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SIAMJO
2008
105views more  SIAMJO 2008»
13 years 11 months ago
On Stability of Multistage Stochastic Programs
We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...
Christian Küchler
SIAMJO
2008
76views more  SIAMJO 2008»
13 years 11 months ago
Identification and Elimination of Interior Points for the Minimum Enclosing Ball Problem
Given A := {a1, . . . , am} Rn, we consider the problem of reducing the input set for the computation of the minimum enclosing ball of A. In this note, given an approximate soluti...
S. Damla Ahipasaoglu, E. Alper Yildirim
SIAMJO
2008
93views more  SIAMJO 2008»
13 years 11 months ago
Smooth Optimization with Approximate Gradient
We show that the optimal complexity of Nesterov's smooth first-order optimization algorithm is preserved when the gradient is only computed up to a small, uniformly bounded er...
Alexandre d'Aspremont
SIAMJO
2008
86views more  SIAMJO 2008»
13 years 11 months ago
On the Second-Order Feasibility Cone: Primal-Dual Representation and Efficient Projection
We study the second-order feasibility cone F = {y IRn : My gT y} for given data (M, g). We construct a new representation for this cone and its dual based on the spectral decompo...
Alexandre Belloni, Robert M. Freund
SIAMJO
2008
109views more  SIAMJO 2008»
13 years 11 months ago
A Regularized Smoothing Newton Method for Symmetric Cone Complementarity Problems
This paper extends the regularized smoothing Newton method in vector optimization to symmetric cone optimization, which provide a unified framework for dealing with the nonlinear ...
Lingchen Kong, Jie Sun, Naihua Xiu
SIAMJO
2008
107views more  SIAMJO 2008»
13 years 11 months ago
A Short Algebraic Proof of the Farkas Lemma
David Bartl
SIAMJO
2008
92views more  SIAMJO 2008»
13 years 11 months ago
An Active-Set Newton Method for Mathematical Programs with Complementarity Constraints
For a mathematical program with complementarity constraints (MPCC), we propose an active-set Newton method, which has the property of local quadratic convergence under the MPCC lin...
Alexey F. Izmailov, Mikhail V. Solodov
SIAMJO
2008
104views more  SIAMJO 2008»
13 years 11 months ago
A Minimax Theorem with Applications to Machine Learning, Signal Processing, and Finance
This paper concerns a fractional function of the form xT a/ xT Bx, where B is positive definite. We consider the game of choosing x from a convex set, to maximize the function, an...
Seung-Jean Kim, Stephen P. Boyd
SIAMJO
2008
112views more  SIAMJO 2008»
13 years 11 months ago
Parallel Space Decomposition of the Mesh Adaptive Direct Search Algorithm
This paper describes a Parallel Space Decomposition (PSD) technique for the Mesh Adaptive Direct Search (MADS) algorithm. MADS extends Generalized Pattern Search for constrained n...
Charles Audet, J. E. Dennis, Sébastien Le D...