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Michal Červinka

Publications and source records attributed to Michal Červinka.

2 recordsLinked to original sources

Sufficient Conditions for Metric Subregularity of Constraint Systems with Applications to Disjunctive and Ortho-Disjunctive Programs

This paper is devoted to the study of the metric subregularity constraint qualification (MSCQ) for general optimization problems, with the emphasis on the nonconvex setting. We elaborate on notions of directional pseudo- and quasi-normality, recently introduced by Bai et al. (SIAM J. Opt., 2019), which combine the standard approach via pseudo- and quasi-normality with modern tools of directional variational analysis. We focus on applications to disjunctive programs, where (directional) pseudo-normality is characterized via an extremal condition. This, in turn, yields efficient tools to verify pseudo-normality and MSCQ, which include, but are not limited to, Robinson's result on polyhedral multifunctions and Gfrerer's second-order sufficient condition for metric subregularity. Finally, we refine our study by defining the new class of ortho-disjunctive programs which comprises prominent optimization problems such as mathematical programs with complementarity, vanishing or switching constraints.

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Convergence of a Scholtes-type Regularization Method for Cardinality-Constrained Optimization Problems with an Application in Sparse Robust Portfolio Optimization

We consider general nonlinear programming problems with cardinality constraints. By relaxing the binary variables which appear in the natural mixed-integer programming formulation, we obtain an almost equivalent nonlinear programming problem, which is thus still difficult to solve. Therefore, we apply a Scholtes-type regularization method to obtain a sequence of easier to solve problems and investigate the convergence of the obtained KKT points. We show that such a sequence converges to an S-stationary point, which corresponds to a local minimizer of the original problem under the assumption of convexity. Additionally, we consider portfolio optimization problems where we minimize a risk measure under a cardinality constraint on the portfolio. Various risk measures are considered, in particular Value-at-Risk and Conditional Value-at-Risk under normal distribution of returns and their robust counterparts under moment conditions. For these investment problems formulated as nonlinear programming problems with cardinality constraints we perform a numerical study on a large number of simulated instances taken from the literature and illuminate the computational performance of the Scholtes-type regularization method in comparison to other considered solution approaches: a mixed-integer solver, a direct continuous reformulation solver and the Kanzow-Schwartz regularization method, which has already been applied to Markowitz portfolio problems.

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