Constrained shortest paths for QoS routing and path protection in communication networks.

The CSDP (k) problem requires the selection of a set of k > 1 link-disjoint paths with minimum total cost and with total delay bounded by a given upper bound. This problem arises in the context of provisioning paths in a network that could be used to provide resilience to link failures. Again we studied the LP relaxation of the ILP formulation of the problem from the primal perspective and proposed an approximation algorithm.We have studied certain combinatorial optimization problems that arise in the context of two important problems in computer communication networks: end-to-end Quality of Service (QoS) and fault tolerance. These problems can be modeled as constrained shortest path(s) selection problems on networks with each of their links associated with additive weights representing the cost, delay etc.The problems considered above assume that the network status is known and accurate. However, in real networks, this assumption is not realistic. So we considered the QoS route selection problem under inaccurate state information. Here the goal is to find a path with the highest probability that satisfies a given delay upper bound. We proposed a pseudo-polynomial time approximation algorithm, a fully polynomial time approximation scheme, and a strongly polynomial time heuristic for this problem.Finally we studied the constrained shortest path problem with multiple additive constraints. Using the LARAC algorithm as a building block and combining ideas from mathematical programming, we proposed a new approximation algorithm.First we studied the QoS single route selection problem, i.e., the constrained shortest path (CSP) problem. The goal of the CSP problem is to identify a minimum cost route which incurs a delay less than a specified bound. It can be formulated as an integer linear programming (ILP) problem which is computationally intractable. The LARAC algorithm reported in the literature is based on the dual of the linear programming relaxation of the ILP formulation and gives an approximate solution. We proposed two new approximation algorithms solving the dual problem. Next, we studied the CSP problem using the primal simplex method and exploiting certain structural properties of networks. This led to a novel approximation algorithm

Modelling and solution methods for portfolio optimisation

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University, 16/01/2004.In this thesis modelling and solution methods for portfolio optimisation are presented. The investigations reported in this thesis extend the Markowitz mean-variance model to the domain of quadratic mixed integer programming (QMIP) models which are 'NP-hard' discrete optimisation problems. In addition to the modelling extensions a number of challenging aspects of solution algorithms are considered. The relative performances of sparse simplex (SSX) as well as the interior point method (IPM) are studied in detail. In particular, the roles of 'warmstart' and dual simplex are highlighted as applied to the construction of the efficient frontier which requires processing a family of problems; that is, the portfolio planning model stated in a parametric form. The method of solving QMIP models using the branch and bound algorithm is first developed; this is followed up by heuristics which improve the performance of the (discrete) solution algorithm. Some properties of the efficient frontier with discrete constraints are considered and a method of computing the discrete efficient frontier (DEF) efficiently is proposed. The computational investigation considers the efficiency and effectiveness in respect of the scale up properties of the proposed algorithm. The extensions of the real world models and the proposed solution algorithms make contribution as new knowledge

Optimization with Sparsity-Inducing Penalties

Sparse estimation methods are aimed at using or obtaining parsimonious representations of data or models. They were first dedicated to linear variable selection but numerous extensions have now emerged such as structured sparsity or kernel selection. It turns out that many of the related estimation problems can be cast as convex optimization problems by regularizing the empirical risk with appropriate non-smooth norms. The goal of this paper is to present from a general perspective optimization tools and techniques dedicated to such sparsity-inducing penalties. We cover proximal methods, block-coordinate descent, reweighted $\ell_2$-penalized techniques, working-set and homotopy methods, as well as non-convex formulations and extensions, and provide an extensive set of experiments to compare various algorithms from a computational point of view

On primal-dual schema for the minimum satisfiability problem

Satisfiability problem is the first problem known to be NP-complete [8, 28]. In this thesis, we have studied the minimization version of the satisfiability problem called the MINSAT. Given a set of boolean variables and a set of clauses, such that each clause is a disjunction of variables, the goal is to find the boolean values of the variables so that minimum number of clauses are satisfied. We have used the concept of linear programming and the primal-dual method to study the problem. We have constructed the Linear program of the MINSAT and its restricted version. We have proposed two combinatorial methods to solve the dual of the restricted primal of the MINSAT. Further to this, these two algorithms also obtain an integral solution to the dual of the MINSAT problem. Lastly, we performed a comparison analysis of our proposed algorithms with the simplex method

Modelling and solution methods for portfolio optimisation

In this thesis modelling and solution methods for portfolio optimisation are presented. The investigations reported in this thesis extend the Markowitz mean-variance model to the domain of quadratic mixed integer programming (QMIP) models which are 'NP-hard' discrete optimisation problems. In addition to the modelling extensions a number of challenging aspects of solution algorithms are considered. The relative performances of sparse simplex (SSX) as well as the interior point method (IPM) are studied in detail. In particular, the roles of 'warmstart' and dual simplex are highlighted as applied to the construction of the efficient frontier which requires processing a family of problems; that is, the portfolio planning model stated in a parametric form. The method of solving QMIP models using the branch and bound algorithm is first developed; this is followed up by heuristics which improve the performance of the (discrete) solution algorithm. Some properties of the efficient frontier with discrete constraints are considered and a method of computing the discrete efficient frontier (DEF) efficiently is proposed. The computational investigation considers the efficiency and effectiveness in respect of the scale up properties of the proposed algorithm. The extensions of the real world models and the proposed solution algorithms make contribution as new knowledge.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

An Algorithm for Biobjective Mixed Integer Quadratic Programs

Multiobjective quadratic programs (MOQPs) are appealing since convex quadratic programs have elegant mathematical properties and model important applications. Adding mixed-integer variables extends their applicability while the resulting programs become global optimization problems. Thus, in this work, we develop a branch and bound (BB) algorithm for solving biobjective mixed-integer quadratic programs (BOMIQPs). An algorithm of this type does not exist in the literature. The algorithm relies on five fundamental components of the BB scheme: calculating an initial set of efficient solutions with associated Pareto points, solving node problems, fathoming, branching, and set dominance. Considering the properties of the Pareto set of BOMIQPs, two new fathoming rules are proposed. An extended branching module is suggested to cooperate with the node problem solver. A procedure to make the dominance decision between two Pareto sets with limited information is proposed. This set dominance procedure can eliminate the dominated points and eventually produce the Pareto set of the BOMIQP. Numerical examples are provided. Solving multiobjective quadratic programs (MOQPs) is fundamental to our research. Therefore, we examine the algorithms for this class of problems with different perspectives. The scalarization techniques for (strictly) convex MOPs are reviewed and the available algorithms for computing efficient solutions for MOQPs are discussed. These algorithms are compared with respect to four properties of MOQPs. In addition, methods for solving parametric multiobjective quadratic programs are studied. Computational studies are provided with synthetic instances, and examples in statistics and portfolio optimization. The real-life context reveals the interplay between the scalarizations and provides an additional insight into the obtained parametric solution sets