Questions tagged [optimality-conditions]

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How to establish the optimal value functions and optimal control policy for a controlled random walk problem?

Question: How to establish an explicit characterization of both the optimal value functions and the optimal control policy for a controlled random walk? Background: Assume our system is a perfectly-...
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6 votes
1 answer
75 views

Minimize $\int_0^\infty g'(x)f(x)\,dx$ where $f(x)$ has a log-normal density

I would like to optimize (minimize) the following expression in order to find the functional minimizer $g$ (which should be at least once differentiable): $$ \int_0^\infty g'(x) f(x) \ dx $$ where $f(...
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2 votes
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FOC point vs Stationary point in local optimization

In this SIAM Review paper the authors are giving the following necessary condition for a point being a local maximum of a convex function: Let $F: \mathbb{R}^n \mapsto \mathbb{R}$ be convex. If $x$ ...
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5 votes
1 answer
150 views

Optimality in L Shaped or Bender Decomposition

I was working on solving a two-stage stochastic problem using L Shaped method (Benders Decomposition). I have discussed the model here: Stochastic Facility Location Model. Do the single-cut/ multi-cut ...
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  • 429
2 votes
1 answer
129 views

Promising regions in optimization

I have investigated the literature, but I could not find proper explanations. As we know, (meta-)heuristics try to explore promising regions of optimality. The regions are then exploited. What is the ...
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  • 79
4 votes
1 answer
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How to prove pseudo-convexity of a discrete function?

Given a general function $f:\Bbb Z\to\Bbb R$ is there a simple way to verify whether $f(x)$ is pseudo-convex or not?
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  • 43
8 votes
3 answers
398 views

How to determine different gap rates?

I found in the literature different gaps: a gap between a random solution and an exact solution a gap between the exact solution and a lower bound a gap between the exact solution and a lower bound a ...
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  • 413
0 votes
1 answer
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Is optimal solution to dual not unique if optimal solution to the primal is degenerate?

If optimal solution to the primal is degenerate, does it necessarily follow that optimal solution to dual not unique? That is, is uniqueness an unnecessary assumption? Spin-off from here. In my ...
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  • 59
11 votes
0 answers
217 views

Finding primal feasible solution from optimal dual

I'm reading Boyd's notes on forming the dual problem in order to decompose the primal problem. On page 4, right before the start of the next section, he talks about how given the optimal dual solution,...
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5 votes
2 answers
140 views

Local optimum of dual of non-linear program

In general, suppose you have a non-convex optimization problem with constraints and you form the dual problem. If you find a local optimum for the dual problem, will the corresponding primal solution ...
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6 votes
2 answers
388 views

Existence of Optimal Solution

Assume we are solving $\min\{f(x) \ | \ x \in S \}$. If $f: \mathbb{R}^n \mapsto \mathbb{R}$ is a proper closed convex function, and $S$ is a non-empty closed convex set, does this imply that the ...
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8 votes
2 answers
174 views

Conditions for minima in calculus of variations

In the calculus of variations (unconstrained), one applies a first-order variation on a general functional of the form $$\int_{a}^{b}F(x,y,y')\,dx$$ to obtain the first-order necessary condition for ...
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11 votes
1 answer
474 views

Solvers and saddle points

It seems like most solvers that can tackle nonlinear nonconvex optimization problems (e.g. IPOPT) operate on ultimately solving for the first-order optimality conditions. Can it therefore be assumed ...
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18 votes
1 answer
175 views

Optimality in a simultaneous column and row generation procedure

What is the optimality argument in a simultaneous column and row generation procedure? By column and row generation procedure I mean a procedure in which every time a column in generated, several ...
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10 votes
2 answers
161 views

Global optimality condition of non-convex quadratic programs

We know that a convex quadratic maximization (not minimization!) on a polyhedron has its global optimal value on a vertex. Also, I have read in some papers that checking whether a vertex is globally ...
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