Related papers: optipoly: A Python package for boxed-constrained m…
Constrained non-convex optimization problems frequently arise in control applications. Solving such problems is inherently challenging, as existing methods often converge to suboptimal local minima or incur prohibitive computational costs.…
An algorithm is proposed to solve robust control problems constrained by partial differential equations with uncertain coefficients, based on the so-called MG/OPT framework. The levels in this MG/OPT hierarchy correspond to discretization…
We consider black-box optimization in which only an extremely limited number of function evaluations, on the order of around 100, are affordable and the function evaluations must be performed in even fewer batches of a limited number of…
This paper introduces a new Python package specifically designed to address calibration of probabilistic classifiers under dataset shift. The method is demonstrated in binary and multi-class settings and its effectiveness is measured…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
We present an improved $(\epsilon, \delta)$-jointly differentially private algorithm for packing problems. Our algorithm gives a feasible output that is approximately optimal up to an $\alpha n$ additive factor as long as the supply of each…
This article presents a numerical illustration of a recently proposed strongly polynomial-time algorithm for the general linear programming (LP) problem. Each iteration of the proposed algorithm consists of two Gauss-Jordan pivoting…
For a wide range of applications the structure of systems like Neural Networks or complex simulations, is unknown and approximation is costly or even impossible. Black-box optimization seeks to find optimal (hyper-) parameters for these…
In the past decade, many parameterized algorithms were developed for packing problems. Our goal is to obtain tradeoffs that improve the running times of these algorithms at the cost of computing approximate solutions. Consider a packing…
This paper studies the polynomial optimization problem whose feasible set is a union of several basic closed semialgebraic sets. We propose a unified hierarchy of Moment-SOS relaxations to solve it globally. Under some assumptions, we prove…
We propose a new approach to the computation of the hypervolume indicator, based on partitioning the dominated region into a set of axis-parallel hyperrectangles or boxes. We present a nonincremental algorithm and an incremental algorithm,…
ODTLearn is an open-source Python package that provides methods for learning optimal decision trees for high-stakes predictive and prescriptive tasks based on the mixed-integer optimization (MIO) framework proposed in (Aghaei et al., 2021)…
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer…
In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters. We introduce a perturbation sample…
We consider the quadratic optimization problem $\max_{x \in C}\ x^T Q x + q^T x$, where $C\subseteq\mathbb{R}^n$ is a box and $r := \mathrm{rank}(Q)$ is assumed to be $\mathcal{O}(1)$ (i.e., fixed). We show that this case can be solved in…
Evolutionary multi-objective algorithms have successfully been used in the context of Pareto optimization where a given constraint is relaxed into an additional objective. In this paper, we explore the use of 3-objective formulations for…
Design problems in industrial engineering often involve a large number of design variables with multiple objectives, under complex nonlinear constraints. The algorithms for multiobjective problems can be significantly different from the…
SnadiOpt is a package that supports the use of the automatic differentiation package ADIFOR with the optimization package Snopt. Snopt is a general-purpose system for solving optimization problems with many variables and constraints. It…
In general dimension, there is no known total polynomial algorithm for either convex hull or vertex enumeration, i.e. an algorithm whose complexity depends polynomially on the input and output sizes. It is thus important to identify…
Building on the recently developed theory of magnitude, we introduce the optimization algorithm EXPLO2 and carefully benchmark it. EXPLO2 advances the state of the art for optimizing high-dimensional ($D \gtrapprox 40$) multimodal functions…