Optimal land conservation decisions for multiple species

Given an allotment of land divided into parcels, government decision-makers, private developers, and conservation biologists can collaborate to select which parcels to protect, in order to accomplish sustainable ecological goals with various constraints. In this paper, we propose a mixed-integer optimization model that considers the presence of multiple species on these parcels, subject to predator-prey relationships and crowding effects.Comment: 10 pages, 4 figures. Proceedings of the 52nd Northeast Decision Sciences Institute (NEDSI) Annual Conference, Washington, D

Efficient Solution of Portfolio Optimization Problems via Dimension Reduction and Sparsification

The Markowitz mean-variance portfolio optimization model aims to balance expected return and risk when investing. However, there is a significant limitation when solving large portfolio optimization problems efficiently: the large and dense covariance matrix. Since portfolio performance can be potentially improved by considering a wider range of investments, it is imperative to be able to solve large portfolio optimization problems efficiently, typically in microseconds. We propose dimension reduction and increased sparsity as remedies for the covariance matrix. The size reduction is based on predictions from machine learning techniques and the solution to a linear programming problem. We find that using the efficient frontier from the linear formulation is much better at predicting the assets on the Markowitz efficient frontier, compared to the predictions from neural networks. Reducing the covariance matrix based on these predictions decreases both runtime and total iterations. We also present a technique to sparsify the covariance matrix such that it preserves positive semi-definiteness, which improves runtime per iteration. The methods we discuss all achieved similar portfolio expected risk and return as we would obtain from a full dense covariance matrix but with improved optimizer performance.Comment: 14 pages, 3 figure

Decision-Making for Land Conservation: A Derivative-Free Optimization Framework with Nonlinear Inputs

Protected areas (PAs) are designated spaces where human activities are restricted to preserve critical habitats. Decision-makers are challenged with balancing a trade-off of financial feasibility with ecological benefit when establishing PAs. Given the long-term ramifications of these decisions and the constantly shifting environment, it is crucial that PAs are carefully selected with long-term viability in mind. Using AI tools like simulation and optimization is common for designating PAs, but current decision models are primarily linear. In this paper, we propose a derivative-free optimization framework paired with a nonlinear component, population viability analysis (PVA). Formulated as a mixed integer nonlinear programming (MINLP) problem, our model allows for linear and nonlinear inputs. Connectivity, competition, crowding, and other similar concerns are handled by the PVA software, rather than expressed as constraints of the optimization model. In addition, we present numerical results that serve as a proof of concept, showing our models yield PAs with similar expected risk to that of preserving every parcel in a habitat, but at a significantly lower cost. The overall goal is to promote interdisciplinary work by providing a new mathematical programming tool for conservationists that allows for nonlinear inputs and can be paired with existing ecological software.Comment: 8 pages, 2 figure

Global convergence of a primal-dual interior-point method for nonlinear programming

Many recent convergence results obtained for primal-dual interior-point methods for nonlinear programming, use assumptions of the boundedness of generated iterates. In this paper we replace such assumptions by new assumptions on the NLP problem, develop a modification of a primal-dual interior-point method implemented in software package LOQO and analyze convergence of the new method from any initial guess

Interior-point methods for nonconvex nonlinear programming: filter-methods and merit functions.

Abstract. In this paper, we present a barrier method for solving nonlinear programming problems. It employs a Levenberg-Marquardt perturbation to the Karush-Kuhn-Tucker (KKT) matrix to handle indefinite Hessians and a line search to obtain sufficient descent at each iteration. We show that the Levenberg-Marquardt perturbation is equivalent to replacing the Newton step by a cubic regularization step with an appropriately chosen regularization parameter. This equivalence allows us to use the favorable theoretical results o

Interior-point methods for nonconvex nonlinear programming: Orderings and higher-order methods

Abstract. In this paper, we investigate the use of an exact primal-dual penalty approach within the framework of an interior-point method for nonconvex nonlinear programming. This approach provides regularization and relaxation, which can aid in solving ill-behaved problems and in warmstarting the algorithm. We present details of our implementation within the loqo algorithm and provide extensive numerical results on the CUTEr test set and on warmstarting in the context of quadratic, nonlinear, mixed integer nonlinear, and goal programming. 1