Decomposition methods – Optimization Online

Active Set-based Inexact Proximal Bundle Algorithm for Stochastic Quadratic Programming

Published: 2024/01/25, Updated: 2024/02/01

Convex Optimization, Stochastic Programming active-set methods, Decomposition methods, inexact solution algorithms., quadratic programming, stochastic programming

In this paper, we examine two-stage stochastic quadratic programming problems, where the objective function of the first and second stages are quadratic functions, and the constraints are linear. The uncertainty is associated with the second-stage right-hand side and variable bounds. In large-scale settings, when the number of scenarios necessary to represent the underlying stochastic process … Read more

Asset liability management under sequential stochastic dominance constraints

Published: 2023/11/24

Darinka Dentcheva

Francesca Maggioni

Giovanni Micheli

Finance and Economics, Stochastic Programming Asset-liability management, Decomposition methods, multistage stochastic programming, stochastic dominance, time consistency

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A decomposition method for lasso problems with zero-sum constraint

Published: 2022/04/14, Updated: 2022/09/23

Andrea Cristofari

Nonlinear Optimization active-set methods, Constrained lasso, Convex programming, Decomposition methods, nonlinear programming

In this paper, we consider lasso problems with zero-sum constraint, commonly required for the analysis of compositional data in high-dimensional spaces. A novel algorithm is proposed to solve these problems, combining a tailored active-set technique, to identify the zero variables in the optimal solution, with a 2-coordinate descent scheme. At every iteration, the algorithm chooses … Read more