Many aspects of the classical price-setting newsvendor problem have been studied in the literature and most of the results pertain to the case where the price-demand relationship and demand distribution are explicitly provided. However, in practice, one needs to model and estimate these from historical sales data. Furthermore, many other drivers besides price must be … Read more
We consider a parametric stochastic quasi-variational inequality problem (SQVIP for short) where the underlying normal cone is de ned over the solution set of a parametric stochastic cone system. We investigate the impact of variation of the probability measure and the parameter on the solution of the SQVIP. By reformulating the SQVIP as a natural equation … Read more
It is well known that selecting a good Mixed Integer Programming (MIP) formulation is crucial for an effective solution with state-of-the art solvers. While best practices and guidelines for constructing good formulations abound, there is rarely a systematic construction leading to the best possible formulation. We introduce embedding formulations and complexity as a new MIP … Read more
In this paper, we consider the polyhedral structure of the integrated minimum-up/-down time and ramping polytope for the unit commitment problem. Our studied generalized polytope includes minimum-up/-down time constraints, generation ramp-up/-down rate constraints, logical constraints, and generation upper/lower bound constraints. We derive strong valid inequalities by utilizing the structures of the unit commitment problem, and … Read more
We present a new Adaptive Regularization by Cubics (ARC) algorithm, which we name \arcq\ and which is very close in spirit to trust region methods, closer than the original ARC is. We prove global convergence to second-order critical points. We also obtain as a corollary the convergence of the original ARC method. We prove the … Read more
A very important part of research in Mathematical Optimization field is to benchmark optimization packages because it is one of the ways to compare solvers. During benchmarking, one usually obtains a large amount of information, like CPU time, number of functions evaluations, number of iterations and much more. This information, if presented as tables, can … Read more
For chance-constrained programming (CCP) with non-Gaussian uncertainty, the optimization is generally intractable owing to the complicated probability density function (PDF). Using a simple fitted distribution with Kullback-Leibler (KL) divergence to represent the PDF mismatch is a systematic way to tackle CCP with non-Gaussian uncertainty. However, the essential difficulty of this methodology is to choose the … Read more
We describe new computer-based search strategies for extreme functions for the Gomory–Johnson infinite group problem. They lead to the discovery of new extreme functions, whose existence settles several open questions. ArticleDownload View PDF
This paper describes a bundle method for (approximately) minimizing complicated nonsmooth convex functions with additive structure, with the primary goal of computing bounds on the solution values of difficult optimization problems such as stochastic integer programs. The method combines features that have appeared in previously proposed bundle methods, but not in the particular configuration we … Read more
The types of constraints encountered in black-box simulation-based optimization problems differ significantly from those addressed in nonlinear programming. We introduce a characterization of constraints to address this situation. We provide formal definitions for several constraint classes and present illustrative examples in the context of the resulting taxonomy. This taxonomy, denoted KARQ, is useful for modeling … Read more