Related papers: A quadratic penalty algorithm for linear programmi…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
The problem of minimizing a sum of local convex objective functions over a networked system captures many important applications and has received much attention in the distributed optimization field. Most of existing work focuses on…
Approximate linear programming (ALP) is an efficient approach to solving large factored Markov decision processes (MDPs). The main idea of the method is to approximate the optimal value function by a set of basis functions and optimize…
Constrained combinatorial optimization problems, which are ubiquitous in industry, can be solved by quantum algorithms such as quantum annealing (QA) and the quantum approximate optimization algorithm (QAOA). In these quantum algorithms,…
In this paper we propose and analyze two dual methods based on inexact gradient information and averaging that generate approximate primal solutions for smooth convex optimization problems. The complicating constraints are moved into the…
In this paper we study the facility leasing problem with penalties. We present a primal-dual algorithm which is a 3-approximation, based on the algorithm by Nagarajan and Williamson for the facility leasing problem and on the algorithm by…
A new stochastic primal--dual algorithm for solving a composite optimization problem is proposed. It is assumed that all the functions/operators that enter the optimization problem are given as statistical expectations. These expectations…
In this paper, we focus on nonlinear infinite-norm minimization problems that have many applications, especially in computer science and operations research. We set a reliable Lagrangian dual aproach for solving this kind of problems in…
The computational cost of many signal processing and machine learning techniques is often dominated by the cost of applying certain linear operators to high-dimensional vectors. This paper introduces an algorithm aimed at reducing the…
This article presents a validation of a recently proposed strongly polynomial-time algorithm for the general linear programming problem. The proposed algorithm is an implicit reduction procedure that combines primal and dual linear…
Solution and analysis of mathematical programming problems may be simplified when these problems are symmetric under appropriate linear transformations. In particular, a knowledge of the symmetries may help reduce the problem dimension, cut…
In this paper we study an unconventional inexact Augmented Lagrangian Method (ALM) for convex optimization problems, as first proposed by Bertsekas, wherein the penalty term is a potentially non-Euclidean norm raised to a power between one…
In this paper, we propose an improved numerical algorithm for solving minimax problems based on nonsmooth optimization, quadratic programming and iterative process. We also provide a rigorous proof of convergence for our algorithm under…
In this paper, we propose an inexact Augmented Lagrangian Method (ALM) for the optimization of convex and nonsmooth objective functions subject to linear equality constraints and box constraints where errors are due to fixed-point data. To…
Classical penalty methods solve a sequence of unconstrained problems that put greater and greater stress on meeting the constraints. In the limit as the penalty constant tends to $\infty$, one recovers the constrained solution. In the exact…
We propose a new methodology for parameterized constrained robust optimization, an important class of optimization problems under uncertainty, based on learning with a self-supervised penalty-based loss function. Whereas supervised learning…
We describe an efficient implementation of a recent simplex-type algorithm for the exact solution of separated continuous linear programs, and compare it with linear programming approximation of these problems obtained via discretization of…
In this paper, "chance optimization" problems are introduced, where one aims at maximizing the probability of a set defined by polynomial inequalities. These problems are, in general, nonconvex and computationally hard. With the objective…
In this paper, we discuss an approximation strategy for solving the Linear Quadratic Tracking that is both forward and local in time. We exploit the known form of the value function along with a time reversal transformation that nicely…
Quadratic optimization problems (QPs) are ubiquitous, and solution algorithms have matured to a reliable technology. However, the precision of solutions is usually limited due to the underlying floating-point operations. This may cause…