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作者：Lin, Gui-Hua; Chen, Xiaojun; Fukushima, Masao
作者单位：Kyoto University; Dalian University of Technology; Hirosaki University
摘要：In this paper, we consider the stochastic mathematical programs with linear complementarity constraints, which include two kinds of models called here-and-now and lower-level wait-and-see problems. We present a combined smoothing implicit programming and penalty method for the problems with a finite sample space. Then, we suggest a quasi-Monte Carlo approximation method for solving a problem with continuous random variables. A comprehensive convergence theory is included as well. We further re...
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作者：Mordukhovich, Boris S.
作者单位：Wayne State University
摘要：The paper is devoted to new applications of advanced tools of modern variational analysis and generalized differentiation to the study of broad classes of multiobjective optimization problems subject to equilibrium constraints in both finite-dimensional and infinite-dimensional settings. Performance criteria in multiobjective/vector optimization are defined by general preference relationships satisfying natural requirements, while equilibrium constraints are described by parameterized generali...
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作者：Gossner, Olivier; Laraki, Rida; Tomala, Tristan
作者单位：Universite PSL; Universite Paris-Dauphine; Universite PSL; Ecole Normale Superieure (ENS); Ecole des Hautes Etudes en Sciences Sociales (EHESS); Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Northwestern University; Institut Polytechnique de Paris; Ecole Polytechnique; heSam Universite; Conservatoire National Arts & Metiers (CNAM); Centre National de la Recherche Scientifique (CNRS)
摘要：This papers studies an optimization problem under entropy constraints arising from repeated games with signals. We provide general properties of solutions and a full characterization of optimal solutions for 2 x 2 sets of actions. As an application we compute the minmax values of some repeated games with signals.
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作者：Anily, Shoshana; Tzur, Michal; Wolsey, Laurence A.
作者单位：Universite Catholique Louvain; Tel Aviv University; Tel Aviv University
摘要：We consider a multi-item lot-sizing problem with joint set-up costs and constant capacities. Apart from the usual per unit production and storage costs for each item, a set-up cost is incurred for each batch of production, where a batch consists of up to C units of any mix of the items. In addition, an upper bound on the number of batches may be imposed. Under widely applicable conditions on the storage costs, namely that the production and storage costs are nonspeculative, and for any two ite...
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作者：Belloni, Alexandre; Freund, Robert M.
作者单位：Massachusetts Institute of Technology (MIT); Duke University
摘要：For a conic linear system of the form Ax is an element of K, K a convex cone, several condition measures have been extensively studied in the last dozen years. Among these, Renegar's condition number C(A) is arguably the most prominent for its relation to data perturbation, error bounds, problem geometry, and computational complexity of algorithms. Nonetheless, C(A) is a representation-dependent measure which is usually difficult to interpret and may lead to overly conservative bounds of compu...
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作者：Dentcheva, Darinka; Ruszczynski, Andrzej
作者单位：Rutgers University System; Rutgers University New Brunswick; Stevens Institute of Technology
摘要：We consider stochastic optimization problems where risk-aversion is expressed by a stochastic ordering constraint. The constraint requires that a random vector depending on our decisions stochastically dominates a given benchmark random vector. We identify a suitable multivariate stochastic order and describe its generator in terms of von Neumann-Morgenstern utility functions. We develop necessary and sufficient conditions of optimality and duality relations for optimization problems with this...
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作者：Giandomenico, Monia; Letchford, Adam N.; Rossi, Fabrizio; Smriglio, Stefano
作者单位：University of L'Aquila; Lancaster University
摘要：Although the lift-and-project operators of Lovasz and Schrijver have been the subject of intense study, their M(K, K) operator has received little attention. We consider an application of this operator to the stable set problem. We begin with an initial linear programming (LP) relaxation consisting of clique and non-negativity inequalities, and then apply the operator to obtain a stronger extended LP relaxation. We discuss theoretical properties of the resulting relaxation, describe the issues...
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作者：Ban, Liqun; Song, Wen
作者单位：Harbin Normal University; Harbin University of Science & Technology
摘要：In this paper, motivated by a result due to Champion [Math. Program. 99, 2004], we introduce a property D(y) for a conic quasi-convex vector-valued function in a general normed space. We prove that this property D(y) characterizes the zero duality gap for a class of the conic convex constrained optimization problem in the sense that if this property is satisfied and the objective function f is continuous at some feasible point, then the duality gap is zero, and if this property is not satisfie...
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作者：Ouorou, Adam
作者单位：Orange SA
摘要：An algorithm is developed for minimizing nonsmooth convex functions. This algorithm extends Elzinga-Moore cutting plane algorithm by enforcing the search of the next test point not too far from the previous ones, thus removing compactness assumption. Our method is to Elzinga-Moore's algorithm what a proximal bundle method is to Kelley's algorithm. Instead of lower approximations used in proximal bundle methods, the present approach is based on some objects regularizing translated functions of ...
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作者：Restrepo, Mateo; Williamson, David P.
作者单位：Cornell University; Cornell University
摘要：We give a simple primal algorithm for the generalized maximum flow problem that repeatedly finds and cancels generalized augmenting paths (GAPs). We use ideas of Wallacher (A generalization of the minimum-mean cycle selection rule in cycle canceling algorithms, 1991) to find GAPs that have a good trade-off between the gain of the GAP and the residual capacity of its arcs; our algorithm may be viewed as a special case of Wayne's algorithm for the generalized minimum-cost circulation problem (Wa...
