Related papers: Relaxations and Duality for Multiobjective Integer…

We develop a methodology for closing duality gap and guaranteeing strong duality in infinite convex optimization. Specifically, we examine two new Lagrangian-type dual formulations involving infinitely many dual variables and infinite sums…

In this paper, we introduce faster accelerated primal-dual algorithms for minimizing a convex function subject to strongly convex function constraints. Prior to our work, the best complexity bound was $\mathcal{O}(1/{\varepsilon})$,…

This two-part paper is concerned with the problem of minimizing a linear objective function subject to a bilinear matrix inequality (BMI) constraint. In this part, we first consider a family of convex relaxations which transform BMI…

Machine learning components commonly appear in larger decision-making pipelines; however, the model training process typically focuses only on a loss that measures accuracy between predicted values and ground truth values. Decision-focused…

In this paper we present the solver DuQuad specialized for solving general convex quadratic problems arising in many engineering applications. When it is difficult to project on the primal feasible set, we use the (augmented) Lagrangian…

Recent advancements in data science have significantly elevated the importance of orthogonally constrained optimization problems. The Riemannian approach has become a popular technique for addressing these problems due to the advantageous…

We study the problem of computing an optimal large language model (LLM) policy for the constrained alignment problem, where the goal is to maximize a primary reward objective while satisfying constraints on secondary utilities. Despite the…

Augmented Lagrangian and optimistic primal--dual methods stabilize equality-constrained optimization through seemingly different mechanisms: the former adds constraint-dependent primal curvature, while the latter adds dual memory. Recent…

Mixed-Integer Linear Programming (MILP) plays an important role across a range of scientific disciplines and within areas of strategic importance to society. The MILP problems, however, suffer from combinatorial complexity. Because of…

Graphical models with High Order Potentials (HOPs) have received considerable interest in recent years. While there are a variety of approaches to inference in these models, nearly all of them amount to solving a linear program (LP)…

Linear programming (LP) relaxations are widely employed in exact solution methods for multilinear programs (MLP). One example is the family of Recursive McCormick Linearization (RML) strategies, where bilinear products are substituted for…

Embedding deep neural networks (NNs) into mixed-integer programs (MIPs) is attractive for decision making with learned constraints, yet state-of-the-art monolithic linearisations blow up in size and quickly become intractable. In this…

This paper presents Dual Lagrangian Learning (DLL), a principled learning methodology for dual conic optimization proxies. DLL leverages conic duality and the representation power of ML models to provide high-duality, dual-feasible…

We investigate finite-dimensional constrained structured optimization problems, featuring composite objective functions and set-membership constraints. Offering an expressive yet simple language, this problem class provides a modeling…

In this paper, we consider a class of mixed integer programming problems (MIPs) whose objective functions are DC functions, that is, functions representable in terms of the difference of two convex functions. These MIPs contain a very wide…

This paper addresses a class of general nonsmooth and nonconvex composite optimization problems subject to nonlinear equality constraints. We assume that a part of the objective function and the functional constraints exhibit local…

We study tightness properties of a Lagrangian dual (LD) bound for the nonconvex alternating current optimal power flow (ACOPF) problem. We show an LD bound that can be computed in a parallel, decentralized manner. Specifically, the proposed…

We study the Constrained Convex Markov Decision Process (MDP), where the goal is to minimize a convex functional of the visitation measure, subject to a convex constraint. Designing algorithms for a constrained convex MDP faces several…

In this paper, a projected primal-dual gradient flow of augmented Lagrangian is presented to solve convex optimization problems that are not necessarily strictly convex. The optimization variables are restricted by a convex set with…

In continuous-time portfolio selection for non-concave utility functions, the martingale duality approach is widely adopted in complete markets, while the dynamic programming approach may sometimes lead to singular solutions of the…