We propose a randomized method for solving linear programs with a large number of columns but a relatively small number of constraints. Since enumerating all the columns is usually unrealistic, such linear programs are commonly solved by column generation, which is often still computationally challenging due to the intractability of the subproblem in many applications. … Read more
Sequential quadratic optimization algorithms are proposed for solving smooth nonlinear optimization problems with equality constraints. The main focus is an algorithm proposed for the case when the constraint functions are deterministic, and constraint function and derivative values can be computed explicitly, but the objective function is stochastic. It is assumed in this setting that it … Read more
L21 norm minimization with orthogonality constraints, feasible region of which is called Stiefel manifold, has wide applications in statistics and data science. The state-of-the-art approaches adopt proximal gradient technique on either Stiefel manifold or its tangent spaces. The consequent subproblem does not have closed-form solution and hence requires an iterative procedure to solve which is … Read more
This material provides thorough tutorials on some optimization techniques frequently used in various engineering disciplines, including convex optimization, linearization technique and mixed-integer linear programming, robust optimization, and equilibrium/game problems. It discusses how to reformulate a difficult problem to a solver-compatible form via convexi cation, linearization, and decomposition, so the original problem can be reliably solved by … Read more
We contribute to the field of Ramsey-type equilibrium models with heterogeneous agents. To this end, we state such a model in a time-continuous and time-discrete form, which in the latter case leads to a finite-dimensional mixed complementarity problem. We prove the existence of solutions of the latter problem using the theory of variational inequalities and … Read more
Utility preference robust optimization (PRO) concerns decision making problems where information on decision maker’s utility preference is incomplete and has to be elicited through partial information and the optimal decision is based on the worst case utility function elicited. A key assumption in the PRO models is that the true probability distribution is either known … Read more
In this paper we introduce the selective maximum coverage and the selective maximum set packing problem and variants of them. Both problems are strongly related to well studied problems such as maximum coverage, set packing, and (bipartite) hypergraph matching. The two problems are given by a collection of subsets of a ground set and index … Read more
This paper introduces the production routing problem for perishable products with fixed shelf life and gradual decay, where the age of products impacts the price that can be obtained when satisfying customer demands. In this problem, a single supplier is responsible for the production and distribution of perishable products to a set of customers. Fixed … Read more
We examine how different pricing frameworks deal with nonconvex features typical of day-ahead energy prices when the power system is hydro-dominated, like in Brazil. For the system operator, requirements of minimum generation translate into feasibility issues that are fundamental to carry the generated power through the network. When utilities are remunerated at a price depending … Read more
Equilibrium problems with equilibrium constraints are challenging both theoretically and computationally. However, they are suitable/adequate modeling formulations in a number of important areas, such as energy markets, transportation planning, and logistics. Typically, these problems are characterized as bilevel Nash-Cournot games. For instance, determin- ing the equilibrium price in an energy market involves top-level decisions of … Read more