We develop a new class of approximate linear programs (ALPs) that project the high-dimensional value function of dynamic programs onto a class of basis functions, each defined as a network that represents aggregrations over the state space. The resulting ALP is a minimum-cost flow problem over an extended variable space that synchronizes flows across multiple … Read more
As one of the most plausible convex optimization methods for sparse data reconstruction, $\ell_1$-minimization plays a fundamental role in the development of sparse optimization theory. The stability of this method has been addressed in the literature under various assumptions such as restricted isometry property (RIP), null space property (NSP), and mutual coherence. In this paper, … Read more
Given an originally robust optimal decision and allowing perturbation parameters of the linear programming problem to run through a maximum uncertainty set controlled by a variable of perturbation radius, we do robust sensitivity analysis for the robust linear programming problem in two scenarios. One is to keep the original decision still robust optimal, the other … Read more
To precondition the normal equation system from the linear programming (LP) interior point method, basis preconditioners choose a basis matrix dependent on column scaling factors. Two criteria for choosing the basis matrix are compared which yield a maximum volume or maximum weight basis. Finding a maximum volume basis requires a combinatorial effort, but it gives … Read more
The transportation problem is one of the most popular problems in linear programming. Over the course of time a multitude of exact solution methods and heuristics have been proposed. Due to substantial progress of exact solvers since the mid of the last century, the interest in heuristics for the transportation problem over the last few … Read more
Testing a given matrix for membership in the family of Bernoulli matrices is a longstanding problem, the many applications of Bernoulli vectors in computer science, finance, medicine, and operations research emphasize its practical relevance. A novel approach towards this problem was taken by [Fiebig et al., 2017] for lowdimensional settings d
This paper is concerned with the problem of permuting a spiked matrix to triangular form. A spiked matrix results from changing one column or one row in a triangular matrix. In this paper we focus on changing one column in an upper triangular matrix. Spiked matrices arise in updating the LU factors of a matrix … Read more
We propose a nested decomposition scheme for infinite-horizon stochastic linear programs. Our approach can be seen as a provably convergent extension of stochastic dual dynamic programming to the infinite-horizon setting: we explore a sequence of finite-horizon problems of increasing length until we can prove convergence with a given confidence level. The methodology alternates between a … Read more
We study the linear extension complexity of stable set polytopes of perfect graphs. We make use of known structural results permitting to decompose perfect graphs into basic perfect graphs by means of two graph operations: 2-join and skew partitions. Exploiting the link between extension complexity and the nonnegative rank of an associated slack matrix, we … Read more
Random projections are random linear maps, sampled from appropriate distributions, that approximately preserve certain geometrical invariants so that the approximation improves as the dimension of the space grows. The well-known Johnson-Lindenstrauss lemma states that there are \LL{random matrices with surprisingly few rows} that approximately preserve pairwise Euclidean distances among a set of points. This is … Read more