It is well known that the performance of the classical Markowitz model for portfolio optimization is extremely sensitive to estimation errors on the expected asset returns. Robust optimization mitigates this issue. We focus on ellipsoidal uncertainty sets around a point estimate of the expected asset returns. An important issue is the choice of the parameters … Read more
In this paper, we propose a multilevel stochastic framework for the solution of nonconvex unconstrained optimization problems. The proposed approach uses random regularized first-order models that exploit an available hierarchical description of the problem, being either in the classical variable space or in the function space, meaning that different levels of accuracy for the objective … Read more
This paper introduces an optimization technique for scenario modeling in uncertain business situations, termed the Gradient-Driven Solution Based on Indifference Analysis (GIA). GIA evolves the conventional methods of scenario planning by applying a reverse-strategy approach, where future financial goals are specified, and the path to attain these targets are engineered backward. It adopts economic concepts … Read more
In this paper, we revisit the convergence theory of the inexact restoration paradigm for non-linear optimization. The paper first identifies the basic elements of a globally convergent method based on merit functions. Then, the inexact restoration method that employs a two-phase iteration is introduced as a special case. A specific implementation is presented that is … Read more
The proximal bundle algorithm (PBA) is a fundamental and computationally effective algorithm for solving optimization problems with nonsmooth components. We investigate its convergence rate, focusing on composite settings where one function is smooth and the other is piecewise linear. We interpret a sequence of null steps of the PBA as a Frank-Wolfe algorithm on the … Read more
A polynomial matrix inequality is a statement that a symmetric polynomial matrix is positive semidefinite over a given constraint set. Polynomial matrix optimization concerns minimizing the smallest eigenvalue of a symmetric polynomial matrix subject to a tuple of polynomial matrix inequalities. This work explores the use of sparsity methods in reducing the complexity of sum-of-squares … Read more
Dealing with uncertainty in optimization parameters is an important and longstanding challenge. Typically, uncertain parameters are predicted accurately, and then a deterministic optimization problem is solved. However, the decisions produced by this so-called predict-then-optimize procedure can be highly sensitive to uncertain parameters. In this work, we contribute to recent efforts in producing decision-focused predictions, i.e., … Read more
Bilevel optimization has garnered growing interest over the past decade. However, little attention has been paid to detecting and dealing with unboundedness in these problems, with most research assuming a bounded high-point relaxation. In this paper, we address unboundedness in bilevel and multilevel optimization by studying its computational complexity. We show that deciding whether an … Read more
Lower bounds on minimization problems are essential for convergence of both branching-based and iterative solution methods for optimization problems. They are also required for evaluating the quality of feasible solutions by providing conservative optimality gaps. We provide an analytical lower bound for a class of quadratic optimization problems with binary decision variables. In contrast to … Read more
In this paper, we propose algorithms that exploit negative curvature for solving noisy nonlinear nonconvex unconstrained optimization problems. We consider both deterministic and stochastic inexact settings, and develop two-step algorithms that combine directions of negative curvature and descent directions to update the iterates. Under reasonable assumptions, we prove second-order convergence results and derive complexity guarantees … Read more