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A multiplicative weights update algorithm for MINLP

Original Paper
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Abstract

We discuss an application of the well-known multiplicative weights update (MWU) algorithm to non-convex and mixed-integer non-linear programming. We present applications to: (a) the distance geometry problem, which arises in the positioning of mobile sensors and in protein conformation; (b) a hydro unit commitment problem arising in the energy industry, and (c) a class of Markowitz’ portfolio selection problems. The interest of the MWU with respect to one of its closest competitors (classic multi-start) is that it provides a relative approximation guarantee on a certain quality measure of the solution.

Notes

Acknowledgments

We are very grateful to Dr. Pascale Bendotti (EDF) for useful suggestions about the HUC problem. Luca Mencarelli is sponsored by a Ph.D. Fellowship from the FP7 Marie Curie ITN “MINO” project. Youcef Sahraoui is sponsored by a CIFRE Ph.D. Fellowship with Éléctricité De France (EDF). Leo Liberti was partly sponsored by the ANR Bip:Bip project under contract ANR-10-BINF-0003, and completed this work during a visiting term at IMECC, University of Campinas (SP), Brazil, sponsored by the Chaires Françaises dans l’état de São Paulo (CFSP) program, a collaboration between the French Consulate in São Paulo, and the three main universities in São Paulo: UNICAMP, USP, and UNESP.

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Copyright information

© EURO - The Association of European Operational Research Societies 2016

Authors and Affiliations

  • Luca Mencarelli
    • 1
  • Youcef Sahraoui
    • 1
    • 2
  • Leo Liberti
    • 1
  1. 1.CNRS LIX, École PolytechniquePalaiseauFrance
  2. 2.OSIRIS, EDF R&DClamartFrance

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