Fair Distributional Reinforcement Learning
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Improved Approximation Algorithms for Low-Rank Problems Using Semidefinite Optimization
Inspired by the impact of the Goemans-Williamson algorithm on combinatorial optimization, we construct an analogous relax-then-round strategy for low-rank optimization problems. First, for orthogonally constrained quadratic optimization problems, we derive a semidefinite relaxation and a randomized rounding scheme that obtains provably near-optimal solutions, building on the blueprint from Goemans and Williamson for the Max-Cut problem. … Read more
Bi-Parameterized Two-Stage Stochastic Min-Max and Min-Min Mixed Integer Programs
We introduce two-stage stochastic min-max and min-min integer programs with bi-parameterized recourse (BTSPs), where the first-stage decisions affect both the objective function and the feasible region of the second-stage problem. To solve these programs efficiently, we introduce Lagrangian-integrated \(L\)-shaped (\(L^2\)) methods, which guarantee exact solutions when the first-stage decisions are pure binary. For mixed-binary first-stage … Read more
High-Probability Polynomial-Time Complexity of Restarted PDHG for Linear Programming
The restarted primal-dual hybrid gradient method (rPDHG) is a first-order method that has recently received significant attention for its computational effectiveness in solving linear program (LP) problems. Despite its impressive practical performance, the theoretical iteration bounds for rPDHG can be exponentially poor. To shrink this gap between theory and practice, we show that rPDHG achieves … Read more
Proximity results in convex mixed-integer programming
We study proximity (resp. integrality gap), that is, the distance (resp. difference) between the optimal solutions (resp. optimal values) of convex integer programs (IP) and the optimal solutions (resp. optimal values) of their continuous relaxations. We show that these values can be upper bounded in terms of the recession cone of the feasible region of … Read more
Insights into the computational complexity of the single-source capacitated facility location problem with customer preferences
Single-source capacitated facility location problems are well studied in the operations research literature, yet classic problems often lack practicability by disregarding the customers’ perspective: An authority that assigns customers to open facilities deprives customers from choosing facilities according to their individual preferences. In reality, this can render solutions infeasible, as customers may deviate to their … Read more
Two-Stage Distributionally Robust Optimization: Intuitive Understanding and Algorithm Development from the Primal Perspective
In this paper, we study the two-stage distributionally robust optimization (DRO) problem from the primal perspective. Unlike existing approaches, this perspective allows us to build a deeper and more intuitive understanding on DRO, to leverage classical and well established solution methods and to develop a general and fast decomposition algorithm (and its variants), and to … Read more
Solving Multi-Follower Mixed-Integer Bilevel Problems with Binary Linking Variables
We study multi-follower bilevel optimization problems with binary linking variables where the second level consists of many independent integer-constrained subproblems. This problem class not only generalizes many classical interdiction problems but also arises naturally in many network design problems where the second-level subproblems involve complex routing decisions of the actors involved. We propose a novel … Read more
Multiple Kernel Learning-Aided Column-and-Constraint Generation Method
Two-stage robust optimization (two-stage RO), due to its ability to balance robustness and flexibility, has been widely used in various fields for decision-making under uncertainty. This paper proposes a multiple kernel learning (MKL)-aided column-and-constraint generation (CCG) method to address this issue in the context of data-driven decision optimization, and releases a corresponding registered Julia package, … Read more
Primal-dual proximal bundle and conditional gradient methods for convex problems
This paper studies the primal-dual convergence and iteration-complexity of proximal bundle methods for solving nonsmooth problems with convex structures. More specifically, we develop a family of primal-dual proximal bundle methods for solving convex nonsmooth composite optimization problems and establish the iteration-complexity in terms of a primal-dual gap. We also propose a class of proximal bundle … Read more