Monday, May 23, 2011

A report from SIAM Optimization 2011

Last week I was at the SIAM Optimization 2011 conference in Darmstadt. It was very nice conference for the following reasons:
  • It was very easy to go there since Darmstadt is close to the major airport in Frankfurt.
  • The conference center Darmstadium in the center on Darmstadt was execellent.
  • The hotel was excellent and only 2 mins walk from the conference center.
  • The food was fairly cheap and very good. The same was true for the beer.
  • The scientific program was excellent but also very packed. I did not experience any no shows. 
Some of major topis on the conference was MINLP (mixed-integer nonlinear optimization) and SDP (semi-definite optimization). These two topics kind of got together in the plenary talk of Jon Lee the last day because it seems that SDP will play an important role in MINLP. In fact to concluded his talk by saying: "We need powerful SDP software". Since we plan to support SDP at MOSEK then this was a nice conclusion for us.

One of the most interesting talks I saw was a tutorial by my friend Etienne de Klerk. He discussed a preprocessing technique that can be used in semi-definite optimization to reduce the computational complexity for some problems. The idea is that a big semi-definite variable can decomposed into a number of smaller number of semi-definite variables given some transformations are performed on the problem data.

Another major topic at the conference was sparse optimization where by sparse is meant that the solution is sparse. There was plenary about this topic by Steve Wright and a tutorial by Michael Friedlander. Michael presented among other things a framework that could be used to understand and evaluate all the various algorithms suggested to solve structured solution sparse optimization problems.  This topic was also addressed a talk about robust support vector machines by Laurent El Ghaoui which  I liked quite a bit.

Finally, a couple MOSEK guys gave a presentation in a session. The other speakers in that session was Joachim Lofberg the author of YALMIP and Christian Bliek of IBM. Christian talked about the conic interior-point optimizer  in CPLEX. One slightly surprising announcement Christian made was that CPLEX will employ the homogenous model in their interior-point optimizer as the default from version 12.3. In MOSEK the homogeneous model always been the default.

I have definitely overlooked or forgotten something important at the conference but with 4 days conference from early morning to late evening then that is avoidable unfortunately.

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