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Verifying the correctness of KKT conditions

I have a LP problem and derived the corresponding KKT conditions for the same. I simulated the LP and obtained the primal and dual values and manually checked if the KKT conditions hold. Is there any ...
1
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0answers
14 views

Meta papers on operations research

Some time ago, I wrote this answer: https://or.stackexchange.com/a/3323/405 to a question here on this stack exchange. I've had similar discussions with colleges, but i never found anything written ...
0
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0answers
16 views

Finding Optimal Route using different Paths

I have a list of paths e.g. path 1 takes you from point A to B. A person needs to complete 5 of such paths. $$Route1 = path1 + ...
2
votes
0answers
36 views

Linear objective function with non-linear constraints

I would like to choose a set of $\beta_j$s that maximizes a simple linear objective function of the type $$ \underset{\beta_j}{\operatorname{max}}\sum_{j=1}^{J}X_j\beta_j \\ $$ subject to the ...
2
votes
2answers
52 views

MINLP Solution same as Global Optimum?

Is the solution to an MINLP problem the global optimum to this problem?
2
votes
1answer
76 views

Is a convex or MILP (without big-M) formulation possible for this problem

Assume we are given a directed acyclic graph (DAG) $G(V, A)$, where $|V| = n, |A| = m$, and the graph contains a source node $\mathbf{s}$ (i.e. every node in $V \backslash \mathbf{s}$ is connected by ...
2
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0answers
30 views

Scheduling with setup cost

I have a single worker that can work on N different tasks, but his total time T is limited. Let's assume time is in steps of 10 minutes (1 step = 1 mn). The payoff from a single job is 0 for the first ...
3
votes
0answers
36 views

Two M/M/1 queues working independently

If two M/M/1 queues with arrival rate $\lambda$ and service rate $\mu$ are working independently. Is the system equivalent to a single M/M/1 queue with arrival rate $2\lambda$ and service rate $2\mu$?
2
votes
1answer
79 views

Problem with implementing squared terms in the objective function

I'm trying to implement either one of these objective functions, but I'm having a hard time with the squared terms. I'm attaching both so you can take a look at the structure and see if you can give ...
4
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2answers
201 views

Combinatorial Optimization using AMPL

I want to solve the following integer programming problem using AMPL. The problem is the following (It was already asked on mathstackexchange.com, but I need to know how to solve it using AMPL): Let $...
8
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2answers
83 views

(Iterative?) Solutions to a certain quadratic program with non-convex constraints

Let $y\in\mathbb{R}^m$, $\tau\in\mathbb{R}$ and $X\in\mathbb{R}^{m\times n}$, with $\tau>0$ I would like to efficiently solve the following problem: Problem 1 Choose $\alpha,z\in\mathbb{R}^m,\beta\...
4
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0answers
37 views

Complexity of solving a certain commodity flow problem

Does anyone know the complexity of obtaining the optimal solution to the integral multi-commodity network flow problem with unit demands, integral capacities, but the cost of using an arc varies ...
2
votes
1answer
48 views

AdaGrad - Sparsity of parameters

I read on Wikipedia: AdaGrad (for adaptive gradient algorithm) is a modified stochastic gradient descent algorithm with per-parameter learning rate, first published in 2011. Informally, this ...
1
vote
1answer
49 views

How to get detail about 'OptimizationStatus.ERROR' in MIP module in Python?

I am using MIP (Mixed Integer Programming) module in Python to solve one of my optimization problems. for some of the scenarios, model returns "ERROR" (OptimizationStatus.ERROR) status after ...
6
votes
1answer
80 views

CPLEX MIP warm start seems slow down the program?

I have been working on a combinatorial optimization problem which can be modeled as an integer linear programming. I implemented it as a c++ project in visual studio 2017 and CPLEX1271. With the hope ...
6
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0answers
49 views

Books in applied Online Optimization

What are books on Online Optimization other than Introduction to Online Convex Optimization? Preferably: more on applied side, rather than theoretical not limited to convex only
6
votes
2answers
86 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 ...
4
votes
1answer
83 views

Integer Program for Multiplication of Large Numbers

Given two numbers in binary representation $b_1,b_2$ and let $k_1, k_2$ be the number of digits. What would be an integer program that models the multiplication of these two numbers? The restriction ...
6
votes
2answers
203 views

How to simulate computational execution time?

I am working with some computational experiments with an Integer Programming (IP) formulation over a well-known set of instances from the literature of my problem. And I would like to compare my ...
3
votes
1answer
121 views

Formulation of Assignment problem as integer programming

We need to maintain as quickly as possible a complex system. In particular, we need to replace six of its components $\{P1,...,P6\}$. We have three 3D printers $\{M1,M2,M3\}$ which we can use to ...
0
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0answers
54 views

How to identify an MVP for house building?

I am trying to find a minimal viable product for house building company. I don't know what are the commonly used constraints. Intuitively, I would say that: There is a set of tasks. Each task has a ...
3
votes
3answers
122 views

SLSQP Optimisation loop takes several iterations to compute error function despite jacobian

I have an error function $f : w \rightarrow f(w)$ that I want to minimize, $w$ being a vector of length 211. There are some constraints on $w$. I managed to compute the jacobian $J$ and even with it ...
5
votes
2answers
100 views

What is a general procedure to prove that the LP relaxation of an IP delivers the optimal IP solution?

Say that I have a binary IP $$z=\max_x \{c^\top x: Ax=b, x\in B^n\}$$ where $B^n$ is the set of $n$-dimensional $0-1$ vectors. Its LP relaxation will be $$z^{LP}=\max_x \{c^\top x: Ax=b, 0\leq x\leq 1\...
3
votes
1answer
76 views

Can Deep RL be used to find optimal division point in an application?

I need to optimise the end-to-end latency for a multi-service application while distributing it on multiple devices. The application is a series of services interconnected to each other. The goal is ...
13
votes
3answers
142 views

How would you characterize “optimization data?”

We often hear that in practice, not enough data of sufficient quality, consistency, recency, etc. is available for feeding into mathematical optimization models. Example: my university wanted to plan/...
8
votes
3answers
1k views

How to improve the quality of code in OR?

So I noticed, that a lot of students taking OR-classes come from non-computer science backgrounds (e.g. buissiness administration). They typically had only one other class in their first semester ...
5
votes
1answer
91 views

Linearizing a constraint with square root of a variable

I am trying to linearize the constraint set (2) in the following simplified program. The parameters: $A,C,D,T\in\mathbb{R}^+$. The set $\mathcal{J}$ is polynomially-sized. \begin{alignat}2\min &\...
2
votes
0answers
35 views

dynamic pricing considering competitor's price

Let's say an online-only retailer (specialized market/without own brand) trying to play with the price of the product. If only matching amazon's price, it might end up not making much profit, since ...
4
votes
1answer
50 views

Maximizing 1-norm: using binary variables to relax non-convexity

It is well-known that when we maximize a 1-norm, e.g., $\|Ax\|_1$, we can use binary variables and obtain a mixed-integer convex problem (otherwise maximizing 1-norm is non-convex). I am mentioning ...
1
vote
0answers
31 views

Find minimum cost problem

The problem below aims to find the minimum cost for the network architecture: We want to build a network where client terminals are connected to servers by cabling which is very expensive. The network ...
6
votes
1answer
85 views

Can I replace the objective function $f$ with $g$ if $g \ge f$?

I am working on a project where the customer requested to change the current objective function $f$ to another function $g$ (both linear). It is easy to prove that $f \le g$ and as both are linear ...
17
votes
2answers
546 views

Difference between stochastic optimization and robust optimization

I would like to know whether stochastic optimization and robust optimization are the same and if not, what is the main difference between them. I did an Internet search and I found the following ...
8
votes
2answers
68 views

Alternatives for real-world data collection in simulation courses for Fall 2020

I teach a discrete-event system simulation course in Fall 2020. As with most DES simulation courses, students have term projects that involve gathering real-world data and building stochastic input ...
4
votes
1answer
191 views

Indicator function in math programming

I have the following doubt: Being $x$ an integer variable that takes the values $1$, $2$ or $3$. Being $y_1$ a binary variable. Being $y_2$ a binary variable. I want to express the two following ...
2
votes
1answer
38 views

How to properly define an edge set with an uncommon condition

I am trying to define an edge set as follows: $\mathcal{E}=\{(i,j)|i,j\in\mathcal{V}\land T_{ij}\leq R \land \text{$i$ and $j$ are not jointly in $\mathcal{K}$\}}$, where $\mathcal{V}$ is the set of ...
1
vote
0answers
38 views

linearisation of if-then constraint [duplicate]

Is it possible to translate this if-then constraint in linear manner to be solved with a linear programming solver? If not, how can it be translated into a integer programming manner to be solved by ...
2
votes
0answers
124 views

Operation hours optimization for circular schedule

Here is my problem. A store has X = 15 electical devices with the ability to work non-stop, fully charged, up to 8 hours. Their battery charge lasts 2 hours and the operating hours of the store differ ...
2
votes
1answer
37 views

Specify the criteria of the optimal solution

I have three variables $x_{1},x_{2},x_{3}$ and a function $f : D \rightarrow \mathbb{R}$ where $D$ is defined as such : $$D = (x_{1},x_{2},x_{3})$$ such that $$x_{1}+x_{2}+x_{3}=1$$ and $$x_{1}>x_{...
3
votes
0answers
53 views

Under what conditions is the optimal solution to the warehouse location problem the same for a subset of customers?

I am wondering whether there exists some general insight for when the optimal solution to the warehouse location problem is still optimal for a given subset of customers. For example: Does the ...
2
votes
1answer
53 views

Make Optimization term fit into DCP rules

I want to make a term in an objective function I am working with fit into DCP for CVXPY. I am working on replicating this research paper for an active learning problem. Specifically equations 5 is ...
2
votes
1answer
48 views

Linearizing power term in objective function

I would like to linearize $x^2$ term in my objective function. I understand this can be solved using quadratic programming solver; however, for my use case linearization is necessary to convert it to ...
4
votes
2answers
179 views

Output of binary variable greater than one

I am working on a shipping demurrage problem that uses a binary variable to denote the date a specific vessel can be loaded (I have been kindly helped by Wesley on OR before with this). I am confident ...
3
votes
2answers
111 views

Limit number of switches in employee scheduling problem

Here is a scheduling problem I need to solve. Given the demand for 2 positions in 1 week with 3 shifts per position, I need to allocate the employees accordingly with some extra operational ...
3
votes
1answer
80 views

Pyomo: Help setting up my model

I have been working with a model for the past couple of weeks, but I am not sure what am I doing wrong as every time Pyomo returns that is infeasible or ...
3
votes
0answers
114 views

SDP relaxation with greater-than and less-than inequalities at the same time

I am dealing with the following nonconvex fractional quadratic optimization problem \begin{align} & \min_{\boldsymbol{x}} && \max_{t \in \mathcal{T}} \frac{\boldsymbol{a}_t^T \boldsymbol{...
7
votes
1answer
126 views

Optimization software for ARM Architecture

Given that tomorrow Apple will likely announce the first ARM Macs (per bloomberg), I was wondering what the current status of ARM support in optimization software. For instance, does anyone know if ...
2
votes
0answers
41 views

Algorithm for Trainyard Marshall optimization problem

The problem I am trying to solve is the 2014 RAS problem. The link is the following The problem Trains come to the humpyard where each compartment of a train gets humped or disassembled and then each ...
5
votes
3answers
159 views

How can I optimize this integer programming constraint problem without running out of memory?

I am trying to run this constraint problem but the memory runs out, $$S_{i}$$ are 1975 Students that need to be assigned to one of 188 teacher assistants classes, each teacher assistant has to chose a ...
2
votes
1answer
68 views

Linearize sum of product in objective function

Notation: I have an optimisation problem with objective function: \begin{align}\max&\quad\sum_n Q_n\\\text{s.t.}&\quad Q_n=x_{ij}^{nk}(y_i^{nk}-c_n), \forall n \in N, k \in K, (i,j) \in P.\end{...
3
votes
1answer
100 views

How to optimize with “if” constraints

The minimizing problem is the following : $$ \underset{w}{\operatorname{argmin}} \sum_{i=1}^{n}\left[w_{i}\times (\frac{Vw}{\sigma})_{i} - b_{i}\right]^{2}$$ with $V$ a $n\times n$ matrix (covariance ...

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