It is well-known that by adding integrality constraints to the semidefinite programming (SDP) relaxation of the max-cut problem, the resulting integer semidefinite program is an exact formulation of the problem. In this paper we show similar results for a wide variety of discrete optimization problems for which SDP relaxations have been derived. Based on a … Read more
The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be realized in practice. A tacit assumption in this approach is that the pricing decision … Read more
We study the Compressed Sensing (CS) problem, which is the problem of finding the most sparse vector that satisfies a set of linear measurements up to some numerical tolerance. CS is a central problem in Statistics, Operations Research and Machine Learning which arises in applications such as signal processing, data compression, image reconstruction, and multi-label … Read more
A fundamental challenge in learning an unknown dynamical system is to reduce model uncertainty by making measurements while maintaining safety. In this work, we formulate a mathematical definition of what it means to safely learn a dynamical system by sequentially deciding where to initialize the next trajectory. In our framework, the state of the system … Read more
We study a class of polynomial optimization problems with a robust polynomial matrix inequality constraint for which the uncertainty set is defined also by a polynomial matrix inequality (including robust polynomial semidefinite programs as a special case). Under certain SOS-convexity assumptions, we construct a hierarchy of moment-SOS relaxations for this problem to obtain convergent upper … Read more
Low-rank matrix completion consists of computing a matrix of minimal complexity that recovers a given set of observations as accurately as possible. Unfortunately, existing methods for matrix completion are heuristics that, while highly scalable and often identifying high-quality solutions, do not possess any optimality guarantees. We reexamine matrix completion with an optimality-oriented eye. We reformulate … Read more
Refining and extending works by Ye and Kitahara-Mizuno, this paper presents new results on the number of pivots of simplex-type methods for solving linear programs of the Leontief kind, certain linear complementarity problems of the P kind, and nonnegative constrained convex quadratic programs. Our results contribute to the further understanding of the complexity and efficiency … Read more
We consider a wide class of closed convex cones K in the space of real n*n symmetric matrices and establish the existence of a chain of faces of K, the length of which is maximized at n(n+1)/2 + 1. Examples of such cones include, but are not limited to, the completely positive and the copositive … Read more
Moment-based distributionally robust optimization (DRO) provides an optimization framework to integrate statistical information with traditional optimization approaches. Under this framework, one assumes that the underlying joint distribution of random parameters runs in a distributional ambiguity set constructed by moment information and makes decisions against the worst-case distribution within the set. Although most moment-based DRO problems … Read more
In a previous paper [R. Andreani, G. Haeser, L. M. Mito, H. Ramírez, T. P. Silveira. First- and second-order optimality conditions for second-order cone and semidefinite programming under a constant rank condition. Mathematical Programming, 2023. DOI: 10.1007/s10107-023-01942-8] we introduced a constant rank constraint qualification for nonlinear semidefinite and second-order cone programming by considering all faces … Read more