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Article Dans Une Revue EURO Journal on Computational Optimization Année : 2017

A multiplicative weights update algorithm for MINLP

Résumé

We discuss an application of the well-known Multiplicative Weights Update (MWU) algorithm to non-convex and mixed-integer nonlinear 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.
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Dates et versions

hal-02105301 , version 1 (20-04-2019)

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Luca Mencarelli, Youcef Sahraoui, Leo Liberti. A multiplicative weights update algorithm for MINLP. EURO Journal on Computational Optimization, 2017, 5 (1-2), pp.31-86. ⟨10.1007/s13675-016-0069-8⟩. ⟨hal-02105301⟩
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