Nonlinear Programming
|
|
- Elizabeth Wilcox
- 5 years ago
- Views:
Transcription
1 Nonlinear Programming SECOND EDITION Dimitri P. Bertsekas Massachusetts Institute of Technology WWW site for book Information and Orders Athena Scientific, Belmont, Massachusetts
2 1. Unconstrained Optimization p Optimality Conditions p Variational Ideas p Main Optimality Conditions p Gradient Methods - Convergence p Descent Directions and Stepsize Rules p Convergence Results p Gradient Methods - Rate of Convergence p The Local Analysis Approach p The Role of the Condition Number p Convergence Rate Results p Newton's Method and Variations p Least Squares Problems p The Gauss-Newton Method p Incremental Gradient Methods* p Incremental Forms of the Gauss-Newton Method*.... p Conjugate Direction Methods p Quasi-Newton Methods p Nonderivative Methods p Coordinate Descent p Direct Search Methods p Discrete-Time Optimal Control Problems* p Some Practical Guidelines p Notes and Sources p Optimization Over a Convex Set p Optimality Conditions p Feasible Directions and the Conditional Gradient Method.. p Descent Directions and Stepsize Rules p The Conditional Gradient Method p Gradient Projection Methods p Feasible Directions and Stepsize Rules Based on Projection p. 223 v
3 vi Convergence Analysis* p Two-Metric Projection Methods p Manifold Suboptimization Methods p Affine Scaling for Linear Programming p Block Coordinate Descent Methods* p Notes and Sources p Lagrange Multiplier Theory p Necessary Conditions for Equality Constraints p The Penalty Approach p The Elimination Approach p The Lagrangian Function p Sufficient Conditions and Sensitivity Analysis p The Augmented Lagrangian Approach p The Feasible Direction Approach p Sensitivity* p Inequality Constraints p Karush-Kuhn-Tucker Optimality Conditions p Conversion to the Equality Case* p Second Order Sumciency Conditions and Sensitivity*... p Sufficiency Conditions and Lagrangian Minimization*.. p Fritz John Optimality Conditions* p Refinements* p Linear Constraints and Duality* p Convex Cost Functions and Linear Constraints p Duality Theory: A Simple Form for Linear Constraints.. p Notes and Sources p Lagrange Multiplier Algorithms p Barrier and Interior Point Methods p Linear Programming and the Logarithmic Barrier*.... p Penalty and Augmented Lagrangian Methods p The Quadratic Penalty Function Method p Multiplier Methods - Main Ideas p Convergence Analysis of Multiplier Methods* p Duality and Second Order Multiplier Methods* p The Exponential Method of Multipliers* p Exact Penalties - Sequential Quadratic Programming*... p Nondifferentiable Exact Penalty Functions p Differentiable Exact Penalty Functions p Lagrangian and Primal-Dual Interior Point Methods*.... p First-Order Methods p Newton-Like Methods for Equality Constraints p Global Convergence p. 460
4 vii Primal-Dual Interior Point Methods p Comparison of Various Methods p Notes and Sources p Duality and Convex Programming p The Dual Problem p Lagrange Multipliers p The Weak Duality Theorem p Characterization of Primal and Dual Optimal Solutions.. p The Case of an Infeasible or Unbounded Primal Problem. p Treatment of Equality Constraints p Separable Problems and Their Geometry p Additional Issues About Duality p Convex Cost - Linear Constraints* p Proofs of Duality Theorems p Convex Cost - Convex Constraints p Conjugate Functions and Fenchel Duality* p Monotropic Programming Duality p Network Optimization p Games and the Minimax Theorem p The Primal Function p A Dual View of Penalty Methods p The Proximal and Entropy Minimization Algorithms... p Discrete Optimization and Duality p Examples of Discrete Optimization Problems p Branch-and-Bound p Lagrangian Relaxation p Notes and Sources p Dual Methods p Dual Derivatives and Subgradients* p Dual Ascent Methods for Differentiable Dual Problems*... p Coordinate Ascent for Quadratic Programming p Decomposition and Primal Strict Convexity p Partitioning and Dual Strict Concavity p Nondifferentiable Optimization Methods* p Subgradient Methods p Approximate and Incremental Subgradient Methods... p Cutting Plane Methods p Ascent and Approximate Ascent Methods p Decomposition Methods* p Lagrangian Relaxation of the Coupling Constraints.... p Decomposition by Right-Hand Side Allocation p Notes and Sources p. 645
5 viii Appendix A: Mathematical Background p. 647 A.l. Vectors and Matrices p. 648 A.2. Norms, Sequences, Limits, and Continuity p. 649 A.3. Square Matrices and Eigenvalues p. 656 A.4. Symmetrie and Positive Definite Matrices p. 659 A.5. Derivatives p. 664 A.6. Contraction Mappings >.... p. 669 Appendix B: Convex Analysis p. 671 B.l. Convex Sets and Functions p. 671 B.2. Separating Hyperplanes p. 689 B.3. Cones and Polyhedral Convexity p. 694 B.4. Extreme Points p. 701 B.5. Differentiability Issues p. 707 Appendix C: Line Search Methods p. 723 C.l. Cubic Interpolation p. 723 C.2. Quadratic Interpolation p. 724 C.3. The Golden Section Method p. 726 Appendix D: Implementation of Newton's Method... p. 729 D.I. Cholesky Factorization p. 729 D.2. Application to a Modined Newton Method p. 731 References p. 735 Index p. 773
Contents. I Basics 1. Copyright by SIAM. Unauthorized reproduction of this article is prohibited.
page v Preface xiii I Basics 1 1 Optimization Models 3 1.1 Introduction... 3 1.2 Optimization: An Informal Introduction... 4 1.3 Linear Equations... 7 1.4 Linear Optimization... 10 Exercises... 12 1.5
More informationDavid G. Luenberger Yinyu Ye. Linear and Nonlinear. Programming. Fourth Edition. ö Springer
David G. Luenberger Yinyu Ye Linear and Nonlinear Programming Fourth Edition ö Springer Contents 1 Introduction 1 1.1 Optimization 1 1.2 Types of Problems 2 1.3 Size of Problems 5 1.4 Iterative Algorithms
More informationINTRODUCTION TO LINEAR AND NONLINEAR PROGRAMMING
INTRODUCTION TO LINEAR AND NONLINEAR PROGRAMMING DAVID G. LUENBERGER Stanford University TT ADDISON-WESLEY PUBLISHING COMPANY Reading, Massachusetts Menlo Park, California London Don Mills, Ontario CONTENTS
More informationLECTURE 13: SOLUTION METHODS FOR CONSTRAINED OPTIMIZATION. 1. Primal approach 2. Penalty and barrier methods 3. Dual approach 4. Primal-dual approach
LECTURE 13: SOLUTION METHODS FOR CONSTRAINED OPTIMIZATION 1. Primal approach 2. Penalty and barrier methods 3. Dual approach 4. Primal-dual approach Basic approaches I. Primal Approach - Feasible Direction
More informationCharacterizing Improving Directions Unconstrained Optimization
Final Review IE417 In the Beginning... In the beginning, Weierstrass's theorem said that a continuous function achieves a minimum on a compact set. Using this, we showed that for a convex set S and y not
More informationCONVEX OPTIMIZATION: A SELECTIVE OVERVIEW
1! CONVEX OPTIMIZATION: A SELECTIVE OVERVIEW Dimitri Bertsekas! M.I.T.! Taiwan! May 2010! 2! OUTLINE! Convexity issues in optimization! Common geometrical framework for duality and minimax! Unifying framework
More informationConvex Optimization Algorithms
Convex Optimization Algorithms Dimitri P. Bertsekas Massachusetts Institute of Technology WWW site for book information and orders http://www.athenasc.com Athena Scientific, Belmont, Massachusetts Athena
More informationLecture 4 Duality and Decomposition Techniques
Lecture 4 Duality and Decomposition Techniques Jie Lu (jielu@kth.se) Richard Combes Alexandre Proutiere Automatic Control, KTH September 19, 2013 Consider the primal problem Lagrange Duality Lagrangian
More informationDISCRETE CONVEX ANALYSIS
DISCRETE CONVEX ANALYSIS o KAZUO MUROTA University of Tokyo; PRESTO, JST Tokyo, Japan Society for Industrial and Applied Mathematics Philadelphia List of Figures Notation Preface xi xiii xxi 1 Introduction
More informationConvex Analysis and Minimization Algorithms I
Jean-Baptiste Hiriart-Urruty Claude Lemarechal Convex Analysis and Minimization Algorithms I Fundamentals With 113 Figures Springer-Verlag Berlin Heidelberg New York London Paris Tokyo Hong Kong Barcelona
More informationDETERMINISTIC OPERATIONS RESEARCH
DETERMINISTIC OPERATIONS RESEARCH Models and Methods in Optimization Linear DAVID J. RADER, JR. Rose-Hulman Institute of Technology Department of Mathematics Terre Haute, IN WILEY A JOHN WILEY & SONS,
More informationSurrogate Gradient Algorithm for Lagrangian Relaxation 1,2
Surrogate Gradient Algorithm for Lagrangian Relaxation 1,2 X. Zhao 3, P. B. Luh 4, and J. Wang 5 Communicated by W.B. Gong and D. D. Yao 1 This paper is dedicated to Professor Yu-Chi Ho for his 65th birthday.
More informationLECTURE 18 LECTURE OUTLINE
LECTURE 18 LECTURE OUTLINE Generalized polyhedral approximation methods Combined cutting plane and simplicial decomposition methods Lecture based on the paper D. P. Bertsekas and H. Yu, A Unifying Polyhedral
More informationLagrangian Relaxation: An overview
Discrete Math for Bioinformatics WS 11/12:, by A. Bockmayr/K. Reinert, 22. Januar 2013, 13:27 4001 Lagrangian Relaxation: An overview Sources for this lecture: D. Bertsimas and J. Tsitsiklis: Introduction
More informationConvex Optimization. Lijun Zhang Modification of
Convex Optimization Lijun Zhang zlj@nju.edu.cn http://cs.nju.edu.cn/zlj Modification of http://stanford.edu/~boyd/cvxbook/bv_cvxslides.pdf Outline Introduction Convex Sets & Functions Convex Optimization
More informationLecture 7: Support Vector Machine
Lecture 7: Support Vector Machine Hien Van Nguyen University of Houston 9/28/2017 Separating hyperplane Red and green dots can be separated by a separating hyperplane Two classes are separable, i.e., each
More informationContents. Preface CHAPTER III
Optimization Edited by G.L. Nemhauser Georgia Institute of Technology A.H.G. Rinnooy Kan Erasmus University Rotterdam M.J. Todd Cornell Univerisity 1989 NORTH-HOLLAND AMSTERDAM NEW YORK OXFORD TOKYO Preface
More informationLinear methods for supervised learning
Linear methods for supervised learning LDA Logistic regression Naïve Bayes PLA Maximum margin hyperplanes Soft-margin hyperplanes Least squares resgression Ridge regression Nonlinear feature maps Sometimes
More informationIntroduction to Mathematical Programming IE496. Final Review. Dr. Ted Ralphs
Introduction to Mathematical Programming IE496 Final Review Dr. Ted Ralphs IE496 Final Review 1 Course Wrap-up: Chapter 2 In the introduction, we discussed the general framework of mathematical modeling
More informationLinear Optimization and Extensions: Theory and Algorithms
AT&T Linear Optimization and Extensions: Theory and Algorithms Shu-Cherng Fang North Carolina State University Sarai Puthenpura AT&T Bell Labs Prentice Hall, Englewood Cliffs, New Jersey 07632 Contents
More informationConvex Programs. COMPSCI 371D Machine Learning. COMPSCI 371D Machine Learning Convex Programs 1 / 21
Convex Programs COMPSCI 371D Machine Learning COMPSCI 371D Machine Learning Convex Programs 1 / 21 Logistic Regression! Support Vector Machines Support Vector Machines (SVMs) and Convex Programs SVMs are
More informationIntroduction to Optimization
Introduction to Optimization Second Order Optimization Methods Marc Toussaint U Stuttgart Planned Outline Gradient-based optimization (1st order methods) plain grad., steepest descent, conjugate grad.,
More informationOptimization under uncertainty: modeling and solution methods
Optimization under uncertainty: modeling and solution methods Paolo Brandimarte Dipartimento di Scienze Matematiche Politecnico di Torino e-mail: paolo.brandimarte@polito.it URL: http://staff.polito.it/paolo.brandimarte
More informationCOMS 4771 Support Vector Machines. Nakul Verma
COMS 4771 Support Vector Machines Nakul Verma Last time Decision boundaries for classification Linear decision boundary (linear classification) The Perceptron algorithm Mistake bound for the perceptron
More informationApplied Lagrange Duality for Constrained Optimization
Applied Lagrange Duality for Constrained Optimization Robert M. Freund February 10, 2004 c 2004 Massachusetts Institute of Technology. 1 1 Overview The Practical Importance of Duality Review of Convexity
More informationLARGE SCALE LINEAR AND INTEGER OPTIMIZATION: A UNIFIED APPROACH
LARGE SCALE LINEAR AND INTEGER OPTIMIZATION: A UNIFIED APPROACH Richard Kipp Martin Graduate School of Business University of Chicago % Kluwer Academic Publishers Boston/Dordrecht/London CONTENTS Preface
More informationSupport Vector Machines. James McInerney Adapted from slides by Nakul Verma
Support Vector Machines James McInerney Adapted from slides by Nakul Verma Last time Decision boundaries for classification Linear decision boundary (linear classification) The Perceptron algorithm Mistake
More informationProbabilistic Graphical Models
School of Computer Science Probabilistic Graphical Models Theory of Variational Inference: Inner and Outer Approximation Eric Xing Lecture 14, February 29, 2016 Reading: W & J Book Chapters Eric Xing @
More informationShiqian Ma, MAT-258A: Numerical Optimization 1. Chapter 2. Convex Optimization
Shiqian Ma, MAT-258A: Numerical Optimization 1 Chapter 2 Convex Optimization Shiqian Ma, MAT-258A: Numerical Optimization 2 2.1. Convex Optimization General optimization problem: min f 0 (x) s.t., f i
More informationProgramming, numerics and optimization
Programming, numerics and optimization Lecture C-4: Constrained optimization Łukasz Jankowski ljank@ippt.pan.pl Institute of Fundamental Technological Research Room 4.32, Phone +22.8261281 ext. 428 June
More informationPARALLEL OPTIMIZATION
PARALLEL OPTIMIZATION Theory, Algorithms, and Applications YAIR CENSOR Department of Mathematics and Computer Science University of Haifa STAVROS A. ZENIOS Department of Public and Business Administration
More informationAPPLIED OPTIMIZATION WITH MATLAB PROGRAMMING
APPLIED OPTIMIZATION WITH MATLAB PROGRAMMING Second Edition P. Venkataraman Rochester Institute of Technology WILEY JOHN WILEY & SONS, INC. CONTENTS PREFACE xiii 1 Introduction 1 1.1. Optimization Fundamentals
More informationIntroduction to Constrained Optimization
Introduction to Constrained Optimization Duality and KKT Conditions Pratik Shah {pratik.shah [at] lnmiit.ac.in} The LNM Institute of Information Technology www.lnmiit.ac.in February 13, 2013 LNMIIT MLPR
More informationMVE165/MMG631 Linear and integer optimization with applications Lecture 9 Discrete optimization: theory and algorithms
MVE165/MMG631 Linear and integer optimization with applications Lecture 9 Discrete optimization: theory and algorithms Ann-Brith Strömberg 2018 04 24 Lecture 9 Linear and integer optimization with applications
More informationOptimization III: Constrained Optimization
Optimization III: Constrained Optimization CS 205A: Mathematical Methods for Robotics, Vision, and Graphics Doug James (and Justin Solomon) CS 205A: Mathematical Methods Optimization III: Constrained Optimization
More informationIntroduction to Modern Control Systems
Introduction to Modern Control Systems Convex Optimization, Duality and Linear Matrix Inequalities Kostas Margellos University of Oxford AIMS CDT 2016-17 Introduction to Modern Control Systems November
More informationEc 181: Convex Analysis and Economic Theory
Division of the Humanities and Social Sciences Ec 181: Convex Analysis and Economic Theory KC Border Winter 2018 v. 2018.03.08::13.11 src: front KC Border: for Ec 181, Winter 2018 Woe to the author who
More informationMVE165/MMG630, Applied Optimization Lecture 8 Integer linear programming algorithms. Ann-Brith Strömberg
MVE165/MMG630, Integer linear programming algorithms Ann-Brith Strömberg 2009 04 15 Methods for ILP: Overview (Ch. 14.1) Enumeration Implicit enumeration: Branch and bound Relaxations Decomposition methods:
More informationNonsmooth Optimization and Related Topics
Nonsmooth Optimization and Related Topics Edited by F. H. Clarke University of Montreal Montreal, Quebec, Canada V. F. Dem'yanov Leningrad State University Leningrad, USSR I and F. Giannessi University
More informationConvex Sets (cont.) Convex Functions
Convex Sets (cont.) Convex Functions Optimization - 10725 Carlos Guestrin Carnegie Mellon University February 27 th, 2008 1 Definitions of convex sets Convex v. Non-convex sets Line segment definition:
More informationPreface. and Its Applications 81, ISBN , doi: / , Springer Science+Business Media New York, 2013.
Preface This book is for all those interested in using the GAMS technology for modeling and solving complex, large-scale, continuous nonlinear optimization problems or applications. Mainly, it is a continuation
More informationCME307/MS&E311 Theory Summary
CME307/MS&E311 Theory Summary Yinyu Ye Department of Management Science and Engineering Stanford University Stanford, CA 94305, U.S.A. http://www.stanford.edu/~yyye http://www.stanford.edu/class/msande311/
More informationIncremental Gradient, Subgradient, and Proximal Methods for Convex Optimization: A Survey. Chapter 4 : Optimization for Machine Learning
Incremental Gradient, Subgradient, and Proximal Methods for Convex Optimization: A Survey Chapter 4 : Optimization for Machine Learning Summary of Chapter 2 Chapter 2: Convex Optimization with Sparsity
More informationSimplex Algorithm in 1 Slide
Administrivia 1 Canonical form: Simplex Algorithm in 1 Slide If we do pivot in A r,s >0, where c s
More informationA Tutorial on Decomposition Methods for Network Utility Maximization Daniel P. Palomar, Member, IEEE, and Mung Chiang, Member, IEEE.
IEEE JOURNAL ON SELECTED AREAS IN COMMUNICATIONS, VOL. 24, NO. 8, AUGUST 2006 1439 A Tutorial on Decomposition Methods for Network Utility Maximization Daniel P. Palomar, Member, IEEE, and Mung Chiang,
More informationLecture 19: Convex Non-Smooth Optimization. April 2, 2007
: Convex Non-Smooth Optimization April 2, 2007 Outline Lecture 19 Convex non-smooth problems Examples Subgradients and subdifferentials Subgradient properties Operations with subgradients and subdifferentials
More informationComputational Methods. Constrained Optimization
Computational Methods Constrained Optimization Manfred Huber 2010 1 Constrained Optimization Unconstrained Optimization finds a minimum of a function under the assumption that the parameters can take on
More informationOptimization Methods. Final Examination. 1. There are 5 problems each w i t h 20 p o i n ts for a maximum of 100 points.
5.93 Optimization Methods Final Examination Instructions:. There are 5 problems each w i t h 2 p o i n ts for a maximum of points. 2. You are allowed to use class notes, your homeworks, solutions to homework
More informationIndex. affine dependency, 133 minimal, 133 affine hull, 392 affinely independent, 393 α-bb, 230, 258, 297 approximate solutions, 9 approximation, 86
Index affine dependency, 133 minimal, 133 affine hull, 392 affinely independent, 393 α-bb, 230, 258, 297 approximate solutions, 9 approximation, 86 AP X, 10 aspiration level, 86, 110 atomic clusters, 372
More informationConvexity Theory and Gradient Methods
Convexity Theory and Gradient Methods Angelia Nedić angelia@illinois.edu ISE Department and Coordinated Science Laboratory University of Illinois at Urbana-Champaign Outline Convex Functions Optimality
More informationCME307/MS&E311 Optimization Theory Summary
CME307/MS&E311 Optimization Theory Summary Yinyu Ye Department of Management Science and Engineering Stanford University Stanford, CA 94305, U.S.A. http://www.stanford.edu/~yyye http://www.stanford.edu/class/msande311/
More informationCalifornia Institute of Technology Crash-Course on Convex Optimization Fall Ec 133 Guilherme Freitas
California Institute of Technology HSS Division Crash-Course on Convex Optimization Fall 2011-12 Ec 133 Guilherme Freitas In this text, we will study the following basic problem: maximize x C f(x) subject
More informationLec13p1, ORF363/COS323
Lec13 Page 1 Lec13p1, ORF363/COS323 This lecture: Semidefinite programming (SDP) Definition and basic properties Review of positive semidefinite matrices SDP duality SDP relaxations for nonconvex optimization
More informationGate Sizing by Lagrangian Relaxation Revisited
Gate Sizing by Lagrangian Relaxation Revisited Jia Wang, Debasish Das, and Hai Zhou Electrical Engineering and Computer Science Northwestern University Evanston, Illinois, United States October 17, 2007
More informationUnconstrained Optimization Principles of Unconstrained Optimization Search Methods
1 Nonlinear Programming Types of Nonlinear Programs (NLP) Convexity and Convex Programs NLP Solutions Unconstrained Optimization Principles of Unconstrained Optimization Search Methods Constrained Optimization
More informationConvex Optimization and Machine Learning
Convex Optimization and Machine Learning Mengliu Zhao Machine Learning Reading Group School of Computing Science Simon Fraser University March 12, 2014 Mengliu Zhao SFU-MLRG March 12, 2014 1 / 25 Introduction
More informationSTRUCTURAL & MULTIDISCIPLINARY OPTIMIZATION
STRUCTURAL & MULTIDISCIPLINARY OPTIMIZATION Pierre DUYSINX Patricia TOSSINGS Department of Aerospace and Mechanical Engineering Academic year 2018-2019 1 Course objectives To become familiar with the introduction
More informationLecture 2 September 3
EE 381V: Large Scale Optimization Fall 2012 Lecture 2 September 3 Lecturer: Caramanis & Sanghavi Scribe: Hongbo Si, Qiaoyang Ye 2.1 Overview of the last Lecture The focus of the last lecture was to give
More informationIll-Posed Problems with A Priori Information
INVERSE AND ILL-POSED PROBLEMS SERIES Ill-Posed Problems with A Priori Information V.V.Vasin andalageev HIV SPIII Utrecht, The Netherlands, 1995 CONTENTS Introduction 1 CHAPTER 1. UNSTABLE PROBLEMS 1 Base
More informationConstrained Optimization COS 323
Constrained Optimization COS 323 Last time Introduction to optimization objective function, variables, [constraints] 1-dimensional methods Golden section, discussion of error Newton s method Multi-dimensional
More informationLinear and Integer Programming :Algorithms in the Real World. Related Optimization Problems. How important is optimization?
Linear and Integer Programming 15-853:Algorithms in the Real World Linear and Integer Programming I Introduction Geometric Interpretation Simplex Method Linear or Integer programming maximize z = c T x
More informationA Truncated Newton Method in an Augmented Lagrangian Framework for Nonlinear Programming
A Truncated Newton Method in an Augmented Lagrangian Framework for Nonlinear Programming Gianni Di Pillo (dipillo@dis.uniroma1.it) Giampaolo Liuzzi (liuzzi@iasi.cnr.it) Stefano Lucidi (lucidi@dis.uniroma1.it)
More informationAn augmented Lagrangian method for equality constrained optimization with fast infeasibility detection
An augmented Lagrangian method for equality constrained optimization with fast infeasibility detection Paul Armand 1 Ngoc Nguyen Tran 2 Institut de Recherche XLIM Université de Limoges Journées annuelles
More informationME 555: Distributed Optimization
ME 555: Distributed Optimization Duke University Spring 2015 1 Administrative Course: ME 555: Distributed Optimization (Spring 2015) Instructor: Time: Location: Office hours: Website: Soomin Lee (email:
More informationof Convex Analysis Fundamentals Jean-Baptiste Hiriart-Urruty Claude Lemarechal Springer With 66 Figures
2008 AGI-Information Management Consultants May be used for personal purporses only or by libraries associated to dandelon.com network. Jean-Baptiste Hiriart-Urruty Claude Lemarechal Fundamentals of Convex
More informationLecture 12: convergence. Derivative (one variable)
Lecture 12: convergence More about multivariable calculus Descent methods Backtracking line search More about convexity (first and second order) Newton step Example 1: linear programming (one var., one
More informationIE598 Big Data Optimization Summary Nonconvex Optimization
IE598 Big Data Optimization Summary Nonconvex Optimization Instructor: Niao He April 16, 2018 1 This Course Big Data Optimization Explore modern optimization theories, algorithms, and big data applications
More informationStochastic Separable Mixed-Integer Nonlinear Programming via Nonconvex Generalized Benders Decomposition
Stochastic Separable Mixed-Integer Nonlinear Programming via Nonconvex Generalized Benders Decomposition Xiang Li Process Systems Engineering Laboratory Department of Chemical Engineering Massachusetts
More informationLecture 18: March 23
0-725/36-725: Convex Optimization Spring 205 Lecturer: Ryan Tibshirani Lecture 8: March 23 Scribes: James Duyck Note: LaTeX template courtesy of UC Berkeley EECS dept. Disclaimer: These notes have not
More informationConvex Optimization. Erick Delage, and Ashutosh Saxena. October 20, (a) (b) (c)
Convex Optimization (for CS229) Erick Delage, and Ashutosh Saxena October 20, 2006 1 Convex Sets Definition: A set G R n is convex if every pair of point (x, y) G, the segment beteen x and y is in A. More
More information1. Introduction. performance of numerical methods. complexity bounds. structural convex optimization. course goals and topics
1. Introduction EE 546, Univ of Washington, Spring 2016 performance of numerical methods complexity bounds structural convex optimization course goals and topics 1 1 Some course info Welcome to EE 546!
More informationONLY AVAILABLE IN ELECTRONIC FORM
MANAGEMENT SCIENCE doi 10.1287/mnsc.1070.0812ec pp. ec1 ec7 e-companion ONLY AVAILABLE IN ELECTRONIC FORM informs 2008 INFORMS Electronic Companion Customized Bundle Pricing for Information Goods: A Nonlinear
More informationAffine function. suppose f : R n R m is affine (f(x) =Ax + b with A R m n, b R m ) the image of a convex set under f is convex
Affine function suppose f : R n R m is affine (f(x) =Ax + b with A R m n, b R m ) the image of a convex set under f is convex S R n convex = f(s) ={f(x) x S} convex the inverse image f 1 (C) of a convex
More informationConstrained optimization
Constrained optimization A general constrained optimization problem has the form where The Lagrangian function is given by Primal and dual optimization problems Primal: Dual: Weak duality: Strong duality:
More informationLec 11 Rate-Distortion Optimization (RDO) in Video Coding-I
CS/EE 5590 / ENG 401 Special Topics (17804, 17815, 17803) Lec 11 Rate-Distortion Optimization (RDO) in Video Coding-I Zhu Li Course Web: http://l.web.umkc.edu/lizhu/teaching/2016sp.video-communication/main.html
More informationParallel and Distributed Graph Cuts by Dual Decomposition
Parallel and Distributed Graph Cuts by Dual Decomposition Presented by Varun Gulshan 06 July, 2010 What is Dual Decomposition? What is Dual Decomposition? It is a technique for optimization: usually used
More informationMath 5593 Linear Programming Lecture Notes
Math 5593 Linear Programming Lecture Notes Unit II: Theory & Foundations (Convex Analysis) University of Colorado Denver, Fall 2013 Topics 1 Convex Sets 1 1.1 Basic Properties (Luenberger-Ye Appendix B.1).........................
More informationSparse Optimization Lecture: Proximal Operator/Algorithm and Lagrange Dual
Sparse Optimization Lecture: Proximal Operator/Algorithm and Lagrange Dual Instructor: Wotao Yin July 2013 online discussions on piazza.com Those who complete this lecture will know learn the proximal
More informationPRIMAL-DUAL SOLUTION PERTURBATIONS IN CONVEX OPTIMIZATION
Set-Valued Analysis (2001) PRIMAL-DUAL SOLUTION PERTURBATIONS IN CONVEX OPTIMIZATION A. L. Dontchev 1 and R. T. Rockafellar 2 3 Abstract. Solutions to optimization problems of convex type are typically
More informationSolution Methods Numerical Algorithms
Solution Methods Numerical Algorithms Evelien van der Hurk DTU Managment Engineering Class Exercises From Last Time 2 DTU Management Engineering 42111: Static and Dynamic Optimization (6) 09/10/2017 Class
More informationIntroduction to Optimization Problems and Methods
Introduction to Optimization Problems and Methods wjch@umich.edu December 10, 2009 Outline 1 Linear Optimization Problem Simplex Method 2 3 Cutting Plane Method 4 Discrete Dynamic Programming Problem Simplex
More informationConvex Optimization CMU-10725
Convex Optimization CMU-10725 Ellipsoid Methods Barnabás Póczos & Ryan Tibshirani Outline Linear programs Simplex algorithm Running time: Polynomial or Exponential? Cutting planes & Ellipsoid methods for
More informationGeorge B. Dantzig Mukund N. Thapa. Linear Programming. 1: Introduction. With 87 Illustrations. Springer
George B. Dantzig Mukund N. Thapa Linear Programming 1: Introduction With 87 Illustrations Springer Contents FOREWORD PREFACE DEFINITION OF SYMBOLS xxi xxxiii xxxvii 1 THE LINEAR PROGRAMMING PROBLEM 1
More informationLinear programming and duality theory
Linear programming and duality theory Complements of Operations Research Giovanni Righini Linear Programming (LP) A linear program is defined by linear constraints, a linear objective function. Its variables
More informationSome Advanced Topics in Linear Programming
Some Advanced Topics in Linear Programming Matthew J. Saltzman July 2, 995 Connections with Algebra and Geometry In this section, we will explore how some of the ideas in linear programming, duality theory,
More informationMathematical Programming and Research Methods (Part II)
Mathematical Programming and Research Methods (Part II) 4. Convexity and Optimization Massimiliano Pontil (based on previous lecture by Andreas Argyriou) 1 Today s Plan Convex sets and functions Types
More informationLECTURE 6: INTERIOR POINT METHOD. 1. Motivation 2. Basic concepts 3. Primal affine scaling algorithm 4. Dual affine scaling algorithm
LECTURE 6: INTERIOR POINT METHOD 1. Motivation 2. Basic concepts 3. Primal affine scaling algorithm 4. Dual affine scaling algorithm Motivation Simplex method works well in general, but suffers from exponential-time
More informationEARLY INTERIOR-POINT METHODS
C H A P T E R 3 EARLY INTERIOR-POINT METHODS An interior-point algorithm is one that improves a feasible interior solution point of the linear program by steps through the interior, rather than one that
More informationCONLIN & MMA solvers. Pierre DUYSINX LTAS Automotive Engineering Academic year
CONLIN & MMA solvers Pierre DUYSINX LTAS Automotive Engineering Academic year 2018-2019 1 CONLIN METHOD 2 LAY-OUT CONLIN SUBPROBLEMS DUAL METHOD APPROACH FOR CONLIN SUBPROBLEMS SEQUENTIAL QUADRATIC PROGRAMMING
More informationAspects of Convex, Nonconvex, and Geometric Optimization (Lecture 1) Suvrit Sra Massachusetts Institute of Technology
Aspects of Convex, Nonconvex, and Geometric Optimization (Lecture 1) Suvrit Sra Massachusetts Institute of Technology Hausdorff Institute for Mathematics (HIM) Trimester: Mathematics of Signal Processing
More informationTribhuvan University Institute Of Science and Technology Tribhuvan University Institute of Science and Technology
Tribhuvan University Institute Of Science and Technology Tribhuvan University Institute of Science and Technology Course Title: Linear Programming Full Marks: 50 Course No. : Math 403 Pass Mark: 17.5 Level
More informationOptimization for Machine Learning
Optimization for Machine Learning (Problems; Algorithms - C) SUVRIT SRA Massachusetts Institute of Technology PKU Summer School on Data Science (July 2017) Course materials http://suvrit.de/teaching.html
More informationConvex Optimization MLSS 2015
Convex Optimization MLSS 2015 Constantine Caramanis The University of Texas at Austin The Optimization Problem minimize : f (x) subject to : x X. The Optimization Problem minimize : f (x) subject to :
More informationCOPYRIGHTED MATERIAL. Index
Rao bindex.tex V3-05/21/2009 10:46am Page 803 Index A Absolute minimum, 63 Active constraint, 8, 94 Addition of constraints, 218 Addition of new variables, 214 Additive algorithm, 605 Adjoint equations,
More informationAdvanced Operations Research Techniques IE316. Quiz 2 Review. Dr. Ted Ralphs
Advanced Operations Research Techniques IE316 Quiz 2 Review Dr. Ted Ralphs IE316 Quiz 2 Review 1 Reading for The Quiz Material covered in detail in lecture Bertsimas 4.1-4.5, 4.8, 5.1-5.5, 6.1-6.3 Material
More informationKernel Methods & Support Vector Machines
& Support Vector Machines & Support Vector Machines Arvind Visvanathan CSCE 970 Pattern Recognition 1 & Support Vector Machines Question? Draw a single line to separate two classes? 2 & Support Vector
More informationIE521 Convex Optimization Introduction
IE521 Convex Optimization Introduction Instructor: Niao He Jan 18, 2017 1 About Me Assistant Professor, UIUC, 2016 Ph.D. in Operations Research, M.S. in Computational Sci. & Eng. Georgia Tech, 2010 2015
More informationIMAGE ANALYSIS, CLASSIFICATION, and CHANGE DETECTION in REMOTE SENSING
SECOND EDITION IMAGE ANALYSIS, CLASSIFICATION, and CHANGE DETECTION in REMOTE SENSING ith Algorithms for ENVI/IDL Morton J. Canty с*' Q\ CRC Press Taylor &. Francis Group Boca Raton London New York CRC
More informationfor Approximating the Analytic Center of a Polytope Abstract. The analytic center of a polytope P + = fx 0 : Ax = b e T x =1g log x j
A Lagrangian Relaxation Method for Approximating the Analytic Center of a Polytope Masakazu Kojima y Nimrod Megiddo z Shinji Mizuno x September 1992 Abstract. The analytic center of a polytope P + = fx
More informationOPTIMIZATION METHODS
D. Nagesh Kumar Associate Professor Department of Civil Engineering, Indian Institute of Science, Bangalore - 50 0 Email : nagesh@civil.iisc.ernet.in URL: http://www.civil.iisc.ernet.in/~nagesh Brief Contents
More information