A multiplicative weights update algorithm for MINLP

Luca Mencarelli (), Youcef Sahraoui () and Leo Liberti ()
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Luca Mencarelli: CNRS LIX, École Polytechnique
Youcef Sahraoui: CNRS LIX, École Polytechnique
Leo Liberti: CNRS LIX, École Polytechnique

EURO Journal on Computational Optimization, 2017, vol. 5, issue 1, No 3, 86 pages

Abstract: 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.

Date: 2017
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DOI: 10.1007/s13675-016-0069-8

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