Conic Optimization: Optimal Partition, Parametric, and Stability Analysis

A linear conic optimization problem consists of the minimization of a linear objective function over the intersection of an affine space and a closed convex cone. In recent years, linear conic optimization has received significant attention, partly due to the fact that we can take advantage of linear conic optimization to reformulate and approximate intractable optimization problems. Steady advances in computational optimization have enabled us to approximately solve a wide variety of linear conic optimization problems in polynomial time. Nevertheless, preprocessing methods, rounding procedures and sensitivity analysis tools are still the missing parts of conic optimization solvers. Given the output of a conic optimization solver, we need methodologies to generate approximate complementary solutions or to speed up the convergence to an exact optimal solution. A preprocessing method reduces the size of a problem by finding the minimal face of the cone which contains the set of feasible solutions. However, such a preprocessing method assumes the knowledge of an exact solution. More importantly, we need robust sensitivity and post-optimal analysis tools for an optimal solution of a linear conic optimization problem. Motivated by the vital importance of linear conic optimization, we take active steps to fill this gap.This thesis is concerned with several aspects of a linear conic optimization problem, from algorithm through solution identification, to parametric analysis, which have not been fully addressed in the literature. We specifically focus on three special classes of linear conic optimization problems, namely semidefinite and second-order conic optimization, and their common generalization, symmetric conic optimization. We propose a polynomial time algorithm for symmetric conic optimization problems. We show how to approximate/identify the optimal partition of semidefinite optimization and second-order conic optimization, a concept which has its origin in linear optimization. Further, we use the optimal partition information to either generate an approximate optimal solution or to speed up the convergence of a solution identification process to the unique optimal solution of the problem. Finally, we study the parametric analysis of semidefinite and second-order conic optimization problems. We investigate the behavior of the optimal partition and the optimal set mapping under perturbation of the objective function vector

A second derivative SQP method: local convergence

In [19], we gave global convergence results for a second-derivative SQP method for minimizing the exact ℓ1-merit function for a fixed value of the penalty parameter. To establish this result, we used the properties of the so-called Cauchy step, which was itself computed from the so-called predictor step. In addition, we allowed for the computation of a variety of (optional) SQP steps that were intended to improve the efficiency of the algorithm. \ud \ud Although we established global convergence of the algorithm, we did not discuss certain aspects that are critical when developing software capable of solving general optimization problems. In particular, we must have strategies for updating the penalty parameter and better techniques for defining the positive-definite matrix Bk used in computing the predictor step. In this paper we address both of these issues. We consider two techniques for defining the positive-definite matrix Bk—a simple diagonal approximation and a more sophisticated limited-memory BFGS update. We also analyze a strategy for updating the penalty paramter based on approximately minimizing the ℓ1-penalty function over a sequence of increasing values of the penalty parameter.\ud \ud Algorithms based on exact penalty functions have certain desirable properties. To be practical, however, these algorithms must be guaranteed to avoid the so-called Maratos effect. We show that a nonmonotone varient of our algorithm avoids this phenomenon and, therefore, results in asymptotically superlinear local convergence; this is verified by preliminary numerical results on the Hock and Shittkowski test set

Hidden Action, Identification, and Organization Design

Incentives often fail in inducing economic agents to engage in a desirable activity; implementability is restricted. What restricts implementability? When does re-organization help to overcome this restriction? This paper shows that any restriction of implementability is caused by an identification problem. It also describes organizations that can solve this identification problem and provides conditions under which such organisations exist. Applying the findings to established and new moral hazard models yields insights into optimal organization design, uncovers the reason why certain organization designs, such as advocacy or specialization, overcome restricted implementability, and formalizes a wide-spread type of multi-tasking problem.moral hazard, hidden action, implementation, multi-tasking, identification by organization design