Many practical applications require the solution of numerically challenging linear programs (LPs) and mixed-integer programs (MIPs). Scaling is a widely used preconditioning technique that aims at reducing the error propagation of the involved linear systems, thereby improving the numerical behavior of the dual simplex algorithm and, consequently, LP-based branch-and-bound. A reliable scaling method often makes … Read more
The dual face algorithm for linear programming (LP) was proposed by the author in 2014. Using QR factorization, it proceeds from dual face to dual face, until reaching an optimal dual face along with dual and primal optimal solutions, unless detecting infeasibility of the problem. On the other hand, a variant of the algorithm using … Read more
We describe the Matlab package NewtBracket for solving a simple conic optimization problem that minimizes a linear objective function subject to a single linear equality constraint and a convex cone constraint. The problem is converted into the problem of finding the largest zero $y^*$ of a continuously differentiable (except at $y^*$) convex function $g : … Read more
A fundamental challenge in learning to control 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 … Read more
Generation expansion planning (GEP) is a classical problem that determines an optimal investment plan for existing and future electricity generation technologies. GEP is a computationally challenging problem, as it typically corresponds to a very large-scale problem that contains several sources of uncertainties. With the advent of demand response (DR) as a reserved capacity in modern … Read more
Amenability is a geometric property of convex cones that is stronger than facial exposedness and assists in the study of error bounds for conic feasibility problems. In this paper we establish numerous properties of amenable cones, and investigate the relationships between amenability and other properties of convex cones, such as niceness and projectional exposure. We … Read more
We give simple iterative methods for computing approximately optimal primal and dual solutions for the problem of maximizing a linear functional over a convex set $K$ given by a separation oracle. In contrast to prior work, our algorithms directly output primal and dual solutions and avoid a common requirement of binary search on the objective … Read more
Let S denote a subset of Rn defined by quadratic equality and inequality constraints and let S denote its projected semidefinite program (SDP) relaxation. For example, take S and S to be the epigraph of a quadratically constrained quadratic program (QCQP) and the projected epigraph of its SDP relaxation respectively. In this paper, we suggest … Read more
We investigate a class of moment problems, namely recovering a measure supported on the graph of a function from partial knowledge of its moments, as for instance in some problems of optimal transport or density estimation. We show that the sole knowledge of first degree moments of the function, namely linear measurements, is sufficient to … Read more
The unique feature of the face algorithm \cite{pan14} is that it moves from face to face, rather than from vertex to vertex as the simplex algorithm. It uses the orthogonal projection of the negative objective gradient on the related null space as its search direction. Nevertheless, the algorithm is based on QR factorization, which would … Read more