The robust vehicle routing problem with time windows: compact formulation and branch-price-and-cut method

  • Douglas Alem
  • Jonathan De La Vega
  • Jacek Gondzio
  • Reinaldo Morabito
  • Pedro Munari
  • Alfredo Moreno
    • Categories Applications - OR and Management Sciences, Robust Optimization, Transportation

    We address the robust vehicle routing problem with time windows (RVRPTW) under customer demand and travel time uncertainties. As presented thus far in the literature, robust counterparts of standard formulations have challenged general-purpose optimization solvers and specialized branch-and-cut methods. Hence, optimal solutions have been reported for small-scale instances only. Additionally, although the most successful methods … Read more

    Generalization Bounds for Regularized Portfolio Selection with Market Side Information

  • Thierry Bazier-Matte
  • Erick Delage
    • Categories Applications - OR and Management Sciences, Finance and Economics

    Drawing on statistical learning theory, we derive out-of-sample and suboptimal guarantees about the investment strategy obtained from a regularized portfolio optimization model which attempts to exploit side information about the financial market in order to reach an optimal risk-return tradeoff. This side information might include for instance recent stock returns, volatility indexes, financial news indicators, … Read more

    An exact algorithm to find non-dominated facets of Tri-Objective MILPs

  • Ali Fattahi
  • Metin Turkay
  • Seyyed Amir Babak Rasmi
    • Categories (Mixed) Integer Linear Programming, Multi-Criteria Optimization Tags , ,

    Many problems in real life have more than one decision criterion, referred to as multi-objective optimization (MOO) problems, and the objective functions of these problems are conflicting in most cases. Hence, finding non-dominated solutions is very critical for decision making process. Tri-objective mixed-integer linear programs (TOMILP) are an important subclass of MOOs that are applicable … Read more

    Local attractors of newton-type methods for constrained equations and complementarity problems with nonisolated solutions

  • Andreas Fischer
  • Alexey F. Izmailov
  • Mikhail V. Solodov
    • Categories Complementarity and Variational Inequalities, Nonlinear Systems and Least-Squares

    For constrained equations with nonisolated solutions, we show that if the equation mapping is 2-regular at a given solution with respect to a direction in the null space of the Jacobian, and this direction is interior feasible, then there is an associated domain of starting points from which a family of Newton-type methods is well-de ned … Read more

    Mathematical Programming Formulations for Piecewise Polynomial Functions

  • Bjarne Grimstad
  • Brage Rugstad Knudsen
    • Categories (Mixed) Integer Nonlinear Programming Tags , , ,

    This paper studies mathematical programming formulations for solving optimization problems with piecewise polynomial (PWP) constraint functions. We elaborate on suitable polynomial bases as a means of efficiently representing PWPs in mathematical programs, comparing and drawing connections between the monomial basis, the Bernstein basis, and B-splines. The theory is presented for both continuous and semi-continuous PWPs. … Read more

    Combinatorial Integral Approximation Decompositions for Mixed-Integer Optimal Control

  • Sebastian Sager
  • Tobias Weber
  • Clemens Zeile
    • Categories (Mixed) Integer Linear Programming, (Mixed) Integer Nonlinear Programming, Systems governed by Differential Equations Optimization Tags , , , , ,

    Solving mixed-integer nonlinear programs (MINLPs) is hard in theory and practice. Decomposing the nonlinear and the integer part seems promising from a computational point of view. In general, however, no bounds on the objective value gap can be guaranteed and iterative procedures with potentially many subproblems are necessary. The situation is different for mixed-integer optimal … Read more

    An algorithmic framework based on primitive directions and nonmonotone line searches for black box problems with integer variables

  • Giampaolo Liuzzi
  • Stefano Lucidi
  • Francesco Rinaldi
    • Categories Integer Programming, Optimization Software and Modeling Systems

    In this paper, we develop a new algorithmic framework that handles black box problems with integer variables. The strategy included in the framework makes use of specific search directions (so called primitive directions) and a suitably developed nonmonotone line search, thus guaranteeing a high level of freedom when exploring the integer lattice. We first describe … Read more

    A Progressive Batching L-BFGS Method for Machine Learning

  • Raghu Bollapragada
  • Jorge Nocedal
  • Hao-Jun Shi
  • Ping Tak Peter Tang
  • Dheevatsa Mudigere
    • Categories Convex Optimization, Nonlinear Optimization, Stochastic Programming Tags , , ,

    The standard L-BFGS method relies on gradient approximations that are not dominated by noise, so that search directions are descent directions, the line search is reliable, and quasi-Newton updating yields useful quadratic models of the objective function. All of this appears to call for a full batch approach, but since small batch sizes give rise … Read more

    Extensions of Yuan’s Lemma to fourth-order tensor system with applications

  • Qingzhi Yang
  • Yuning Yang
  • Yang Zhou
    • Categories Constrained Nonlinear Optimization, Semi-definite Programming

    Yuan’s lemma is a basic proposition on homogeneous quadratic function system. In this paper, we extend Yuan’s lemma to 4th-order tensor system. We first give two gen- eralized definitions of positive semidefinite of 4th-order tensor, and based on them, two extensions of Yuan’s lemma are proposed. We illustrate the difference between our ex- tensions and … Read more

    Pointed Closed Convex Sets are the Intersection of All Rational Supporting Closed Halfspaces

  • Marcel K. de Carli Silva
  • Levent Tunçel
    • Categories Convex and Nonsmooth Optimization, Integer Programming Tags ,

    We prove that every pointed closed convex set in $\mathbb{R}^n$ is the intersection of all the rational closed halfspaces that contain it. This generalizes a previous result by the authors for compact convex sets. Citation arXiv:1802.03296. February 2018 Article Download View Pointed Closed Convex Sets are the Intersection of All Rational Supporting Closed Halfspaces