Related papers: Another pedagogy for mixed-integer Gomory
Primal-dual interior-point methods solve constrained convex optimization problems to tight tolerances with speed and robustness. Their solutions are also efficiently differentiable with respect to the problem data through the implicit…
Two-stage stochastic mixed-integer programming (SMIP) problems with general integer variables in the second-stage are generally difficult to solve. This paper develops the theory of integer set reduction for characterizing the subset of the…
We propose an early termination technique for mixed integer conic programming for use within branch-and-bound based solvers. Our approach generalizes previous early termination results for ADMM-based solvers to a broader class of…
Symmetry in integer programming causes redundant search and is often handled with symmetry breaking constraints that remove as many equivalent solutions as possible. We propose an algebraic method which allows to generate a random family of…
We study a class of convex-concave min-max problems in which the coupled component of the objective is linear in at least one of the two decision vectors. We identify such problem structure as interpolating between the bilinearly and…
We propose a unified framework to address a family of classical mixed-integer optimization problems with logically constrained decision variables, including network design, facility location, unit commitment, sparse portfolio selection,…
We consider the constrained assortment optimization problem under the mixed multinomial logit model. Even moderately sized instances of this problem are challenging to solve directly using standard mixed-integer linear optimization…
For almost two decades, mixed integer programming (MIP) solvers have used graph-based conflict analysis to learn from local infeasibilities during branch-and-bound search. In this paper, we improve MIP conflict analysis by instead using…
This paper proposes a universal algorithm for convex minimization problems of the composite form $g_0(x)+h(g_1(x),\dots, g_m(x)) + u(x)$. We allow each $g_j$ to independently range from being nonsmooth Lipschitz to smooth, from convex to…
Mixed-integer optimization is at the core of many online decision-making systems that demand frequent updates of decisions in real time. However, due to their combinatorial nature, mixed-integer linear programs (MILPs) can be difficult to…
We provide a general method to convert a "primal" black-box algorithm for solving regularized convex-concave minimax optimization problems into an algorithm for solving the associated dual maximin optimization problem. Our method adds…
We consider the linear matrix inequality (LMI) problem of $H_\infty$ output feedback control problem for a generalized plant whose control input, measured output, disturbance input, and controlled output are scalar. We provide an explicit…
This paper derives two new optimization-driven Monte Carlo algorithms inspired from variable splitting and data augmentation. In particular, the formulation of one of the proposed approaches is closely related to the alternating direction…
We investigate new methods for generating Lagrangian cuts to solve two-stage stochastic integer programs. Lagrangian cuts can be added to a Benders reformulation, and are derived from solving single scenario integer programming subproblems…
Generalized Disjunctive Programming (GDP) provides a powerful framework for combining algebraic constraints with logical disjunctions. To solve these problems, mixed-integer reformulations are required, but traditional reformulation…
This paper studies algorithms for computing a Gomory-Hu tree, which is a classical data structure that compactly stores all minimum $s$-$t$ cuts of an undirected weighted graph. We consider two classes of algorithms: the original method by…
We propose a successive generation of cutting inequalities for binary quadratic optimization problems. Multiple cutting inequalities are successively generated for the convex hull of the set of the optimal solutions $\subset \{0, 1\}^n$,…
In this work, we study two first-order primal-dual based algorithms, the Gradient Primal-Dual Algorithm (GPDA) and the Gradient Alternating Direction Method of Multipliers (GADMM), for solving a class of linearly constrained non-convex…
By exploiting the correlation between the structure and the solution of Mixed-Integer Linear Programming (MILP), Machine Learning (ML) has become a promising method for solving large-scale MILP problems. Existing ML-based MILP solvers…
In this paper, we study the assortment optimization problem under the mixed-logit customer choice model. While assortment optimization has been a major topic in revenue management for decades, the mixed-logit model is considered one of the…