semi-definite program

Exact and Approximation Algorithms for Sparse PCA

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

    Sparse PCA (SPCA) is a fundamental model in machine learning and data analytics, which has witnessed a variety of application areas such as finance, manufacturing, biology, healthcare. To select a prespecified-size principal submatrix from a covariance matrix to maximize its largest eigenvalue for the better interpretability purpose, SPCA advances the conventional PCA with both feature … 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