Markov decision processes (MDPs) are a prominent paradigm within the artificial intelligence community for modeling and solving large-scale MDPs whose rewards and dynamics decompose into smaller, loosely interacting components. Through the use of dynamic Bayesian networks and context-specific independence, factored MDPs can achieve an exponential reduction in the state space of an MDP and … Read more
Adaptive robust optimization problems have received significant attention in recent years, but remain notoriously difficult to solve when recourse decisions are discrete in nature. In this paper, we propose new reformulation techniques for adaptive robust binary optimization (ARBO) problems with objective uncertainty. Without loss of generality, we focus on ARBO problems with “selective adaptability”, a … Read more
Semi-continuous decision variables arise naturally in many real-world applications. They are defined to take either value zero or any value within a specified range, and occur mainly to prevent small nonzero values in the solution. One particular challenge that can come with semi-continuous variables in practical models is that their upper bound may be large … Read more