Now showing items 1-10 of 10
Linear programming via a quadratic penalty function
(Physica - Verlag, 1996)
We use quadratic penalty functions along with some recent ideas from linear l1 estimation to arrive at a new characterization of primal optimal solutions in linear programs. The algorithmic implications of this analysis ...
Piecewise-linear pathways to the optimal solution set in linear programming
(Kluwer Academic Publishers - Plenum Publishers, 1997)
This paper takes a fresh look at the application of quadratic penalty functions to linear programming. Recently, Madsen et al. (Ref. 1) described a continuation algorithm for linear programming based on smoothing a dual ...
A derivation of Lovász' theta via augmented lagrange duality
(E D P Sciences, 2003)
A recently introduced dualization technique for binary linear programs with equality constraints, essentially due to Poljak et al. , and further developed in Lemar´echal and Oustry , leads to simple alternative ...
A new finite continuation algorithm for linear programming
(Society for Industrial and Applied Mathematics, 1996)
We describe a new finite continuation algorithm for linear programming. The dual of the linear programming problem with unit lower and upper bounds is formulated as an f\ minimization problem augmented with the addition ...
Optimal oblivious routing under linear and ellipsoidal uncertainty
In telecommunication networks, a common measure is the maximum congestion (i.e., utilization) on edge capacity. As traffic demands are often known with a degree of uncertainty, network management techniques must take into ...
Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option ...
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ...
Generalized second price auction is optimal for discrete types
We prove that a variant of the second price auction for the sale of a single good through a Bayesian incentive compatible mechanism that maximizes expected revenue of the seller is optimal when the type space is discrete. ...
Optimal allocation with costly inspection and discrete types under ambiguity
(Taylor & Francis, 2017)
We consider the following problem: a principal has a good to allocate among a collection of agents who attach a private value to receiving the good. The principal, instead of using monetary transfers (i.e. charging the ...
A characterization of the optimal set of linear programs based on the augmented lagrangian
(Taylor & Francis, 1999)
It is proved that in a certain neighborhood of the optimal set of multipliers, the set of minimizers of the augmented lagrangian nmction generates a new characterization of the optimal solution set of the linear program.