The classical single-band uncertainty model introduced by Bertsimas and Sim has represented a breakthrough in the development of tractable robust counterparts of Linear Programs. However, adopting a single deviation band may be too limitative in practice: in many real-world problems, observed deviations indeed present asymmetric distributions over asymmetric ranges, so that getting a higher modeling … Read more
One main objective of research in the area of mixed-integer programming is developing cutting plane techniques to improve the solvability of mixed-integer programs (MIPs). Various cutting plane separators are typically available in MIP solvers. The large number of cutting planes generated by these separators, however, can pose a computational problem. Therefore, a sophisticated cut management … Read more
Split cuts are among the most important and well-understood cuts for general mixed-integer programs. In this paper we consider some recent generalizations of split cuts and compare their relative strength. More precisely, we compare the elementary closures of {split}, {cross}, {crooked cross} and general {multi-branch split cuts} as well as cuts obtained from multi-row and … Read more
We give an algorithm for testing the extremality of a large class of minimal valid functions for the two-dimensional infinite group problem. ArticleDownload View PDF
In this paper we argue for aggregated models in decomposition schemes for two-stage stochastic programming problems. We observe that analogous schemes proved effective for single-stage risk-averse problems, and for general linear programming problems. A major drawback of the aggregated approach for two-stage problems is that an aggregated master problem can not contain all the information … Read more
We give an algorithm for testing the extremality of minimal valid functions for Gomory and Johnson’s infinite group problem, that are piecewise linear (possibly discontinuous) with rational breakpoints. This is the first set of necessary and sufficient conditions that can be tested algorithmically, for deciding extremality in this important class of minimal valid functions. ArticleDownload … Read more
In recent years, branch-and-cut algorithms have become firmly established as the most effective method for solving generic mixed integer linear programs (MILPs). Methods for automatically generating inequalities valid for the convex hull of solutions to such MILPs are a critical element of branch-and-cut. This paper examines the nature of the so-called separation problem, which is … Read more
In case of a special problem class, the simplex method can be implemented as a cutting-plane method that approximates a certain convex polyhedral objective function. In this paper we consider a regularized version of this cutting-plane method, and interpret the resulting procedure as a regularized simplex method. (Regularization is performed in the dual space and … Read more
The feasibility pump is a recent, highly successful heuristic for general mixed integer linear programming problems. We show that the feasibility pump heuristic can be interpreted as a discrete version of the proximal point algorithm. In doing so, we extend and generalize some of the fundamental results in this area to provide new supporting theory. … Read more
This paper introduces novel formulations for optimally responding to epidemics and cyber attacks in networks. In our models, at a given time period, network nodes (e.g., users or computing resources) are associated with probabilities of being infected, and each network edge is associated with some probability of propagating the infection. A decision maker would like … Read more