Lectures on Modern Convex Optimization

DOI10.1137/1.9780898718829zbMath0986.90032OpenAlexW1568307856MaRDI QIDQ2756075

Publication date: 12 November 2001

Full work available at URL: https://doi.org/10.1137/1.9780898718829

semidefinite programming convex programming conic programming conic quadratic programming large-scale programming

Semidefinite programming (90C22) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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Decompositions, STEIN LINEAR PROGRAMS OVER SYMMETRIC CONES, Buyer's quantile hedge portfolios in discrete-time trading, Scalable Algorithms for the Sparse Ridge Regression, The solution of euclidean norm trust region SQP subproblems via second-order cone programs: an overview and elementary introduction, Stationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based Approximations, Minimizing an indefinite quadratic function subject to a single indefinite quadratic constraint, A branch-and-cut algorithm using polar cuts for solving nonconvex quadratic programming problems, Completely positive and copositive program modelling for quadratic optimization problems, Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems, On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems, Solving limit analysis problems: an interior-point method, A Unified Approach to Mixed-Integer Optimization Problems With Logical Constraints, Optimal Designs for Rational Function Regression, Solving nonconvex SDP problems of structural optimization with stability control, An introduction to continuous optimization for imaging, Optimal Size of Linear Matrix Inequalities in Semidefinite Approaches to Polynomial Optimization, Mathematically rigorous global optimization in floating-point arithmetic, Primal-Dual Interior-Point Methods for Domain-Driven Formulations, Variational Phase Retrieval with Globally Convergent Preconditioned Proximal Algorithm, Holographic phase retrieval and reference design, Quadratic convergence to the optimal solution of second-order conic optimization without strict complementarity, Best Nonnegative Rank-One Approximations of Tensors, Rounding of convex sets and efficient gradient methods for linear programming problems, Stochastic polynomial optimization, Gradient-Free Methods with Inexact Oracle for Convex-Concave Stochastic Saddle-Point Problem, A Single-Phase, Proximal Path-Following Framework, Technical Note—A Conic Integer Optimization Approach to the Constrained Assortment Problem Under the Mixed Multinomial Logit Model, Adaptive Mirror Descent Algorithms for Convex and Strongly Convex Optimization Problems with Functional Constraints, Limitations on the Expressive Power of Convex Cones without Long Chains of Faces, A pivoting procedure for a class of second-order cone programming, Implementation of infinite-dimensional interior-point method for solving multi-criteria linear-quadratic control problem, Novel Reformulations and Efficient Algorithms for the Generalized Trust Region Subproblem, On Subadditive Duality for Conic Mixed-integer Programs, Linear Coupling: An Ultimate Unification of Gradient and Mirror Descent, Distributionally robust optimization for sequential decision-making, Book Review: The basic George B. Dantzig, A Convex Relaxation to Compute the Nearest Structured Rank Deficient Matrix, Characterizing Bad Semidefinite Programs: Normal Forms and Short Proofs, Scalable Semidefinite Programming, Unnamed Item, Exact Duality in Semidefinite Programming Based on Elementary Reformulations, Efficient Algorithms for Distributionally Robust Stochastic Optimization with Discrete Scenario Support, Characterizing Convexity of Images for Quadratic-Linear Mappings with Applications in Nonconvex Quadratic Optimization, Semidefinite Representations of Noncompact Convex Sets, Connectivity of Quadratic Hypersurfaces and Its Applications in Optimization, Part I: General Theory, Optimal pricing and scheduling control of product shipping, Matrix Support Functionals for Inverse Problems, Regularization, and Learning, Convex Programming with Separable Ellipsoidal Constraints: Application in Contact Problems with Orthotropic Friction, A fast first-order optimization approach to elastoplastic analysis of skeletal structures, Robust and reliable portfolio optimization formulation of a chance constrained problem, Necessary and sufficient KKT optimality conditions in non-convex optimization, Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support, On the planar piecewise quadratic 1-center problem, Convex sets with semidefinite representation, Generalized S-lemma and strong duality in nonconvex quadratic programming, Optimization of linear systems subject to bounded exogenous disturbances: the invariant ellipsoid technique, The new robust conic GPLM method with an application to finance: prediction of credit default, Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems, Inseparable robust reward-risk optimization models with distribution uncertainty, Conic approximation to quadratic optimization with linear complementarity constraints, Stochastic online optimization. Single-point and multi-point non-linear multi-armed bandits. Convex and strongly-convex case, Application of the sequential parametric convex approximation method to the design of robust trusses, Adaptive detection of distributed targets in Gaussian clutter based on multiple a-priori spectral models, Adjusted robust mean-value-at-risk model: less conservative robust portfolios, Discrete multi-load truss sizing optimization: model analysis and computational experiments, An exact formula for radius of robust feasibility of uncertain linear programs, Iterative method with inertial terms for nonexpansive mappings: applications to compressed sensing, Convexifications of rank-one-based substructures in QCQPs and applications to the pooling problem, How to solve a design centering problem, Solving rank-constrained semidefinite programs in exact arithmetic, Sum-of-squares methods for controlled invariant sets with applications to model-predictive control, Positive operators on extended second order cones, Quadratic two-stage stochastic optimization with coherent measures of risk, On representing the positive semidefinite cone using the second-order cone, Routing optimization with time windows under uncertainty, A closed-form solution of the Black-Litterman model with conditional value at risk, Certifying global optimality of graph cuts via semidefinite relaxation: a performance guarantee for spectral clustering, Robust sensitivity analysis for linear programming with ellipsoidal perturbation, Absolute value equations with uncertain data, A convex approach to the Gilbert-Steiner problem, Outer approximation with conic certificates for mixed-integer convex problems, Some useful inequalities via trace function method in Euclidean Jordan algebras, Quadratic optimization over one first-order cone, The asymptotics of ranking algorithms, A cutting plane method for solving KYP-SDPs, Antenna array synthesis with clusters of unmanned aerial vehicles, Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming, Accelerated methods for saddle-point problem, A lattice method for option pricing with two underlying assets in the regime-switching model, Perron vector optimization applied to search engines, A unified approach for deriving optimal finite differences, Extension of the LP-Newton method to conic programming problems via semi-infinite representation, Hypothesis testing via Euclidean separation, A perturbation view of level-set methods for convex optimization, Primal-dual incremental gradient method for nonsmooth and convex optimization problems, Semidefinite optimization models for limit and shakedown analysis problems involving matrix spreads, Confidence ellipsoids for static response of trusses with load and structural uncertainties, On two-stage convex chance constrained problems, Necessary conditions and duality for inexact nonlinear semi-infinite programming problems, Invariance and efficiency of convex representations, The radius of robust feasibility of uncertain mathematical programs: a survey and recent developments, Second-order cone and semidefinite representations of material failure criteria, Automatic repair of convex optimization problems, Steepest descent method with a generalized Armijo search for quasiconvex functions on Riemannian manifolds, Bundle methods for sum-functions with ``easy components: applications to multicommodity network design, On the Chvátal-Gomory closure of a compact convex set, Performance of first-order methods for smooth convex minimization: a novel approach, Design of noise and period-time robust high-order repetitive control, with application to optical storage, Solving asymmetric variational inequalities via convex optimization, Portfolio optimization with linear and fixed transaction costs, Robust investment decisions under supply disruption in petroleum markets, Contracting optimally an interval matrix without loosing any positive semi-definite matrix is a tractable problem, Weiszfeld's method: old and new results, Characterizing robust solution sets of convex programs under data uncertainty, A full-Newton step feasible weighted primal-dual interior point algorithm for monotone LCP, Tractable approximations to robust conic optimization problems, Ambiguous chance constrained problems and robust optimization, Robust mean-squared error estimation of multiple signals in linear systems affected by model and noise uncertainties, Matrix sum-of-squares relaxations for robust semi-definite programs, The split closure of a strictly convex body, Fast gradient descent for convex minimization problems with an oracle producing a \(( \delta, L)\)-model of function at the requested point, Finding efficient solutions for multicriteria optimization problems with SOS-convex polynomials, Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra, Solution refinement at regular points of conic problems, Regularized nonlinear acceleration, When do birds of a feather flock together? \(k\)-means, proximity, and conic programming, Application of the method of semidefinite relaxation for determining the orientation of a solid body in space, Application of Benders decomposition method in solution of a fixed-charge multicommodity network design problem avoiding congestion, On polyhedral estimation of signals via indirect observations, Exact relaxations for parametric robust linear optimization problems, Minimal conic quadratic reformulations and an optimization model, Radius of robust feasibility of system of convex inequalities with uncertain data, Convergence analysis of spatial-sampling-based algorithms for time-optimal smooth velocity planning, On semi-infinite systems of convex polynomial inequalities and polynomial optimization problems, Immediate schedule adjustment and semidefinite relaxation, Small and strong formulations for unions of convex sets from the Cayley embedding, Self-concordant inclusions: a unified framework for path-following generalized Newton-type algorithms, The theta number of simplicial complexes, The wait-and-judge scenario approach applied to antenna array design, ``Facet separation with one linear program, New SOCP relaxation and branching rule for bipartite bilinear programs, On the convergence properties of non-Euclidean extragradient methods for variational inequalities with generalized monotone operators, A probabilistic ellipsoid algorithm for linear optimization problems with uncertain LMI constraints, A distributionally robust perspective on uncertainty quantification and chance constrained programming, Farkas lemma for convex systems revisited and applications to sublinear-convex optimization problems, A new constrained total variational deblurring model and its fast algorithm, Three-monotone interpolation, Detecting copositivity of a symmetric matrix by an adaptive ellipsoid-based approximation scheme