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SIAMJO
2010
58views more  SIAMJO 2010»
12 years 11 months ago
The Geometry of Strict Maximality
Emanuele Casini, Enrico Miglierina
SIAMJO
2010
92views more  SIAMJO 2010»
12 years 11 months ago
Inexact Proximal Point Methods for Variational Inequality Problems
We present a new family of proximal point methods for solving monotone variational inequalities. Our algorithm has a relative error tolerance criterion in solving the proximal subp...
Regina Sandra Burachik, Joydeep Dutta
SIAMJO
2010
47views more  SIAMJO 2010»
12 years 11 months ago
Integer Programming Subject to Monomial Constraints
Abstract. We investigate integer programs containing monomial constraints of the type Q iI xi i = b. Due to the number-theoretic nature of these constraints, standard methods based...
Christoph Buchheim, Dennis Michaels, Robert Weisma...
SIAMJO
2010
125views more  SIAMJO 2010»
12 years 11 months ago
Trading Accuracy for Sparsity in Optimization Problems with Sparsity Constraints
We study the problem of minimizing the expected loss of a linear predictor while constraining its sparsity, i.e., bounding the number of features used by the predictor. While the r...
Shai Shalev-Shwartz, Nathan Srebro, Tong Zhang
SIAMJO
2010
112views more  SIAMJO 2010»
12 years 11 months ago
A Semidefinite Relaxation Scheme for Multivariate Quartic Polynomial Optimization with Quadratic Constraints
We present a general semidefinite relaxation scheme for general n-variate quartic polynomial optimization under homogeneous quadratic constraints. Unlike the existing sum-of-squar...
Zhi-Quan Luo, Shuzhong Zhang
SIAMJO
2010
155views more  SIAMJO 2010»
12 years 11 months ago
Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
Somayeh Moazeni, Thomas F. Coleman, Yuying Li
SIAMJO
2010
97views more  SIAMJO 2010»
12 years 11 months ago
A Newton-CG Augmented Lagrangian Method for Semidefinite Programming
Abstract. We consider a Newton-CG augmented Lagrangian method for solving semidefinite programming (SDP) problems from the perspective of approximate semismooth Newton methods. In ...
Xin-Yuan Zhao, Defeng Sun, Kim-Chuan Toh
SIAMJO
2010
74views more  SIAMJO 2010»
12 years 11 months ago
Various Lipschitz-like Properties for Functions and Sets I: Directional Derivative and Tangential Characterizations
In this work we introduce for extended real valued functions, defined on a Banach space X, the concept of K directionally Lipschitzian behavior, where K is a bounded subset of X. F...
Rafael Correa, Pedro Gajardo, Lionel Thibault
SIAMJO
2010
56views more  SIAMJO 2010»
12 years 11 months ago
Stability of Error Bounds for Semi-infinite Convex Constraint Systems
Huynh van Ngai, Alexander Kruger, Michel Thé...