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Lindberg, Per Olov
Alternative names
Publications (10 of 19) Show all publications
Daneva (Mitradjieva), M. & Lindberg, P. O. (2013). The Stiff is Moving - Conjugate Direction Frank -Wolfe Methods with Applications to Traffic Assignment. Transportation Science, 47(2), 280-293
Open this publication in new window or tab >>The Stiff is Moving - Conjugate Direction Frank -Wolfe Methods with Applications to Traffic Assignment
2013 (English)In: Transportation Science, ISSN 0041-1655, E-ISSN 1526-5447, Vol. 47, no 2, p. 280-293Article in journal (Refereed) Published
Abstract [en]

We present versions of the Frank-Wolfe method for linearly constrained convex programs, in which consecutive search directions are made conjugate. Preliminary computational studies in a MATLAB environment applying pure Frank-Wolfe, conjugate direction Frank-Wolfe (CFW), bi-conjugate Frank-Wolfe (BFW), and "partanized" Frank-Wolfe methods to some classical Traffic Assignment Problems show that CFW and BFW compare favorably to the other methods. This spurred a more detailed study, comparing our methods to an origin-based algorithm. This study indicates that our methods are competitive for accuracy requirements ensuring link flow stability. We also show that CFW is globally convergent. We further point at independent studies by other researchers that show that our methods compare favorably with recent bush-based and gradient projection algorithms on computers with several cores

National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-14437 (URN)10.1287/trsc.1120.0409 (DOI)000318852300010 ()
Available from: 2007-04-27 Created: 2007-04-27 Last updated: 2017-12-13
Kiwiel, K. C., Larsson, T. & Lindberg, P. O. (2007). Lagrangian relaxation via ballstep subgradient methods. Mathematics of Operations Research, 32(3), 669-686
Open this publication in new window or tab >>Lagrangian relaxation via ballstep subgradient methods
2007 (English)In: Mathematics of Operations Research, ISSN 0364-765X, E-ISSN 1526-5471, Vol. 32, no 3, p. 669-686Article in journal (Refereed) Published
Abstract [en]

We exhibit useful properties of ballstep subgradient methods for convex optimization using level controls for estimating the optimal value. Augmented with simple averaging schemes, they asymptotically find objective and constraint subgradients involved in optimality conditions. When applied to Lagrangian relaxation of convex programs, they find both primal and dual solutions, and have practicable stopping criteria. Up until now, similar results have only been known for proximal bundle methods, and for subgradient methods with divergent series stepsizes, whose convergence can be slow. Encouraging numerical results are presented for large-scale nonlinear multicommodity network flow problems. ©2007 INFORMS.

National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-40001 (URN)10.1287/moor.1070.0261 (DOI)51993 (Local ID)51993 (Archive number)51993 (OAI)
Available from: 2009-10-10 Created: 2009-10-10 Last updated: 2017-12-13
Lindberg, P. O. & Engelson, L. (2004). Convexification of the Traffic Equilibrium Problem with Social Marginal Cost Tolls. In: Operations Research 2003,2003 (pp. 141). Heidelberg: Springer
Open this publication in new window or tab >>Convexification of the Traffic Equilibrium Problem with Social Marginal Cost Tolls
2004 (English)In: Operations Research 2003,2003, Heidelberg: Springer , 2004, p. 141-Conference paper, Published paper (Refereed)
Place, publisher, year, edition, pages
Heidelberg: Springer, 2004
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-22553 (URN)1818 (Local ID)1818 (Archive number)1818 (OAI)
Available from: 2009-10-07 Created: 2009-10-07
Razmara, G. & Lindberg, P. O. (2004). The Prize Collecting Connected Subgraph Problem - A New NP-Hard Problem arizing in Snow Removal Routing. In: Operations Research 2004,2004. Berlin: Springer
Open this publication in new window or tab >>The Prize Collecting Connected Subgraph Problem - A New NP-Hard Problem arizing in Snow Removal Routing
2004 (English)In: Operations Research 2004,2004, Berlin: Springer , 2004Conference paper, Published paper (Refereed)
Place, publisher, year, edition, pages
Berlin: Springer, 2004
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-24197 (URN)3789 (Local ID)3789 (Archive number)3789 (OAI)
Available from: 2009-10-07 Created: 2009-10-07
Daneva, M. & Lindberg, P. O. (2003). A Conjugate Direction Frank-Wolfe Method for Nonconvex Problems.
Open this publication in new window or tab >>A Conjugate Direction Frank-Wolfe Method for Nonconvex Problems
2003 (English)Report (Refereed)
Abstract [en]

In this paper we propose an algorithm for solving problems with nonconvex objective function and linear constraints. We extend the previously suggested Conjugate direction Frank–Wolfe algorithm to nonconvex problems. We apply our method to multi-class user equilibria under social marginal cost pricing. Results of numerical experiments on Sioux Falls and Winnipeg are reported.

Series
LiTH-MAT-R, ISSN 0348-2960 ; 2003:09
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-14439 (URN)
Available from: 2007-04-27 Created: 2007-04-27 Last updated: 2016-07-01Bibliographically approved
Daneva, M. & Lindberg, P. O. (2003). A Conjugate Direction Frank-Wolfe Method with Applications to the Traffic Assignment Problem. In: Leopold-Wildburger, U (Ed.), Operations Research Proceedings 2002: Selected Papers of the International Conference on Operations Research (SOR 2002), Klagenfurt, September 2-5, 2002": . Springer
Open this publication in new window or tab >>A Conjugate Direction Frank-Wolfe Method with Applications to the Traffic Assignment Problem
2003 (English)In: Operations Research Proceedings 2002: Selected Papers of the International Conference on Operations Research (SOR 2002), Klagenfurt, September 2-5, 2002" / [ed] Leopold-Wildburger, U, Springer , 2003, p. -550Chapter in book (Other academic)
Abstract [en]

This proceedings volume contains a selection of papers presented at the International Conference on Operations Research (SOR 2002).The contributions cover the broad interdisciplinary spectrum of Operations Research and present recent advances in theory, development of methods, and applications in practice. Subjects covered are Production, Logistics and Supply Chain Production, Marketing and Data Analysis, Transportation and Traffic, Scheduling and Project Management, Telecommunication and Information Technology, Energy and Environment, Public Economy, Health, Agriculture, Education, Banking, Finance, Insurance, Risk Management, Continuous Optimization, Discrete and Combinatorial Optimization, Stochastic and Dynamic Programming, Simulation, Control Theory, Systems Dynamics, Dynamic Games, Game Theory, Auctioning and Bidding, Experimental Economics, Econometrics, Statistics and Mathematical Economics, Fuzzy Logic, Multicriteria Decision Making, Decision Theory.

Place, publisher, year, edition, pages
Springer, 2003
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-22359 (URN)1565 (Local ID)978-3-642-55537-4 (ISBN)3-540-00387-8 (ISBN)1565 (Archive number)1565 (OAI)
Available from: 2009-10-07 Created: 2009-10-07 Last updated: 2013-11-11Bibliographically approved
Lindberg, P. O. & Golbaharan, N. (2003). A Prize Collecting Connected Subgraph Problem. In: 18th Int. Symp. on Math. Programming,2003.
Open this publication in new window or tab >>A Prize Collecting Connected Subgraph Problem
2003 (English)In: 18th Int. Symp. on Math. Programming,2003, 2003Conference paper, Published paper (Other academic)
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-22557 (URN)1822 (Local ID)1822 (Archive number)1822 (OAI)
Available from: 2009-10-07 Created: 2009-10-07
Blomvall, J. & Lindberg, P. O. (2003). Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990–1999. Journal of Economic Dynamics and Control, 27(6), 1099-1112
Open this publication in new window or tab >>Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990–1999
2003 (English)In: Journal of Economic Dynamics and Control, ISSN 0165-1889, E-ISSN 1879-1743, Vol. 27, no 6, p. 1099-1112Article in journal (Refereed) Published
Abstract [en]

We build an investment model based on Stochastic Programming. In the model we buy at the ask price and sell at the bid price. We apply the model to a case where we can invest in a Swedish stock index, call options on the index and the risk-free asset. By reoptimizing the portfolio on a daily basis over a ten-year period, it is shown that options can be used to create a portfolio that outperforms the index. With ex post analysis, it is furthermore shown that we can create a portfolio that dominates the index in terms of mean and variance, i.e. at given level of risk we could have achieved a higher return using options.

Place, publisher, year, edition, pages
Amsterdam, Netherlands: Elsevier, 2003
Keywords
Portfolio optimization; Derivatives
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-22326 (URN)10.1016/S0165-1889(02)00056-8 (DOI)000180646100009 ()1526 (Local ID)1526 (Archive number)1526 (OAI)
Available from: 2009-10-07 Created: 2009-10-07 Last updated: 2017-12-13Bibliographically approved
Daneva, M. & Lindberg, P. O. (2003). Conjugate Direction Frank-Wolfe Methods with Applications to Traffic Assignment Problem. In: International Symposium on Mathematical Programming,2003.
Open this publication in new window or tab >>Conjugate Direction Frank-Wolfe Methods with Applications to Traffic Assignment Problem
2003 (English)In: International Symposium on Mathematical Programming,2003, 2003Conference paper, Published paper (Other academic)
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-22520 (URN)1780 (Local ID)1780 (Archive number)1780 (OAI)
Available from: 2009-10-07 Created: 2009-10-07
Golbaharan, N., Lindberg, P. O. & Göthe-Lundgren, M. (2003). Optimal Routing of Snowplows - A Column generation Approach. In: Operations Research 2002,2002 (pp. 199). Heidelberg: Springer
Open this publication in new window or tab >>Optimal Routing of Snowplows - A Column generation Approach
2003 (English)In: Operations Research 2002,2002, Heidelberg: Springer , 2003, p. 199-Conference paper, Published paper (Refereed)
Place, publisher, year, edition, pages
Heidelberg: Springer, 2003
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-24208 (URN)3802 (Local ID)3802 (Archive number)3802 (OAI)
Available from: 2009-10-07 Created: 2009-10-07
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