MPC

MPC 2019, ISSUE 3



Mathematical Programming Computation, Volume 11, Issue 3, September 2019

Certifiably optimal sparse principal component analysis

Lauren Berk, Dimitris Bertsimas

This paper addresses the sparse principal component analysis (SPCA) problem for covariance matrices in dimension n aiming to find solutions with sparsity k usingmixed integer optimization. We propose a tailored branch-and-bound algorithm, Optimal-SPCA, that enables us to solve SPCA to certifiable optimality in seconds for n = 100 s, k = 10 s. This same algorithm can be applied to problems with n = 10,000 s or higher to find high-quality feasible solutions in seconds while taking several hours to prove optimality. We apply our methods to a number of real data sets to demonstrate that our approach scales to the same problem sizes attempted by other methods, while providing superior solutions compared to those methods, explaining a higher portion of variance and permitting complete control over the desired sparsity. The software that was reviewed as part of this submission has been given the DOI (digital object identifier) https://doi.org/10.5281/zenodo.2027898

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Mathematical Programming Computation, Volume 11, Issue 3, September 2019

Solving quadratic programs to high precision using scaled iterative refinement

Tobias Weber, Ambros Gleixner, Sebastian Sager

Quadratic optimization problems (QPs) are ubiquitous, and solution algorithms have matured to a reliable technology. However, the precision of solutions is usually limited due to the underlying floating-point operations. This may cause inconveniences when solutions are used for rigorous reasoning. We contribute on three levels to overcome this issue. First, we present a novel refinement algorithm to solve QPs to arbitrary precision. It iteratively solves refined QPs, assuming a floating-point QP solver oracle. We prove linear convergence of residuals and primal errors. Second, we provide an efficient implementation, based on SoPlex and qpOASES that is publicly available in source code. Third, we give precise reference solutions for the Maros and Mészáros benchmark library.

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Mathematical Programming Computation, Volume 11, Issue 3, September 2019

Solving equilibrium problems using extended mathematical programming

Youngdae Kim, Michael C. Ferris

We introduce an extended mathematical programming framework for specifying equilibrium problems and their variational representations, such as generalized Nash equilibrium,multiple optimization problemswith equilibrium constraints, and (quasi-) variational inequalities, and computing solutions of them from modeling languages. We define a new set of constructs with which users annotate variables and equations of the model to describe equilibrium and variational problems. Our constructs enable a natural translation of the model from one formulation to another more computationally tractable form without requiring the modeler to supply derivatives. In the context of many independent agents in the equilibrium, we facilitate expression of sophisticated structures such as shared constraints and additional constraints on their solutions.We define shared variables and demonstrate their uses for sparse reformulation, economic equilibrium problems sharing economic states, mixed pricing behavior of agents, and so on. We give some equilibrium and variational examples from the literature and describe how to formulate them using our framework. Experimental results comparing performance of various complementarity formulations for shared variables are provided. Our framework has been implemented and is available within GAMS/EMP.

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Mathematical Programming Computation, Volume 11, Issue 3, September 2019

Sieve-SDP: a simple facial reduction algorithm to preprocess semidefinite programs

Yuzixuan Zhu, Gábor Pataki, Quoc Tran-Dinh

We introduce Sieve-SDP, a simple facial reduction algorithm to preprocess semidefinite programs (SDPs). Sieve-SDP inspects the constraints of the problem to detect lack of strict feasibility, deletes redundant rows and columns, and reduces the size of the variable matrix. It often detects infeasibility. It does not rely on any optimization solver: the only subroutine it needs is Cholesky factorization, hence it can be implemented in a few lines of code in machine precision. We present extensive computational results on several problem collections from the literature, with many SDPs coming from polynomial optimization.

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Mathematical Programming Computation, Volume 11, Issue 3, September 2019

OAR Lib: an open source arc routing library

Oliver Lum, Bruce Golden, Edward Wasil

We present an open source, arc routing Java library that has a flexible graph architecture with solvers for several uncapacitated arc routing problems and the ability to dynamically generate and visualize real-world street networks. The library is hosted at https://github.com/Olibear/ArcRoutingLibrary ( https://doi.org/10.5281/zenodo.2561406). We describe the algorithms in the library, report computational performance, and discuss implementation issues.

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