In this paper, we focus on a linear optimization problem with uncertainties, having expectations in the objective and in the set of constraints. We present a modular framework to obtain an approximate solution to the problem that is distributionally robust, and more flexible than the standard technique of using linear rules. Our framework begins by … Read more
The present article studies the efficiency of a strategy, incorporating some options and seeking to super-duplicate a standard allocation policy. The replication strategy allows reducing transaction cost effects. The replication means optimizing two objective-functions: MSE (Mean-squared Errors) and WMSE (Weighted Mean-squared Errors). Tests on portfolio efficiency concern, at first time, a long-term investor with Out-The-Country … Read more
We study a first-order method to find the minimum cross-sectional area ellipsoidal cylinder containing a finite set of points. This problem arises in optimal design in statistics when one is interested in a subset of the parameters. We provide convex formulations of this problem and its dual, and analyze a method based on the Frank-Wolfe … Read more
We consider existence and uniqueness properties of a solution to homogeneous cone complementarity problem (HCCP). Employing the $T$-algebraic characterization of homogeneous cones, we generalize the $P, P_0, R_0$ properties for a nonlinear function associated with the standard nonlinear complementarity problem to the setting of HCCP. We prove that if a continuous function has either the … Read more
In this paper, we introduce a new P-type condition for nonlinear functions defined over Euclidean Jordan algebras, and study a continuation method for nonlinear complementarity problems over symmetric cones. This new P-type condition represents a new class of nonmonotone nonlinear complementarity problems that can be solved numerically. CitationResearch Report, Division of Mathematical Sciences, School of … Read more
In this chapter we present a primal-dual interior point algorithm for solving constrained nonlinear programming problems. Switching rules are implemented that aim at exploiting the merits and avoiding the drawbacks of three different merit functions. The penalty parameter is determined using an adaptive penalty strategy that ensures a descent property for the merit function. The … Read more
We present a simple, first-order approximation algorithm for the support vector classification problem. Given a pair of linearly separable data sets and $\epsilon \in (0,1)$, the proposed algorithm computes a separating hyperplane whose margin is within a factor of $(1-\epsilon)$ of that of the maximum-margin separating hyperplane. We discuss how our algorithm can be extended … Read more
We consider a constrained optimization problem with mixed integer and real variables. It models optimal placement of communications relay nodes in the presence of obstacles. This problem is widely encountered, for instance, in robotics, where it is required to survey some target located in one point and convey the gathered information back to a base … Read more
The Matlab implementation of a trust-region Gauss-Newton method for bound-constrained nonlinear least-squares problems is presented. The solver, called TRESNEI, is adequate for zero and small-residual problems and handles the solution of nonlinear systems of equalities and inequalities. The structure and the usage of the solver are described and an extensive numerical comparison with functions from … Read more
We develop a framework for a class of derivative-free algorithms for the least-squares minimization problem. These algorithms are based on polynomial interpolation models and are designed to take advantages of the problem structure. Under suitable conditions, we establish the global convergence and local quadratic convergence properties of these algorithms. Promising numerical results indicate the algorithm … Read more