statistical estimation

A Graphical Global Optimization Framework for Parameter Estimation of Statistical Models with Nonconvex Regularization Functions

  • Danial Davarnia
    • Categories (Mixed) Integer Nonlinear Programming, Branch and Cut Algorithms, Global Optimization Theory Tags , , , ,

    Optimization problems with norm-bounding constraints appear in various applications, from portfolio optimization to machine learning, feature selection, and beyond. A widely used variant of these problems relaxes the norm-bounding constraint through Lagrangian relaxation and moves it to the objective function as a form of penalty or regularization term. A challenging class of these models uses … Read more

    Computational Aspects of Bayesian Solution Estimators in Stochastic Optimization

  • Gérard Cornuéjols
  • Danial Davarnia
  • Burak Kocuk
    • Categories Statistics, Stochastic Approaches, Stochastic Programming Tags , , , ,

    We study a class of stochastic programs where some of the elements in the objective function are random, and their probability distribution has unknown parameters. The goal is to find a good estimate for the optimal solution of the stochastic program using data sampled from the distribution of the random elements. We investigate two common … Read more