2017

最新文章

• An improved algorithm for the - minimization problem AI翻译
  作者：Ge, Dongdong; He, Rongchuan; He, Simai
  作者单位：Shanghai University of Finance & Economics; City University of Hong Kong
  摘要：In this paper we consider a class of non-Lipschitz and non-convex minimization problems which generalize the - minimization problem. We propose an iterative algorithm that decides the next iteration based on the local convexity/concavity/sparsity of its current position. We show that our algorithm finds an -KKT point within iterations from certain initial points. The same result is also applied to the problem with general linear constraints under mild conditions.
• Two-stage stochastic variational inequalities: an ERM-solution procedure AI翻译
  作者：Chen, Xiaojun; Pong, Ting Kei; Wets, Roger J-B.
  作者单位：Hong Kong Polytechnic University; University of California System; University of California Davis
  摘要：We propose a two-stage stochastic variational inequality model to deal with random variables in variational inequalities, and formulate this model as a two-stage stochastic programming with recourse by using an expected residual minimization solution procedure. The solvability, differentiability and convexity of the two-stage stochastic programming and the convergence of its sample average approximation are established. Examples of this model are given, including the optimality conditions for ...
• Robust screening under ambiguity AI翻译
  作者：Pinar, Mustafa C.; Kizilkale, Can
  作者单位：Ihsan Dogramaci Bilkent University
  摘要：We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire the good. We assume that the buyer valuations are represented as discrete types drawn from some distribution, which is also unknown to the seller. The seller is averse to possible mis-specification of types distribution, and considers the unknown type density as member of an ambiguity set and seeks an optimal pricing mechanism in a worst...
• Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs AI翻译
  作者：Ahmed, Shabbir; Luedtke, James; Song, Yongjia; Xie, Weijun
  作者单位：University System of Georgia; Georgia Institute of Technology; University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Virginia Commonwealth University
  摘要：We propose two new Lagrangian dual problems for chance-constrained stochastic programs based on relaxing nonanticipativity constraints. We compare the strength of the proposed dual bounds and demonstrate that they are superior to the bound obtained from the continuous relaxation of a standard mixed-integer programming (MIP) formulation. For a given dual solution, the associated Lagrangian relaxation bounds can be calculated by solving a set of single scenario subproblems and then solving a sin...
• Continuous location under the effect of 'refraction' AI翻译
  作者：Blanco, Victor; Puerto, Justo; Ponce, Diego
  作者单位：University of Granada; University of Sevilla; University of Sevilla
  摘要：In this paper we address the problem of locating a new facility on a d-dimensional space when the distance measure (- or polyhedral-norms) is different at each one of the sides of a given hyperplane . We relate this problem with the physical phenomenon of refraction, and extend it to any finite dimensional space and different distances at each one of the sides of any hyperplane. An application to this problem is the location of a facility within or outside an urban area where different distanc...
• On the time transformation of mixed integer optimal control problems using a consistent fixed integer control function AI翻译
  作者：Ringkamp, Maik; Ober-Blobaum, Sina; Leyendecker, Sigrid
  作者单位：University of Erlangen Nuremberg; University of Oxford
  摘要：Nonlinear control systems with instantly changing dynamical behavior can be modeled by introducing an additional control function that is integer valued in contrast to a control function that is allowed to have continuous values. The discretization of a mixed integer optimal control problem (MIOCP) leads to a non differentiable optimization problem and the non differentiability is caused by the integer values. The paper is about a time transformation method that is used to transform a MIOCP wi...
• A fresh CP look at mixed-binary QPs: new formulations and relaxations AI翻译
  作者：Bomze, Immanuel M.; Cheng, Jianqiang; Dickinson, Peter J. C.; Lisser, Abdel
  作者单位：University of Vienna; University of Arizona; University of Twente; Universite Paris Saclay
  摘要：Triggered by Burer's seminal characterization from 2009, many copositive reformulations of mixed-binary QPs have been discussed by now. Most of them can be used as proper relaxations, if the intractable co(mpletely)positive cones are replaced by tractable approximations. While the widely used approximation hierarchies have the disadvantage to use positive-semidefinite (psd) matrices of orders which rapidly increase with the level of approximation, alternatives focus on the problem of keeping p...
• Two-stage non-cooperative games with risk-averse players AI翻译
  作者：Pang, Jong-Shi; Sen, Suvrajeet; Shanbhag, Uday V.
  作者单位：University of Southern California; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：This paper formally introduces and studies a non-cooperative multi-agent game under uncertainty. The well-known Nash equilibrium is employed as the solution concept of the game. While there are several formulations of a stochastic Nash equilibrium problem, we focus mainly on a two-stage setting of the game wherein each agent is risk-averse and solves a rival-parameterized stochastic program with quadratic recourse. In such a game, each agent takes deterministic actions in the first stage and r...
• Finding a low-rank basis in a matrix subspace AI翻译
  作者：Nakatsukasa, Yuji; Soma, Tasuku; Uschmajew, Andre
  作者单位：University of Oxford; University of Tokyo; University of Bonn; University of Bonn
  摘要：For a given matrix subspace, how can we find a basis that consists of low-rank matrices? This is a generalization of the sparse vector problem. It turns out that when the subspace is spanned by rank-1 matrices, the matrices can be obtained by the tensor CP decomposition. For the higher rank case, the situation is not as straightforward. In this work we present an algorithm based on a greedy process applicable to higher rank problems. Our algorithm first estimates the minimum rank by applying s...
• Revisiting k-sum optimization AI翻译
  作者：Puerto, J.; Rodriguez-Chia, A. M.; Tamir, A.
  作者单位：University of Sevilla; Universidad de Cadiz; Tel Aviv University
  摘要：In this paper, we address continuous, integer and combinatorial k-sum optimization problems. We analyze different formulations of this problem that allow to solve it through the minimization of a relatively small number of minisum optimization problems. This approach provides a general tool for solving a variety of k-sum optimization problems and at the same time, improves the complexity bounds of many ad-hoc algorithms previously reported in the literature for particular versions of this prob...