In this paper, we develop a Parameterized Proximal Point Algorithm (P-PPA) for solving a class of separable convex programming problems subject to linear and convex constraints. The proposed algorithm is provable to be globally convergent with a worst-case $O(1/t)$ convergence rate, where $t$ is the iteration number. By properly choosing the algorithm parameters, numerical experiments … Read more
This paper presents a mixed-integer quadratically constrained programming (MIQCP) formulation for B-spline constraints. The formulation can be used to obtain an exact MIQCP reformulation of any spline-constrained optimization problem, provided that the polynomial spline functions are continuous. This reformulation allows practitioners to use a general-purpose MIQCP solver, instead of a special-purpose spline solver, when solving … Read more
A lower bound for a finite-scenario-based chance-constrained program is the quantile value corresponding to the sorted optimal objective values of scenario subproblems. This quantile bound can be improved by grouping subsets of scenarios at the expense of solving larger subproblems. The quality of the bound depends on how the scenarios are grouped. In this paper, … Read more
We consider image deblurring problem in the presence of impulsive noise. It is known that \emph{total variation} (TV) regularization with L1-norm penalized data fitting (TVL1 for short) works reasonably well only when the level of impulsive noise is relatively low. For high level impulsive noise, TVL1 works poorly. The reason is that all data, both … Read more
In this paper, we introduce and study a two-stage distributionally robust mixed binary problem (TSDR-MBP) where the random parameters follow the worst-case distribution belonging to an uncertainty set of probability distributions. We present a decomposition algorithm, which utilizes distribution separation procedure and parametric cuts within Benders’ algorithm or L-shaped method, to solve TSDR-MBPs with binary … Read more
In two recent papers regularization methods based on Taylor polynomial models for minimization were proposed that only rely on H\”older conditions on the higher order employed derivatives. Grapiglia and Nesterov considered cubic regularization with a sufficient descent condition that uses the current gradient and resembles the classical Armijo’s criterion. Cartis, Gould, and Toint used Taylor … Read more
Robust model predictive control approaches and other applications lead to nonlinear optimization problems defined on (scenario) trees. We present structure-preserving Quasi-Newton update formulas as well as structured inertia correction techniques that allow to solve these problems by interior-point methods with specialized KKT solvers for tree-structured optimization problems. The same type of KKT solvers could be … Read more
This paper describes a new instance library for Quadratic Programming (QP), i.e., the family of continuous and (mixed)-integer optimization problems where the objective function, the constrains, or both are quadratic. QP is a very “varied” class of problems, comprising sub-classes of problems ranging from trivial to undecidable. Solution methods for QP are very diverse, ranging … Read more
We present an integrated optimization approach to parameter estimation for discrete choice demand models where data for one or more choice alternatives are censored. We employ a mixed-integer program (MIP) to jointly determine the prediction parameters associated with the customer arrival rate and their substitutive choices. This integrated approach enables us to recover proven, (near-) … Read more
This paper establishes convergence rate bounds for a variant of the proximal alternating direction method of multipliers (ADMM) for solving nonconvex linearly constrained optimization problems. The variant of the proximal ADMM allows the inclusion of an over-relaxation stepsize parameter belonging to the interval (0,2). To the best of our knowledge, all related papers in the … Read more