Related papers: Copositive Duality for Discrete Markets and Games

Inverse optimization, determining parameters of an optimization problem that render a given solution optimal, has received increasing attention in recent years. While significant inverse optimization literature exists for convex…

It has recently been shown (Burer, Math. Program Ser. A 120:479-495, 2009) that a large class of NP-hard nonconvex quadratic programming problems can be modeled as so called completely positive programming problems, which are convex but…

This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…

Bilevel programs are optimization problems where some variables are solutions to optimization problems themselves, and they arise in a variety of control applications, including: control of vehicle traffic networks, inverse reinforcement…

Finite-dimensional linear programs satisfy strong duality (SD) and have the "dual pricing" (DP) property. The (DP) property ensures that, given a sufficiently small perturbation of the right-hand-side vector, there exists a dual solution…

Geometric duality theory for multiple objective linear programming problems turned out to be very useful for the development of efficient algorithms to generate or approximate the whole set of nondominated points in the outcome space. This…

We study robust convex quadratic programs where the uncertain problem parameters can contain both continuous and integer components. Under the natural boundedness assumption on the uncertainty set, we show that the generic problems are…

We consider convex optimization problems formulated using dynamic programming equations. Such problems can be solved using the Dual Dynamic Programming algorithm combined with the Level 1 cut selection strategy or the Territory algorithm to…

This paper presents a canonical dual method for solving a quadratic discrete value selection problem subjected to inequality constraints. The problem is first transformed into a problem with quadratic objective and 0-1 integer variables.…

Deploying mathematical optimization in autonomous production systems requires precise contracts for objects returned by an optimization solver. Unfortunately, conventions on dual solution and infeasibility certificates (rays) vary widely…

Convex separable quadratic optimization problems occur in many practical applications. In this paper, based on an iterative resolution scheme of the KKT system, we develop an efficient method for solving a quadratic programming problem with…

Lagrangian duality in mixed integer optimization is a useful framework for problems decomposition and for producing tight lower bounds to the optimal objective, but in contrast to the convex counterpart, it is generally unable to produce…

Bilevel programs with spatial price equilibrium constraints are strategic models that consider a price competition at the lower level. These models find application in facility location-price models, optimal bidding in power networks, and…

We establish a geometric condition guaranteeing exact copositive relaxation for the nonconvex quadratic optimization problem under two quadratic and several linear constraints, and present sufficient conditions for global optimality in…

This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from…

This paper derives a discrete dual problem for a prototypical hybrid high-order method for convex minimization problems. The discrete primal and dual problem satisfy a weak convex duality that leads to a priori error estimates with…

This note establishes a limiting formula for the conic Lagrangian dual of a convex infinite optimization problem, correcting the classical version of Karney [Math. Programming 27 (1983) 75-82] for convex semi-infinite programs. A…

Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…

In this note we explore duality in reverse convex optimization with reverse convex inequality constraints. While we are examining the special case of a finite index set of the inequality constraints, we are primarily interested in the…

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…