The paper proposes a constrained Nonlinear Programming methodology for volatility estimation with GARCH models. These models are usually developed and solved as unconstrained optimization problems whereas they actually fit into nonlinear, nonconvex problems. Computational results on FTSE 100 and S & P 500 indices with up to 1500 data points are given and contrasted to … Read more
Polynomial cutting plane methods based on the logarithmic barrier function and on the volumetric center are surveyed. These algorithms construct a linear programming relaxation of the feasible region, find an appropriate approximate center of the region, and call a separation oracle at this approximate center to determine whether additional constraints should be added to the … Read more
This work reports the results of evaluating all computer codes submitted to the Seventh DIMACS Implementation Challenge on Semidefinite and Related Optimization Problems. The codes were run on a standard platform and on all the benchmark problems provided by the organizers of the challenge. A total of ten codes were tested on fifty problems in … Read more
We define a class of parabolic problems with control and state constraints and identify a problem within this class which possesses a locally unique critical point satisfying the second order sufficient optimality conditions. In this solution inequality constraints on the control are strongly active. The second derivative of the Lagrangian is not globally coercive. This … Read more
The Cardinality Constrained Circuit Problem (CCCP) is the problem of finding a minimum cost circuit in a graph where the circuit is constrained to have at most $k$ edges. The CCCP is NP-Hard. We present classes of facet-inducing inequalities for the convex hull of feasible circuits. ArticleDownload View PDF
We present new fixed parameter algorithms for feedback vertex set and disjoint cycles on planar graphs. We give an $O(c^{\sqrt{k}} + n)$ algorithm for $k$-feedback vertex set and an $O(c^{\sqrt{k}} n)$ algorithm for $k$-disjoint cycles on planar graphs. CitationManuscript 4 July, 2001.ArticleDownload View PDF
Sherali and Adams \cite{SA90}, Lov\’asz and Schrijver \cite{LS91} and, recently, Lasserre \cite{Las01b} have proposed lift and project methods for constructing hierarchies of successive linear or semidefinite relaxations of a $0-1$ polytope $P\subseteq \oR^n$ converging to $P$ in $n$ steps. Lasserre’s approach uses results about representations of positive polynomials as sums of squares and the dual … Read more
The central path in linear optimization always converges to the analytic center of the optimal set. This result was extended to semidefinite programming by Goldfarb and Scheinberg (SIAM J. Optim. 8: 871-886, 1998). In this paper we show that this latter result is not correct in the absence of strict complementarity. We provide a counterexample, … Read more
The `Progressive Party Problem’ [smith1995] has long been considered a problem intractable for branch-and-bound mixed integer solvers. Quite impressive results have been reported with constraint programming systems for this problem. As a result the problem has become a standard example in texts on constraint programming. Fortunately, there has been progress in the mixed integer programming … Read more
A frame relay service offers virtual private networks to customers by provisioning a set of long-term private virtual circuits (PVCs) between customer endpoints on a large backbone network. During the provisioning of a PVC, routing decisions are made without any knowledge of future requests. Over time, these decisions can cause inefficiencies in the network and … Read more