semi-definite program

Exact and Approximation Algorithms for Sparse PCA

  • Yongchun Li
  • Weijun Xie
    • Categories Integer Programming Tags , , , , ,

    Sparse Principal Component Analysis (SPCA) is designed to enhance the interpretability of traditional Principal Component Analysis (PCA) by optimally selecting a subset of features that comprise the first principal component. Given the NP-hard nature of SPCA, most current approaches resort to approximate solutions, typically achieved through tractable semidefinite programs (SDPs) or heuristic methods. To solve SPCA to … Read more

    Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems

  • Amir Ardestani-Jaafari
  • Erick Delage
    • Categories (Mixed) Integer Linear Programming, Production and Logistics, Robust Optimization Tags , , , , , ,

    Robust optimization is a methodology that has gained a lot of attention in the recent years. This is mainly due to the simplicity of the modeling process and ease of resolution even for large scale models. Unfortunately, the second property is usually lost when the cost function that needs to be robustified is not concave … Read more