Csaba I. Fábián Gradient computation of multivariate distribution functions calls for considerable effort. A standard procedure is component-wise computation, hence coordinate descent is an attractive choice. This paper deals with constrained convex problems. We apply random coordinate descent in an approximation scheme that is an inexact cutting-plane method from a dual viewpoint. We present convergence proofs and a … Read more
We analyze an inner approximation scheme for probability maximization. The approach was proposed in Fabian, Csizmas, Drenyovszki, Van Ackooij, Vajnai, Kovacs, Szantai (2018) Probability maximization by inner approximation, Acta Polytechnica Hungarica 15:105-125, as an analogue of a classic dual approach in the handling of probabilistic constraints. Even a basic implementation of the maximization scheme proved … Read more
We propose a randomized gradient method – or a randomized cutting-plane method from a dual viewpoint. From the primal viewpoint, our method bears a resemblance to the stochastic approximation family. But in contrast to stochastic approximation, the present method builds a model problem. Citation Kecskemet College, Pallasz Athene University. Izsaki ut 10, 6000 Kecskemet, Hungary; … Read more
Traditionally, two variants of the L-shaped method based on Benders’ decomposition principle are used to solve two-stage stochastic programming problems: the single-cut and the multi-cut version. The concept of an oracle with on-demand accuracy was originally proposed in the context of bundle methods for unconstrained convex optimzation to provide approximate function data and subgradients. In … Read more
In this paper we argue for aggregated models in decomposition schemes for two-stage stochastic programming problems. We observe that analogous schemes proved effective for single-stage risk-averse problems, and for general linear programming problems. A major drawback of the aggregated approach for two-stage problems is that an aggregated master problem can not contain all the information … Read more
In case of a special problem class, the simplex method can be implemented as a cutting-plane method that approximates a certain convex polyhedral objective function. In this paper we consider a regularized version of this cutting-plane method, and interpret the resulting procedure as a regularized simplex method. (Regularization is performed in the dual space and … Read more
We show that the simplex method can be interpreted as a cutting-plane method, assumed that a special pricing rule is used. This approach is motivated by the recent success of the cutting-plane method in the solution of special stochastic programming problems. We compare the classic Dantzig pricing rule and the rule that derives from the … Read more