Linear Programming with Inequality Constraints via Entropic Perturbation

A dual convex programming approach to solving linear programs with inequality constraints through entropic perturbation is derived. The amount of perturbation required depends on the desired accuracy of the optimum. The dual program contains only non-positivity constraints. An ϵ-optimal solution to the linear program can be obtained effortlessly from the optimal solution of the dual program. Since cross-entropy minimization subject to linear inequality constraints is a special case of the perturbed linear program, the duality result becomes readily applicable. Many standard constrained optimization techniques can be specialized to solve the dual program. Such specializations, made possible by the simplicity of the constraints, significantly reduce the computational effort usually incurred by these methods. Immediate applications of the theory developed include an entropic path-following approach to solving linear semi-infinite programs with an infinite number of inequality constraints and the widely used entropy optimization models with linear inequality and/or equality constraints

Linearly-Constrained Entropy Maximization Problem with Quadratic Costs and Its Applications to Transportation Planning Problems

Many transportation problems can be formulated as a linearly-constrained convex programming problem whose objective function consists of entropy functions and other cost-related terms. In this paper, we propose an unconstrained convex programming dual approach to solving these problems. In particular, we focus on a class of linearly-constrained entropy maximization problem with quadratic cost, study its Lagrangian dual, and provide a globally convergent algorithm with a quadratic rate of convergence. The theory and algorithm can be readily applied to the trip distribution problem with quadratic cost and many other entropy-based formulations, including the conventional trip distribution problem with linear cost, the entropy-based modal split model, and the decomposed problems of the combined problem of trip distribution and assignment. The efficiency and the robustness of this approach are confirmed by our computational experience

Semidefinite Programming Approximation for A Matrix Optimization Problem over An Uncertain Linear System

A matrix optimization problem over an uncertain linear system on finite horizon (abbreviated as MOPUL) is studied, in which the uncertain transition matrix is regarded as a decision variable. This problem is in general NP-hard. By using the given reference values of system outputs at each stage, we develop a polynomial-time solvable semidefinite programming (SDP) approximation model for the problem. The upper bound of the cumulative error between reference outputs and the optimal outputs of the approximation model is theoretically analyzed. Two special cases associated with specific applications are considered. The quality of the SDP approximate solutions in terms of feasibility and optimality is also analyzed. Results of numerical experiments are presented to show the influences of perturbed noises at reference outputs and control levels on the performance of SDP approximation

Entropic Regularization Approach for Mathematical Programs with Equilibrium Constraints

A new smoothing approach based on entropic perturbation is proposed for solving mathematical programs with equilibrium constraints. Some of the desirable properties of the smoothing function are shown. The viability of the proposed approach is supported by a computationalstudy on a set of well-known test problems

On the Finite Termination of An Entropy Function Based Smoothing Newton Method for Vertical Linear Complementarity Problems

By using a smooth entropy function to approximate the non-smooth max-type function, a vertical linear complementarity problem (VLCP) can be treated as a family of parameterized smooth equations. A Newton-type method with a testing procedure is proposed to solve such a system. We show that the proposed algorithm finds an exact solution of VLCP in a finite number of iterations, under some conditions milder than those assumed in literature. Some computational results are included to illustrate the potential of this approach

Solving Variational Inequalities Defined on A Domain with Infinitely Many Linear Constraints

We study a variational inequality problem whose domain is defined by infinitely many linear inequalities. A discretization method and an analytic center based inexact cutting plane method are proposed. Under proper assumptions, the convergence results for both methods are given. We also provide numerical examples for the proposed methods

On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems

By using a smooth entropy function to approximate the non-smooth max-type function, a vertical linear complementarity problem (VLCP) can be treated as a family of parameterized smooth equations. A Newton-type method with a testing procedure is proposed to solve such a system. We show that the proposed algorithm finds an exact solution of VLCP in a finite number of iterations, under some conditions milder than those assumed in literature. Some computational results are included to illustrate the potential of this approach