Related papers: A Primal-Dual Continuous LP Method on the Multi-ch…
We propose a primal--dual technique that applies to infinite dimensional equality constrained problems, in particular those arising from optimal control. As an application of our general framework, we solve a control-constrained double…
The NP-hard problem of task scheduling with communication delays (P|prec,c_{ij}|C_{\mathrm{max}}) is often tackled using approximate methods, but guarantees on the quality of these heuristic solutions are hard to come by. Optimal schedules…
We study a bilevel optimization problem which is a zero-sum Stackelberg game. In this problem, there are two players, a leader and a follower, who pick items from a common set. Both the leader and the follower have their own…
The prophet secretary problem is a combination of the prophet inequality and the secretary problem, where elements are drawn from known independent distributions and arrive in uniformly random order. In this work, we design 1) a…
In the secretary problem, a set of secretary candidates arrive in a uniformly random order and reveal their values one by one. A company, who can only hire one candidate and hopes to maximize the expected value of its hire, needs to make…
We consider the problem of solving packing/covering LPs online, when the columns of the constraint matrix are presented in random order. This problem has received much attention and the main focus is to figure out how large the right-hand…
An optimal solution to the problem of scheduling real-time tasks on a set of identical processors is derived. The described approach is based on solving an equivalent uniprocessor real-time scheduling problem. Although there are other…
In this work we investigate the min-max-min robust optimization problem and the k-adaptability robust optimization problem for binary problems with uncertain costs. The idea of the first approach is to calculate a set of k feasible…
In parallel machine scheduling, we are given a set of jobs, together with a number of machines and our goal is to decide for each job, when and on which machine(s) it should be scheduled in order to minimize some objective function.…
Several well-known algorithms in the field of combinatorial optimization can be interpreted in terms of the primal-dual method for solving linear programs. For example, Dijkstra's algorithm, the Ford-Fulkerson algorithm, and the Hungarian…
We consider a broad class of dynamic programming (DP) problems that involve a partially linear structure and some positivity properties in their system equation and cost function. We address deterministic and stochastic problems, possibly…
We present a new algorithm for solving a polynomial program P based on the recent "joint + marginal" approach of the first author for, parametric optimization. The idea is to first consider the variable x1 as a parameter and solve the…
The primal problem of multinomial likelihood maximization restricted to a convex closed subset of the probability simplex is studied. Contrary to widely held belief, a solution of this problem may assign a positive mass to an outcome with…
In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints. One modeling approach to study such problems is constrained Markov decision process (CMDP). When…
We study secretary problems in settings with multiple agents. In the standard secretary problem, a sequence of arbitrary awards arrive online, in a random order, and a single decision maker makes an immediate and irrevocable decision…
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…
Binary optimization is a powerful tool for modeling combinatorial problems, yet scalable and theoretically sound solution methods remain elusive. Conventional solvers often rely on heuristic strategies with weak guarantees or struggle with…
The secretary and the prophet inequality problems are central to the field of Stopping Theory. Recently, there has been a lot of work in generalizing these models to multiple items because of their applications in mechanism design. The most…
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete problems. With…
A popular approach in combinatorial optimization is to model problems as integer linear programs. Ideally, the relaxed linear program would have only integer solutions, which happens for instance when the constraint matrix is totally…