Oracle-Based Robust Optimization via Online Learning

Robust optimization is a common framework in optimization under uncertainty when the problem parameters are not known, but it is rather known that the parameters belong to some given uncertainty set. In the robust optimization framework the problem solved is a min-max problem where a solution is judged according to its performance on the worst possible realization of the parameters. In many cases, a straightforward solution of the robust optimization problem of a certain type requires solving an optimization problem of a more complicated type, and in some cases even NP-hard. For example, solving a robust conic quadratic program, such as those arising in robust SVM, ellipsoidal uncertainty leads in general to a semidefinite program. In this paper we develop a method for approximately solving a robust optimization problem using tools from online convex optimization, where in every stage a standard (non-robust) optimization program is solved. Our algorithms find an approximate robust solution using a number of calls to an oracle that solves the original (non-robust) problem that is inversely proportional to the square of the target accuracy

On the complexity of nonlinear mixed-integer optimization

This is a survey on the computational complexity of nonlinear mixed-integer optimization. It highlights a selection of important topics, ranging from incomputability results that arise from number theory and logic, to recently obtained fully polynomial time approximation schemes in fixed dimension, and to strongly polynomial-time algorithms for special cases.Comment: 26 pages, 5 figures; to appear in: Mixed-Integer Nonlinear Optimization, IMA Volumes, Springer-Verla

Approximation in stochastic integer programming

Approximation algorithms are the prevalent solution methods in the field of stochastic programming. Problems in this field are very hard to solve. Indeed, most of the research in this field has concentrated on designing solution methods that approximate the optimal solutions. However, efficiency in the complexity theoretical sense is usually not taken into account. Quality statements mostly remain restricted to convergence to an optimal solution without accompanying implications on the running time of the algorithms for attaining more and more accurate solutions. However, over the last twenty years also some studies on performance analysis of approximation algorithms for stochastic programming have appeared. In this direction we find both probabilistic analysis and worst-case analysis. There have been studies on performance ratios and on absolute divergence from optimality. Only recently the complexity of stochastic programming problems has been addressed, indeed confirming that these problems are harder than most combinatorial optimization problems.

Efficient holographic proofs

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Mathematics, 1996.Includes bibliographical references (p. 57-63).by Alexander Craig Russell.Ph.D

Adiabatic evolution on a spatial-photonic Ising machine

Combinatorial optimization problems are crucial for widespread applications but remain difficult to solve on a large scale with conventional hardware. Novel optical platforms, known as coherent or photonic Ising machines, are attracting considerable attention as accelerators on optimization tasks formulable as Ising models. Annealing is a well-known technique based on adiabatic evolution for finding optimal solutions in classical and quantum systems made by atoms, electrons, or photons. Although various Ising machines employ annealing in some form, adiabatic computing on optical settings has been only partially investigated. Here, we realize the adiabatic evolution of frustrated Ising models with 100 spins programmed by spatial light modulation. We use holographic and optical control to change the spin couplings adiabatically, and exploit experimental noise to explore the energy landscape. Annealing enhances the convergence to the Ising ground state and allows to find the problem solution with probability close to unity. Our results demonstrate a photonic scheme for combinatorial optimization in analogy with adiabatic quantum algorithms and enforced by optical vector-matrix multiplications and scalable photonic technology.Comment: 9 pages, 4 figure