On the Sparsity of Optimal Linear Decision Rules in Robust Optimization

We consider the widely-studied class of production-inventory problems with box uncertainty sets from the seminal work of Ben-Tal et al. (2004) on linear decision rules in robust optimization. We prove that there always exists an optimal linear decision rule for this class of problems in which the number of nonzero parameters in the linear decision … Read more

Revisiting Degeneracy, Strict Feasibility, Stability, in Linear Programming

Currently, the simplex method and the interior point method are indisputably the most popular algorithms for solving linear programs, LPs. Unlike general conic programs, LPs with a finite optimal value do not require strict feasibility in order to establish strong duality. Hence strict feasibility is seldom a concern, even though strict feasibility is equivalent to … Read more

The SCIP Optimization Suite 8.0

The SCIP Optimization Suite provides a collection of software packages for mathematical optimization centered around the constraint integer programming framework SCIP. This paper discusses enhancements and extensions contained in version 8.0 of the SCIP Optimization Suite. Major updates in SCIP include improvements in symmetry handling and decomposition algorithms, new cutting planes, a new plugin type … Read more

A Robust Optimization Method with Successive Linear Programming for Intensity Modulated Radiation Therapy

Intensity modulated radiation therapy (IMRT) is one of radiation therapies for cancers, and it is considered to be effective for complicated shapes of tumors, since dose distributions from each irradiation can be modulated arbitrary. Fluence map optimization (FMO), which optimizes beam intensities with given beam angles, is often formulated as an optimization problem with dose … Read more

Log-domain interior-point methods for convex quadratic programming

Applying an interior-point method to the central-path conditions is a widely used approach for solving quadratic programs. Reformulating these conditions in the log-domain is a natural variation on this approach that to our knowledge is previously unstudied. In this paper, we analyze log-domain interior-point methods and prove their polynomial-time convergence. We also prove that they … Read more

Efficient Joint Object Matching via Linear Programming

Joint object matching, also known as multi-image matching, namely, the problem of finding consistent partial maps among all pairs of objects within a collection, is a crucial task in many areas of computer vision. This problem subsumes bipartite graph matching and graph partitioning as special cases and is NP-hard, in general. We develop scalable linear … Read more

Practical Large-Scale Linear Programming using Primal-Dual Hybrid Gradient

We present PDLP, a practical first-order method for linear programming (LP) that can solve to the high levels of accuracy that are expected in traditional LP applications. In addition, it can scale to very large problems because its core operation is matrix-vector multiplications. PDLP is derived by applying the primal-dual hybrid gradient (PDHG) method, popularized … Read more

Infeasibility detection with primal-dual hybrid gradient for large-scale linear programming

We study the problem of detecting infeasibility of large-scale linear programming problems using the primal-dual hybrid gradient method (PDHG) of Chambolle and Pock (2011). The literature on PDHG has mostly focused on settings where the problem at hand is assumed to be feasible. When the problem is not feasible, the iterates of the algorithm do … Read more

Stochastic Dual Dynamic Programming And Its Variants – A Review

We provide a tutorial-type review on stochastic dual dynamic programming (SDDP), as one of the state-of-the-art solution methods for large-scale multistage stochastic programs. Since introduced about 30 years ago for solving large-scale multistage stochastic linear programming problems in energy planning, SDDP has been applied to practical problems from several fields and is enriched by various … Read more

Learning To Scale Mixed-Integer Programs

Many practical applications require the solution of numerically challenging linear programs (LPs) and mixed-integer programs (MIPs). Scaling is a widely used preconditioning technique that aims at reducing the error propagation of the involved linear systems, thereby improving the numerical behavior of the dual simplex algorithm and, consequently, LP-based branch-and-bound. A reliable scaling method often makes … Read more