Decomposition Techniques in Mathematical Programming
|
|
|
- Gervase York
- 5 years ago
- Views:
Transcription
1 Antonio J. Conejo Enrique Castillo Roberto Minguez Raquel Garcia-Bertrand Decomposition Techniques in Mathematical Programming Engineering and Science Applications Springer
2 Contents Part I Motivation and Introduction 1 Motivating Examples Motivation Introduction Linear Programming: Complicating Constraints Transnational Soda Company Stochastic Hydro Scheduling River Basin Operation Energy Production Model Linear Programming: Complicating Variables Two-Year Coal and Gas Procurement Capacity Expansion Planning The Water Supply System Nonlinear Programming: Complicating Constraints Production Scheduling Operation of a Multiarea Electricity Network The Wall Design Reliability-based Optimization of a Rubblemound Breakwater Nonlinear Programming: Complicating Variables Capacity Expansion Planning: Revisited Mixed-Integer Programming: Complicating Constraints Unit Commitment Mixed-Integer Programming: Complicating Variables Capacity Expansion Planning: Revisited The Water Supply System: Revisited Concluding Remarks Exercises 62
3 XII Contents Part II Decomposition Techniques 2 Linear Programming: Complicating Constraints Introduction Complicating Constraints: Problem Structure Decomposition The Dantzig-Wolfe Decomposition Algorithm Description Bounds Issues Related to the Master Problem Alternative Formulation of the Master Problem Concluding Remarks Exercises Linear Programming: Complicating Variables Introduction Complicating Variables: Problem Structure Benders Decomposition Description Bounds The Benders Decomposition Algorithm Subproblem Infeasibility Concluding Remarks Exercises Duality Introduction Karush-Kuhn-Tucker First- and Second-Order Optimality Conditions Equality Constraints and Newton Algorithm Duality in Linear Programming Obtaining the Dual Problem from a Primal Problem in Standard Form Obtaining the Dual Problem Duality Theorems Duality in Nonlinear Programming Illustration of Duality and Separability Concluding Remarks Exercises Decomposition in Nonlinear Programming Introduction Complicating Constraints Lagrangian Relaxation 187
4 Contents XIII Decomposition Algorithm Dual Infeasibility Multiplier Updating Augmented Lagrangian Decomposition Decomposition Algorithm Separability Multiplier Updating Penalty Parameter Updating Optimality Condition Decomposition (OCD) Motivation: Modified Lagrangian Relaxation Decomposition Structure Decomposition Algorithm Convergence Properties Complicating Variables Introduction Benders Decomposition Algorithm From Lagrangian Relaxation to Dantzig-Wolfe Decomposition Lagrangian Relaxation in LP Dantzig-Wolfe from Lagrangian Relaxation Concluding Remarks Exercises Decomposition in Mixed-Integer Programming Introduction Mixed-Integer Linear Programming The Benders Decomposition for MILP Problems Convergence Mixed-Integer Nonlinear Programming Complicating Variables: Nonlinear Case The Benders Decomposition Subproblem Infeasibility Convergence Complicating Constraints: Nonlinear Case Outer Linearization Algorithm Convergence Concluding Remarks Exercises 264
5 XIV Contents 7 Other Decomposition Techniques Bilevel Decomposition A Relaxation Method The Cutting Hyperplane Method Bilevel Programming Equilibrium Problems Coordinate Descent Decomposition Banded Matrix Structure Problems Exercises 297 Part III Local Sensitivity Analysis 8 Local Sensitivity Analysis Introduction Statement of the Problem Sensitivities Based on Duality Theory Karush-Kuhn-Tucker Conditions Obtaining the Set of All Dual Variable Values Some Sensitivities of the Objective Function A Practical Method for the Sensitivities of the Objective Function A General Formula for the Sensitivities of the Objective Function A General Method for Obtaining All Sensitivities Determining the Set of All Feasible Perturbations Discussion of Directional and Partial Derivatives Determining Directional Derivatives if They Exist Partial Derivatives Obtaining All Sensitivities at Once Particular Cases No Constraints Same Active Constraints The General Case Sensitivities of Active Constraints Exercises 341 Part IV Applications 9 Applications The Wall Design Method 1: Updating Safety Factor Bounds Method 2: Using Cutting Planes The Bridge Crane Design 361
6 Contents XV Obtaining Relevant Constraints A Numerical Example Network Constrained Unit Commitment Introduction Notation Problem Formulation Solution Approach Production Costing Introduction Notation Problem Formulation Solution Approach Hydrothermal Coordination Introduction Notation Problem Formulation Solution Approach Multiarea Optimal Power Flow Introduction Notation Problem Formulation Solution Approach Sensitivity in Regression Models 389 Part V Computer Codes A Some GAMS Implementations 397 A.l Dantzig-Wolfe Algorithm 397 A.2 Benders Decomposition Algorithm 403 A.3 GAMS Code for the Rubblemound Breakwater Example 407 A.4 GAMS Code for the Wall Problem 410 A.4.1 The Relaxation Method 410 A.4.2 The Cutting Hyperplanes Method 414 Part VI Solution to Selected Exercises B Exercise Solutions 421 B.l Exercises from Chapter B.2 Exercises from Chapter B.3 Exercises from Chapter B.4 Exercises from Chapter B.5 Exercises from Chapter B.6 Exercises from Chapter 6 475
7 XVI Contents B.7 Exercises from Chapter B.8 Exercises from Chapter References 531 Index 537
4y Springer NONLINEAR INTEGER PROGRAMMING
NONLINEAR INTEGER PROGRAMMING DUAN LI Department of Systems Engineering and Engineering Management The Chinese University of Hong Kong Shatin, N. T. Hong Kong XIAOLING SUN Department of Mathematics Shanghai
17. Castillo, E., Mínguez, R., Ruíz-Terán, A., and Fernández-Canteli, A. Design
References 1. Bradley, S. P., Hax, A. C., and Magnanti, T. L. Applied Mathematical Programming. Addison-Wesley Publishing Company, Reading, MA, 1997. 2. Dantzig, G. B. Linear Programming and Extensions.
Appendix A Taylor Approximations and Definite Matrices
Appendix A Taylor Approximations and Definite Matrices Taylor approximations provide an easy way to approximate a function as a polynomial, using the derivatives of the function. We know, from elementary
Capacity Planning with uncertainty in Industrial Gas Markets
Capacity Planning with uncertainty in Industrial Gas Markets A. Kandiraju, P. Garcia Herreros, E. Arslan, P. Misra, S. Mehta & I.E. Grossmann EWO meeting September, 2015 1 Motivation Industrial gas markets
Benders Decomposition
Benders Decomposition Yuping Huang, Dr. Qipeng Phil Zheng Department of Industrial and Management Systems Engineering West Virginia University IENG 593G Nonlinear Programg, Spring 2012 Yuping Huang (IMSE@WVU)
Motivation. Lecture 2 Topics from Optimization and Duality. network utility maximization (NUM) problem:
CDS270 Maryam Fazel Lecture 2 Topics from Optimization and Duality Motivation network utility maximization (NUM) problem: consider a network with S sources (users), each sending one flow at rate x s, through
A Decomposition Based Approach for Solving a General Bilevel Linear Programming
A Decomposition Based Approach for Solving a General Bilevel Linear Programming Xuan Liu, Member, IEEE, Zuyi Li, Senior Member, IEEE Abstract Bilevel optimization has been widely used in decisionmaking
Constrained Optimization
1 / 22 Constrained Optimization ME598/494 Lecture Max Yi Ren Department of Mechanical Engineering, Arizona State University March 30, 2015 2 / 22 1. Equality constraints only 1.1 Reduced gradient 1.2 Lagrange
Machine Learning Support Vector Machines. Prof. Matteo Matteucci
Machine Learning Support Vector Machines Prof. Matteo Matteucci Discriminative vs. Generative Approaches 2 o Generative approach: we derived the classifier from some generative hypothesis about the way
Lagrange Relaxation: Introduction and Applications
1 / 23 Lagrange Relaxation: Introduction and Applications Operations Research Anthony Papavasiliou 2 / 23 Contents 1 Context 2 Applications Application in Stochastic Programming Unit Commitment 3 / 23
A three-level MILP model for generation and transmission expansion planning
A three-level MILP model for generation and transmission expansion planning David Pozo Cámara (UCLM) Enzo E. Sauma Santís (PUC) Javier Contreras Sanz (UCLM) Contents 1. Introduction 2. Aims and contributions
ICS-E4030 Kernel Methods in Machine Learning
ICS-E4030 Kernel Methods in Machine Learning Lecture 3: Convex optimization and duality Juho Rousu 28. September, 2016 Juho Rousu 28. September, 2016 1 / 38 Convex optimization Convex optimisation This
56:270 Final Exam - May
@ @ 56:270 Linear Programming @ @ Final Exam - May 4, 1989 @ @ @ @ @ @ @ @ @ @ @ @ @ @ Select any 7 of the 9 problems below: (1.) ANALYSIS OF MPSX OUTPUT: Please refer to the attached materials on the
Generalization to inequality constrained problem. Maximize
Lecture 11. 26 September 2006 Review of Lecture #10: Second order optimality conditions necessary condition, sufficient condition. If the necessary condition is violated the point cannot be a local minimum
Column Generation for Extended Formulations
1 / 28 Column Generation for Extended Formulations Ruslan Sadykov 1 François Vanderbeck 2,1 1 INRIA Bordeaux Sud-Ouest, France 2 University Bordeaux I, France ISMP 2012 Berlin, August 23 2 / 28 Contents
Math 5593 Linear Programming Week 1
University of Colorado Denver, Fall 2013, Prof. Engau 1 Problem-Solving in Operations Research 2 Brief History of Linear Programming 3 Review of Basic Linear Algebra Linear Programming - The Story About
A Simplified Lagrangian Method for the Solution of Non-linear Programming Problem
Chapter 7 A Simplified Lagrangian Method for the Solution of Non-linear Programming Problem 7.1 Introduction The mathematical modelling for various real world problems are formulated as nonlinear programming
Economic Foundations of Symmetric Programming
Economic Foundations of Symmetric Programming QUIRINO PARIS University of California, Davis B 374309 CAMBRIDGE UNIVERSITY PRESS Foreword by Michael R. Caputo Preface page xv xvii 1 Introduction 1 Duality,
I.3. LMI DUALITY. Didier HENRION EECI Graduate School on Control Supélec - Spring 2010
I.3. LMI DUALITY Didier HENRION henrion@laas.fr EECI Graduate School on Control Supélec - Spring 2010 Primal and dual For primal problem p = inf x g 0 (x) s.t. g i (x) 0 define Lagrangian L(x, z) = g 0
10 Numerical methods for constrained problems
10 Numerical methods for constrained problems min s.t. f(x) h(x) = 0 (l), g(x) 0 (m), x X The algorithms can be roughly divided the following way: ˆ primal methods: find descent direction keeping inside
Mixed Integer Linear Programming Formulation for Chance Constrained Mathematical Programs with Equilibrium Constraints
Mixed Integer Linear Programming Formulation for Chance Constrained Mathematical Programs with Equilibrium Constraints ayed A. adat and Lingling Fan University of outh Florida, email: linglingfan@usf.edu
Statistical Machine Learning from Data
Samy Bengio Statistical Machine Learning from Data 1 Statistical Machine Learning from Data Support Vector Machines Samy Bengio IDIAP Research Institute, Martigny, Switzerland, and Ecole Polytechnique
Lecture 10: Linear programming duality and sensitivity 0-0
Lecture 10: Linear programming duality and sensitivity 0-0 The canonical primal dual pair 1 A R m n, b R m, and c R n maximize z = c T x (1) subject to Ax b, x 0 n and minimize w = b T y (2) subject to
Optimization Problems with Constraints - introduction to theory, numerical Methods and applications
Optimization Problems with Constraints - introduction to theory, numerical Methods and applications Dr. Abebe Geletu Ilmenau University of Technology Department of Simulation and Optimal Processes (SOP)
Solving Bilevel Mixed Integer Program by Reformulations and Decomposition
Solving Bilevel Mixed Integer Program by Reformulations and Decomposition June, 2014 Abstract In this paper, we study bilevel mixed integer programming (MIP) problem and present a novel computing scheme
Nonlinear Optimization: What s important?
Nonlinear Optimization: What s important? Julian Hall 10th May 2012 Convexity: convex problems A local minimizer is a global minimizer A solution of f (x) = 0 (stationary point) is a minimizer A global
System Planning Lecture 7, F7: Optimization
System Planning 04 Lecture 7, F7: Optimization System Planning 04 Lecture 7, F7: Optimization Course goals Appendi A Content: Generally about optimization Formulate optimization problems Linear Programming
Column Generation. ORLAB - Operations Research Laboratory. Stefano Gualandi. June 14, Politecnico di Milano, Italy
ORLAB - Operations Research Laboratory Politecnico di Milano, Italy June 14, 2011 Cutting Stock Problem (from wikipedia) Imagine that you work in a paper mill and you have a number of rolls of paper of
Primal-Dual Interior-Point Methods for Linear Programming based on Newton s Method
Primal-Dual Interior-Point Methods for Linear Programming based on Newton s Method Robert M. Freund March, 2004 2004 Massachusetts Institute of Technology. The Problem The logarithmic barrier approach
Logic-based Benders Decomposition
Logic-based Benders Decomposition A short Introduction Martin Riedler AC Retreat Contents 1 Introduction 2 Motivation 3 Further Notes MR Logic-based Benders Decomposition June 29 July 1 2 / 15 Basic idea
Support Vector Machines: Maximum Margin Classifiers
Support Vector Machines: Maximum Margin Classifiers Machine Learning and Pattern Recognition: September 16, 2008 Piotr Mirowski Based on slides by Sumit Chopra and Fu-Jie Huang 1 Outline What is behind
Primal/Dual Decomposition Methods
Primal/Dual Decomposition Methods Daniel P. Palomar Hong Kong University of Science and Technology (HKUST) ELEC5470 - Convex Optimization Fall 2018-19, HKUST, Hong Kong Outline of Lecture Subgradients
TMA947/MAN280 APPLIED OPTIMIZATION
Chalmers/GU Mathematics EXAM TMA947/MAN280 APPLIED OPTIMIZATION Date: 06 08 31 Time: House V, morning Aids: Text memory-less calculator Number of questions: 7; passed on one question requires 2 points
Integer Programming ISE 418. Lecture 16. Dr. Ted Ralphs
Integer Programming ISE 418 Lecture 16 Dr. Ted Ralphs ISE 418 Lecture 16 1 Reading for This Lecture Wolsey, Chapters 10 and 11 Nemhauser and Wolsey Sections II.3.1, II.3.6, II.3.7, II.5.4 CCZ Chapter 8
Bindel, Spring 2017 Numerical Analysis (CS 4220) Notes for So far, we have considered unconstrained optimization problems.
Consider constraints Notes for 2017-04-24 So far, we have considered unconstrained optimization problems. The constrained problem is minimize φ(x) s.t. x Ω where Ω R n. We usually define x in terms of
1 Solution of a Large-Scale Traveling-Salesman Problem... 7 George B. Dantzig, Delbert R. Fulkerson, and Selmer M. Johnson
Part I The Early Years 1 Solution of a Large-Scale Traveling-Salesman Problem............ 7 George B. Dantzig, Delbert R. Fulkerson, and Selmer M. Johnson 2 The Hungarian Method for the Assignment Problem..............
LINEAR AND NONLINEAR PROGRAMMING
LINEAR AND NONLINEAR PROGRAMMING Stephen G. Nash and Ariela Sofer George Mason University The McGraw-Hill Companies, Inc. New York St. Louis San Francisco Auckland Bogota Caracas Lisbon London Madrid Mexico
Support Vector Machines for Regression
COMP-566 Rohan Shah (1) Support Vector Machines for Regression Provided with n training data points {(x 1, y 1 ), (x 2, y 2 ),, (x n, y n )} R s R we seek a function f for a fixed ɛ > 0 such that: f(x
Convex Optimization and Support Vector Machine
Convex Optimization and Support Vector Machine Problem 0. Consider a two-class classification problem. The training data is L n = {(x 1, t 1 ),..., (x n, t n )}, where each t i { 1, 1} and x i R p. We
Lagrange Relaxation and Duality
Lagrange Relaxation and Duality As we have already known, constrained optimization problems are harder to solve than unconstrained problems. By relaxation we can solve a more difficult problem by a simpler
Decomposition methods in optimization
Decomposition methods in optimization I Approach I: I Partition problem constraints into two groups: explicit and implicit I Approach II: I Partition decision variables into two groups: primary and secondary
CONSTRAINED NONLINEAR PROGRAMMING
149 CONSTRAINED NONLINEAR PROGRAMMING We now turn to methods for general constrained nonlinear programming. These may be broadly classified into two categories: 1. TRANSFORMATION METHODS: In this approach
Contents. Preface. 1 Introduction Optimization view on mathematical models NLP models, black-box versus explicit expression 3
Contents Preface ix 1 Introduction 1 1.1 Optimization view on mathematical models 1 1.2 NLP models, black-box versus explicit expression 3 2 Mathematical modeling, cases 7 2.1 Introduction 7 2.2 Enclosing
1. f(β) 0 (that is, β is a feasible point for the constraints)
xvi 2. The lasso for linear models 2.10 Bibliographic notes Appendix Convex optimization with constraints In this Appendix we present an overview of convex optimization concepts that are particularly useful
21. Solve the LP given in Exercise 19 using the big-m method discussed in Exercise 20.
Extra Problems for Chapter 3. Linear Programming Methods 20. (Big-M Method) An alternative to the two-phase method of finding an initial basic feasible solution by minimizing the sum of the artificial
Benders Decomposition Methods for Structured Optimization, including Stochastic Optimization
Benders Decomposition Methods for Structured Optimization, including Stochastic Optimization Robert M. Freund April 29, 2004 c 2004 Massachusetts Institute of echnology. 1 1 Block Ladder Structure We consider
Lecture 10: Linear programming. duality. and. The dual of the LP in standard form. maximize w = b T y (D) subject to A T y c, minimize z = c T x (P)
Lecture 10: Linear programming duality Michael Patriksson 19 February 2004 0-0 The dual of the LP in standard form minimize z = c T x (P) subject to Ax = b, x 0 n, and maximize w = b T y (D) subject to
LINEAR PROGRAMMING II
LINEAR PROGRAMMING II LP duality strong duality theorem bonus proof of LP duality applications Lecture slides by Kevin Wayne Last updated on 7/25/17 11:09 AM LINEAR PROGRAMMING II LP duality Strong duality
Lagrangian Relaxation in MIP
Lagrangian Relaxation in MIP Bernard Gendron May 28, 2016 Master Class on Decomposition, CPAIOR2016, Banff, Canada CIRRELT and Département d informatique et de recherche opérationnelle, Université de Montréal,
Lecture 9: Dantzig-Wolfe Decomposition
Lecture 9: Dantzig-Wolfe Decomposition (3 units) Outline Dantzig-Wolfe decomposition Column generation algorithm Relation to Lagrangian dual Branch-and-price method Generated assignment problem and multi-commodity
SELECT TWO PROBLEMS (OF A POSSIBLE FOUR) FROM PART ONE, AND FOUR PROBLEMS (OF A POSSIBLE FIVE) FROM PART TWO. PART ONE: TOTAL GRAND
1 56:270 LINEAR PROGRAMMING FINAL EXAMINATION - MAY 17, 1985 SELECT TWO PROBLEMS (OF A POSSIBLE FOUR) FROM PART ONE, AND FOUR PROBLEMS (OF A POSSIBLE FIVE) FROM PART TWO. PART ONE: 1 2 3 4 TOTAL GRAND
Outline. Relaxation. Outline DMP204 SCHEDULING, TIMETABLING AND ROUTING. 1. Lagrangian Relaxation. Lecture 12 Single Machine Models, Column Generation
Outline DMP204 SCHEDULING, TIMETABLING AND ROUTING 1. Lagrangian Relaxation Lecture 12 Single Machine Models, Column Generation 2. Dantzig-Wolfe Decomposition Dantzig-Wolfe Decomposition Delayed Column
CS-E4830 Kernel Methods in Machine Learning
CS-E4830 Kernel Methods in Machine Learning Lecture 3: Convex optimization and duality Juho Rousu 27. September, 2017 Juho Rousu 27. September, 2017 1 / 45 Convex optimization Convex optimisation This
Primal-Dual Interior-Point Methods
Primal-Dual Interior-Point Methods Lecturer: Aarti Singh Co-instructor: Pradeep Ravikumar Convex Optimization 10-725/36-725 Outline Today: Primal-dual interior-point method Special case: linear programming
Numerical Optimization. Review: Unconstrained Optimization
Numerical Optimization Finding the best feasible solution Edward P. Gatzke Department of Chemical Engineering University of South Carolina Ed Gatzke (USC CHE ) Numerical Optimization ECHE 589, Spring 2011
Lecture 24 November 27
EE 381V: Large Scale Optimization Fall 01 Lecture 4 November 7 Lecturer: Caramanis & Sanghavi Scribe: Jahshan Bhatti and Ken Pesyna 4.1 Mirror Descent Earlier, we motivated mirror descent as a way to improve
Lecture 3: Lagrangian duality and algorithms for the Lagrangian dual problem
Lecture 3: Lagrangian duality and algorithms for the Lagrangian dual problem Michael Patriksson 0-0 The Relaxation Theorem 1 Problem: find f := infimum f(x), x subject to x S, (1a) (1b) where f : R n R
Lecture 18: Optimization Programming
Fall, 2016 Outline Unconstrained Optimization 1 Unconstrained Optimization 2 Equality-constrained Optimization Inequality-constrained Optimization Mixture-constrained Optimization 3 Quadratic Programming
Lecture #21. c T x Ax b. maximize subject to
COMPSCI 330: Design and Analysis of Algorithms 11/11/2014 Lecture #21 Lecturer: Debmalya Panigrahi Scribe: Samuel Haney 1 Overview In this lecture, we discuss linear programming. We first show that the
A DECOMPOSITION PROCEDURE BASED ON APPROXIMATE NEWTON DIRECTIONS
Working Paper 01 09 Departamento de Estadística y Econometría Statistics and Econometrics Series 06 Universidad Carlos III de Madrid January 2001 Calle Madrid, 126 28903 Getafe (Spain) Fax (34) 91 624
More on Lagrange multipliers
More on Lagrange multipliers CE 377K April 21, 2015 REVIEW The standard form for a nonlinear optimization problem is min x f (x) s.t. g 1 (x) 0. g l (x) 0 h 1 (x) = 0. h m (x) = 0 The objective function
2.098/6.255/ Optimization Methods Practice True/False Questions
2.098/6.255/15.093 Optimization Methods Practice True/False Questions December 11, 2009 Part I For each one of the statements below, state whether it is true or false. Include a 1-3 line supporting sentence
Applications. Stephen J. Stoyan, Maged M. Dessouky*, and Xiaoqing Wang
Introduction to Large-Scale Linear Programming and Applications Stephen J. Stoyan, Maged M. Dessouky*, and Xiaoqing Wang Daniel J. Epstein Department of Industrial and Systems Engineering, University of
ECE Optimization for wireless networks Final. minimize f o (x) s.t. Ax = b,
ECE 788 - Optimization for wireless networks Final Please provide clear and complete answers. PART I: Questions - Q.. Discuss an iterative algorithm that converges to the solution of the problem minimize
OPTIMAL CONTROL AND ESTIMATION
OPTIMAL CONTROL AND ESTIMATION Robert F. Stengel Department of Mechanical and Aerospace Engineering Princeton University, Princeton, New Jersey DOVER PUBLICATIONS, INC. New York CONTENTS 1. INTRODUCTION
Special Classes of Fuzzy Integer Programming Models with All-Dierent Constraints
Transaction E: Industrial Engineering Vol. 16, No. 1, pp. 1{10 c Sharif University of Technology, June 2009 Special Classes of Fuzzy Integer Programming Models with All-Dierent Constraints Abstract. K.
Stabilization in Column Generation: numerical study
1 / 26 Stabilization in Column Generation: numerical study Artur Pessoa 3 Ruslan Sadykov 1,2 Eduardo Uchoa 3 François Vanderbeck 2,1 1 INRIA Bordeaux, France 2 Univ. Bordeaux I, France 3 Universidade Federal
Penalty and Barrier Methods General classical constrained minimization problem minimize f(x) subject to g(x) 0 h(x) =0 Penalty methods are motivated by the desire to use unconstrained optimization techniques
5 Handling Constraints
5 Handling Constraints Engineering design optimization problems are very rarely unconstrained. Moreover, the constraints that appear in these problems are typically nonlinear. This motivates our interest
Interior-Point Methods for Linear Optimization
Interior-Point Methods for Linear Optimization Robert M. Freund and Jorge Vera March, 204 c 204 Robert M. Freund and Jorge Vera. All rights reserved. Linear Optimization with a Logarithmic Barrier Function
Benders Decomposition Methods for Structured Optimization, including Stochastic Optimization
Benders Decomposition Methods for Structured Optimization, including Stochastic Optimization Robert M. Freund May 2, 2001 Block Ladder Structure Basic Model minimize x;y c T x + f T y s:t: Ax = b Bx +
An interior-point stochastic approximation method and an L1-regularized delta rule
Photograph from National Geographic, Sept 2008 An interior-point stochastic approximation method and an L1-regularized delta rule Peter Carbonetto, Mark Schmidt and Nando de Freitas University of British
Lecture: Algorithms for LP, SOCP and SDP
1/53 Lecture: Algorithms for LP, SOCP and SDP Zaiwen Wen Beijing International Center For Mathematical Research Peking University http://bicmr.pku.edu.cn/~wenzw/bigdata2018.html wenzw@pku.edu.cn Acknowledgement:
Proper Security Criteria Determination in a Power System with High Penetration of Renewable Resources
Proper Security Criteria Determination in a Power System with High Penetration of Renewable Resources Mojgan Hedayati, Kory Hedman, and Junshan Zhang School of Electrical, Computer, and Energy Engineering
Feasibility Pump for Mixed Integer Nonlinear Programs 1
Feasibility Pump for Mixed Integer Nonlinear Programs 1 Presenter: 1 by Pierre Bonami, Gerard Cornuejols, Andrea Lodi and Francois Margot Mixed Integer Linear or Nonlinear Programs (MILP/MINLP) Optimize
5. Duality. Lagrangian
5. Duality Convex Optimization Boyd & Vandenberghe Lagrange dual problem weak and strong duality geometric interpretation optimality conditions perturbation and sensitivity analysis examples generalized
Thermal Unit Commitment Problem
Thermal Unit Commitment Problem Moshe Potsane, Luyanda Ndlovu, Simphiwe Simelane Christiana Obagbuwa, Jesal Kika, Nadine Padayachi, Luke O. Joel Lady Kokela, Michael Olusanya, Martins Arasomwa, Sunday
Acceleration and Stabilization Techniques for Column Generation
Acceleration and Stabilization Techniques for Column Generation Zhouchun Huang Qipeng Phil Zheng Department of Industrial Engineering & Management Systems University of Central Florida Sep 26, 2014 Outline
Introduction to Mathematical Programming IE406. Lecture 10. Dr. Ted Ralphs
Introduction to Mathematical Programming IE406 Lecture 10 Dr. Ted Ralphs IE406 Lecture 10 1 Reading for This Lecture Bertsimas 4.1-4.3 IE406 Lecture 10 2 Duality Theory: Motivation Consider the following
Duality Theory of Constrained Optimization
Duality Theory of Constrained Optimization Robert M. Freund April, 2014 c 2014 Massachusetts Institute of Technology. All rights reserved. 1 2 1 The Practical Importance of Duality Duality is pervasive
3.10 Lagrangian relaxation
3.10 Lagrangian relaxation Consider a generic ILP problem min {c t x : Ax b, Dx d, x Z n } with integer coefficients. Suppose Dx d are the complicating constraints. Often the linear relaxation and the
Improvements to Benders' decomposition: systematic classification and performance comparison in a Transmission Expansion Planning problem
Improvements to Benders' decomposition: systematic classification and performance comparison in a Transmission Expansion Planning problem Sara Lumbreras & Andrés Ramos July 2013 Agenda Motivation improvement
Primal-Dual Interior-Point Methods. Ryan Tibshirani Convex Optimization
Primal-Dual Interior-Point Methods Ryan Tibshirani Convex Optimization 10-725 Given the problem Last time: barrier method min x subject to f(x) h i (x) 0, i = 1,... m Ax = b where f, h i, i = 1,... m are
Lagrangian Duality Theory
Lagrangian Duality Theory Yinyu Ye Department of Management Science and Engineering Stanford University Stanford, CA 94305, U.S.A. http://www.stanford.edu/ yyye Chapter 14.1-4 1 Recall Primal and Dual
Optimization Concepts and Applications in Engineering
Optimization Concepts and Applications in Engineering Ashok D. Belegundu, Ph.D. Department of Mechanical Engineering The Pennsylvania State University University Park, Pennsylvania Tirupathi R. Chandrupatia,
Duality. Lagrange dual problem weak and strong duality optimality conditions perturbation and sensitivity analysis generalized inequalities
Duality Lagrange dual problem weak and strong duality optimality conditions perturbation and sensitivity analysis generalized inequalities Lagrangian Consider the optimization problem in standard form
AM 205: lecture 19. Last time: Conditions for optimality, Newton s method for optimization Today: survey of optimization methods
AM 205: lecture 19 Last time: Conditions for optimality, Newton s method for optimization Today: survey of optimization methods Quasi-Newton Methods General form of quasi-newton methods: x k+1 = x k α
Optimality, Duality, Complementarity for Constrained Optimization
Optimality, Duality, Complementarity for Constrained Optimization Stephen Wright University of Wisconsin-Madison May 2014 Wright (UW-Madison) Optimality, Duality, Complementarity May 2014 1 / 41 Linear
Support Vector Machines
Wien, June, 2010 Paul Hofmarcher, Stefan Theussl, WU Wien Hofmarcher/Theussl SVM 1/21 Linear Separable Separating Hyperplanes Non-Linear Separable Soft-Margin Hyperplanes Hofmarcher/Theussl SVM 2/21 (SVM)
Linear Programming: Simplex
Linear Programming: Simplex Stephen J. Wright 1 2 Computer Sciences Department, University of Wisconsin-Madison. IMA, August 2016 Stephen Wright (UW-Madison) Linear Programming: Simplex IMA, August 2016
Convex Optimization & Lagrange Duality
Convex Optimization & Lagrange Duality Chee Wei Tan CS 8292 : Advanced Topics in Convex Optimization and its Applications Fall 2010 Outline Convex optimization Optimality condition Lagrange duality KKT
Support Vector Machines
Support Vector Machines Le Song Machine Learning I CSE 6740, Fall 2013 Naïve Bayes classifier Still use Bayes decision rule for classification P y x = P x y P y P x But assume p x y = 1 is fully factorized
Math 273a: Optimization Subgradients of convex functions
Math 273a: Optimization Subgradients of convex functions Made by: Damek Davis Edited by Wotao Yin Department of Mathematics, UCLA Fall 2015 online discussions on piazza.com 1 / 42 Subgradients Assumptions
Decomposition Methods for Large Scale LP Decoding
Decomposition Methods for Large Scale LP Decoding Siddharth Barman Joint work with Xishuo Liu, Stark Draper, and Ben Recht Outline Background and Problem Setup LP Decoding Formulation Optimization Framework
What s New in Active-Set Methods for Nonlinear Optimization?
What s New in Active-Set Methods for Nonlinear Optimization? Philip E. Gill Advances in Numerical Computation, Manchester University, July 5, 2011 A Workshop in Honor of Sven Hammarling UCSD Center for
The L-Shaped Method. Operations Research. Anthony Papavasiliou 1 / 38
1 / 38 The L-Shaped Method Operations Research Anthony Papavasiliou Contents 2 / 38 1 The L-Shaped Method 2 Example: Capacity Expansion Planning 3 Examples with Optimality Cuts [ 5.1a of BL] 4 Examples
Constrained Optimization and Lagrangian Duality
CIS 520: Machine Learning Oct 02, 2017 Constrained Optimization and Lagrangian Duality Lecturer: Shivani Agarwal Disclaimer: These notes are designed to be a supplement to the lecture. They may or may
Benders' Method Paul A Jensen
Benders' Method Paul A Jensen The mixed integer programming model has some variables, x, identified as real variables and some variables, y, identified as integer variables. Except for the integrality
Using Interior-Point Methods within Mixed-Integer Nonlinear Programming
Using Interior-Point Methods within Mixed-Integer Nonlinear Programming. Hande Y. Benson Drexel University IMA - MINLP - p. 1/34 Motivation: Discrete Variables Motivation: Discrete Variables Interior-Point
Advanced linear programming
Advanced linear programming http://www.staff.science.uu.nl/~akker103/alp/ Chapter 10: Integer linear programming models Marjan van den Akker 1 Intro. Marjan van den Akker Master Mathematics TU/e PhD Mathematics