interior penalty methods

Characterization of an Anomalous Behavior of a Practical Smoothing Technique

  • Pedro Borges de Melo
    • Categories Game Theory, Nonlinear Optimization, Nonsmooth Optimization Tags , , ,

    A practical smoothing method was analyzed and tested against state-of-the-art solvers for some non-smooth optimization problems in [BSS20a; BSS20b]. This method can be used to smooth the value functions and solution mappings of fully parameterized convex problems under mild conditions. In general, the smoothing of the value function lies from above the true value function … Read more

    Decomposition Algorithms for Some Deterministic and Two-Stage Stochastic Single-Leader Multi-Follower Games

  • Pedro Borges de Melo
  • Claudia Sagastizábal
  • Mikhail V. Solodov
    • Categories Complementarity and Variational Inequalities, Nonsmooth Optimization, Stochastic Programming Tags , , , , ,

    We consider a certain class of hierarchical decision problems that can be viewed as single-leader multi-follower games, and be represented by a virtual market coordinator trying to set a price system for traded goods, according to some criterion that balances supply and demand. The objective function of the market coordinator involves the decisions of many … Read more