Mathematical Programming最新文献

筛选
英文 中文
Dyadic linear programming and extensions. 并矢线性规划及其扩展。
IF 2.5 2区 数学
Mathematical Programming Pub Date : 2025-01-01 Epub Date: 2024-10-03 DOI: 10.1007/s10107-024-02146-4
Ahmad Abdi, Gérard Cornuéjols, Bertrand Guenin, Levent Tunçel
{"title":"Dyadic linear programming and extensions.","authors":"Ahmad Abdi, Gérard Cornuéjols, Bertrand Guenin, Levent Tunçel","doi":"10.1007/s10107-024-02146-4","DOIUrl":"https://doi.org/10.1007/s10107-024-02146-4","url":null,"abstract":"<p><p>A rational number is <i>dyadic</i> if it has a finite binary representation <math><mrow><mi>p</mi> <mo>/</mo> <msup><mn>2</mn> <mi>k</mi></msup> </mrow> </math> , where <i>p</i> is an integer and <i>k</i> is a nonnegative integer. Dyadic rationals are important for numerical computations because they have an exact representation in floating-point arithmetic on a computer. A vector is <i>dyadic</i> if all its entries are dyadic rationals. We study the problem of finding a dyadic optimal solution to a linear program, if one exists. We show how to solve dyadic linear programs in polynomial time. We give bounds on the size of the support of a solution as well as on the size of the denominators. We identify properties that make the solution of dyadic linear programs possible: closure under addition and negation, and density, and we extend the algorithmic framework beyond the dyadic case.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"213 1-2","pages":"473-516"},"PeriodicalIF":2.5,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC12402050/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144993066","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fast convergence of trust-regions for non-isolated minima via analysis of CG on indefinite matrices. 基于不定矩阵上CG的非孤立极小值信赖域的快速收敛。
IF 2.5 2区 数学
Mathematical Programming Pub Date : 2025-01-01 Epub Date: 2024-10-18 DOI: 10.1007/s10107-024-02140-w
Quentin Rebjock, Nicolas Boumal
{"title":"Fast convergence of trust-regions for non-isolated minima via analysis of CG on indefinite matrices.","authors":"Quentin Rebjock, Nicolas Boumal","doi":"10.1007/s10107-024-02140-w","DOIUrl":"https://doi.org/10.1007/s10107-024-02140-w","url":null,"abstract":"<p><p>Trust-region methods (TR) can converge quadratically to minima where the Hessian is positive definite. However, if the minima are not isolated, then the Hessian there cannot be positive definite. The weaker Polyak-Łojasiewicz (PŁ) condition is compatible with non-isolated minima, and it is enough for many algorithms to preserve good local behavior. Yet, TR with an <i>exact</i> subproblem solver lacks even basic features such as a capture theorem under PŁ. In practice, a popular <i>inexact</i> subproblem solver is the truncated conjugate gradient method (tCG). Empirically, TR-tCG exhibits superlinear convergence under PŁ. We confirm this theoretically. The main mathematical obstacle is that, under PŁ, at points arbitrarily close to minima, the Hessian has vanishingly small, possibly negative eigenvalues. Thus, tCG is applied to ill-conditioned, indefinite systems. Yet, the core theory underlying tCG is that of CG, which assumes a positive definite operator. Accordingly, we develop new tools to analyze the dynamics of CG in the presence of small eigenvalues of any sign, for the regime of interest to TR-tCG.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"213 1-2","pages":"343-384"},"PeriodicalIF":2.5,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC12401806/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144993056","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Advances on strictly Δ -modular IPs. 严格Δ -模块化ip的进展。
IF 2.2 2区 数学
Mathematical Programming Pub Date : 2025-01-01 Epub Date: 2024-10-30 DOI: 10.1007/s10107-024-02148-2
Martin Nägele, Christian Nöbel, Richard Santiago, Rico Zenklusen
{"title":"<ArticleTitle xmlns:ns0=\"http://www.w3.org/1998/Math/MathML\">Advances on strictly <ns0:math><ns0:mi>Δ</ns0:mi></ns0:math> -modular IPs.","authors":"Martin Nägele, Christian Nöbel, Richard Santiago, Rico Zenklusen","doi":"10.1007/s10107-024-02148-2","DOIUrl":"https://doi.org/10.1007/s10107-024-02148-2","url":null,"abstract":"<p><p>There has been significant work recently on integer programs (IPs) <math><mrow><mo>min</mo> <mo>{</mo> <msup><mi>c</mi> <mi>⊤</mi></msup> <mi>x</mi> <mo>:</mo> <mi>A</mi> <mi>x</mi> <mo>≤</mo> <mi>b</mi> <mo>,</mo> <mspace></mspace> <mi>x</mi> <mo>∈</mo> <msup><mrow><mi>Z</mi></mrow> <mi>n</mi></msup> <mo>}</mo></mrow> </math> with a constraint marix <i>A</i> with bounded subdeterminants. This is motivated by a well-known conjecture claiming that, for any constant <math><mrow><mi>Δ</mi> <mo>∈</mo> <msub><mi>Z</mi> <mrow><mo>></mo> <mn>0</mn></mrow> </msub> </mrow> </math> , <math><mi>Δ</mi></math> -modular IPs are efficiently solvable, which are IPs where the constraint matrix <math><mrow><mi>A</mi> <mo>∈</mo> <msup><mrow><mi>Z</mi></mrow> <mrow><mi>m</mi> <mo>×</mo> <mi>n</mi></mrow> </msup> </mrow> </math> has full column rank and all <math><mrow><mi>n</mi> <mo>×</mo> <mi>n</mi></mrow> </math> minors of <i>A</i> are within <math><mrow><mo>{</mo> <mo>-</mo> <mi>Δ</mi> <mo>,</mo> <mo>⋯</mo> <mo>,</mo> <mi>Δ</mi> <mo>}</mo></mrow> </math> . Previous progress on this question, in particular for <math><mrow><mi>Δ</mi> <mo>=</mo> <mn>2</mn></mrow> </math> , relies on algorithms that solve an important special case, namely <i>strictly</i> <math><mi>Δ</mi></math> -<i>modular IPs</i>, which further restrict the <math><mrow><mi>n</mi> <mo>×</mo> <mi>n</mi></mrow> </math> minors of <i>A</i> to be within <math><mrow><mo>{</mo> <mo>-</mo> <mi>Δ</mi> <mo>,</mo> <mn>0</mn> <mo>,</mo> <mi>Δ</mi> <mo>}</mo></mrow> </math> . Even for <math><mrow><mi>Δ</mi> <mo>=</mo> <mn>2</mn></mrow> </math> , such problems include well-known combinatorial optimization problems like the minimum odd/even cut problem. The conjecture remains open even for strictly <math><mi>Δ</mi></math> -modular IPs. Prior advances were restricted to prime <math><mi>Δ</mi></math> , which allows for employing strong number-theoretic results. In this work, we make first progress beyond the prime case by presenting techniques not relying on such strong number-theoretic prime results. In particular, our approach implies that there is a randomized algorithm to check feasibility of strictly <math><mi>Δ</mi></math> -modular IPs in strongly polynomial time if <math><mrow><mi>Δ</mi> <mo>≤</mo> <mn>4</mn></mrow> </math> .</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"210 1-2","pages":"731-760"},"PeriodicalIF":2.2,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC11870991/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143542512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Constant-competitiveness for random assignment Matroid secretary without knowing the Matroid. 在不了解矩阵的情况下随机分配矩阵秘书的持续竞争力。
IF 2.2 2区 数学
Mathematical Programming Pub Date : 2025-01-01 Epub Date: 2025-01-15 DOI: 10.1007/s10107-024-02177-x
Richard Santiago, Ivan Sergeev, Rico Zenklusen
{"title":"Constant-competitiveness for random assignment Matroid secretary without knowing the Matroid.","authors":"Richard Santiago, Ivan Sergeev, Rico Zenklusen","doi":"10.1007/s10107-024-02177-x","DOIUrl":"https://doi.org/10.1007/s10107-024-02177-x","url":null,"abstract":"<p><p>The Matroid Secretary Conjecture is a notorious open problem in online optimization. It claims the existence of an <i>O</i>(1)-competitive algorithm for the Matroid Secretary Problem (MSP). Here, the elements of a weighted matroid appear one-by-one, revealing their weight at appearance, and the task is to select elements online with the goal to get an independent set of largest possible weight. <i>O</i>(1)-competitive MSP algorithms have so far only been obtained for restricted matroid classes and for MSP variations, including <i>Random-Assignment</i> MSP (RA-MSP), where an adversary fixes a number of weights equal to the ground set size of the matroid, which then get assigned randomly to the elements of the ground set. Unfortunately, these approaches heavily rely on knowing the full matroid upfront. This is an arguably undesirable requirement, and there are good reasons to believe that an approach towards resolving the MSP Conjecture should not rely on it. Thus, both Soto (SIAM Journal on Computing 42(1): 178-211, 2013.) and Oveis Gharan and Vondrák (Algorithmica 67(4): 472-497, 2013.) raised as an open question whether RA-MSP admits an <i>O</i>(1)-competitive algorithm even without knowing the matroid upfront. In this work, we answer this question affirmatively. Our result makes RA-MSP the first well-known MSP variant with an <i>O</i>(1)-competitive algorithm that does not need to know the underlying matroid upfront and without any restriction on the underlying matroid. Our approach is based on first approximately learning the rank-density curve of the matroid, which we then exploit algorithmically.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"210 1-2","pages":"815-846"},"PeriodicalIF":2.2,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC11870907/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143542520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A nearly optimal randomized algorithm for explorable heap selection. 可探索堆选择的近乎最优的随机算法。
IF 2.2 2区 数学
Mathematical Programming Pub Date : 2025-01-01 Epub Date: 2024-11-05 DOI: 10.1007/s10107-024-02145-5
Sander Borst, Daniel Dadush, Sophie Huiberts, Danish Kashaev
{"title":"A nearly optimal randomized algorithm for explorable heap selection.","authors":"Sander Borst, Daniel Dadush, Sophie Huiberts, Danish Kashaev","doi":"10.1007/s10107-024-02145-5","DOIUrl":"https://doi.org/10.1007/s10107-024-02145-5","url":null,"abstract":"<p><p>Explorable heap selection is the problem of selecting the <i>n</i>th smallest value in a binary heap. The key values can only be accessed by traversing through the underlying infinite binary tree, and the complexity of the algorithm is measured by the total distance traveled in the tree (each edge has unit cost). This problem was originally proposed as a model to study search strategies for the branch-and-bound algorithm with storage restrictions by Karp, Saks and Widgerson (FOCS '86), who gave deterministic and randomized <math><mrow><mi>n</mi> <mo>·</mo> <mo>exp</mo> <mo>(</mo> <mi>O</mi> <mrow><mo>(</mo> <msqrt><mrow><mo>log</mo> <mi>n</mi></mrow> </msqrt> <mo>)</mo></mrow> <mo>)</mo></mrow> </math> time algorithms using <math><mrow><mi>O</mi> <mo>(</mo> <mo>log</mo> <msup><mrow><mo>(</mo> <mi>n</mi> <mo>)</mo></mrow> <mrow><mn>2.5</mn></mrow> </msup> <mo>)</mo></mrow> </math> and <math><mrow><mi>O</mi> <mo>(</mo> <msqrt><mrow><mo>log</mo> <mi>n</mi></mrow> </msqrt> <mo>)</mo></mrow> </math> space respectively. We present a new randomized algorithm with running time <math><mrow><mi>O</mi> <mo>(</mo> <mi>n</mi> <mo>log</mo> <msup><mrow><mo>(</mo> <mi>n</mi> <mo>)</mo></mrow> <mn>3</mn></msup> <mo>)</mo></mrow> </math> against an oblivious adversary using <math><mrow><mi>O</mi> <mo>(</mo> <mo>log</mo> <mi>n</mi> <mo>)</mo></mrow> </math> space, substantially improving the previous best randomized running time at the expense of slightly increased space usage. We also show an <math><mrow><mi>Ω</mi> <mo>(</mo> <mo>log</mo> <mo>(</mo> <mi>n</mi> <mo>)</mo> <mi>n</mi> <mo>/</mo> <mo>log</mo> <mo>(</mo> <mo>log</mo> <mo>(</mo> <mi>n</mi> <mo>)</mo> <mo>)</mo> <mo>)</mo></mrow> </math> lower bound for any algorithm that solves the problem in the same amount of space, indicating that our algorithm is nearly optimal.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"210 1-2","pages":"75-96"},"PeriodicalIF":2.2,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC11870923/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143542518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Did smallpox cause stillbirths? Maternal smallpox infection, vaccination, and stillbirths in Sweden, 1780-1839. 天花会导致死胎吗?1780-1839年瑞典产妇天花感染、疫苗接种和死胎。
IF 1.5 2区 数学
Mathematical Programming Pub Date : 2024-11-01 Epub Date: 2023-02-22 DOI: 10.1080/00324728.2023.2174266
Eric B Schneider, Sören Edvinsson, Kota Ogasawara
{"title":"Did smallpox cause stillbirths? Maternal smallpox infection, vaccination, and stillbirths in Sweden, 1780-1839.","authors":"Eric B Schneider, Sören Edvinsson, Kota Ogasawara","doi":"10.1080/00324728.2023.2174266","DOIUrl":"10.1080/00324728.2023.2174266","url":null,"abstract":"<p><p>While there is strong evidence that maternal smallpox infection can cause foetal loss, it is not clear whether smallpox infections were a demographically important cause of stillbirths historically. In this paper, we use parish-level data from the Swedish Tabellverket data set for 1780-1839 to test the effect of smallpox on stillbirths quantitatively, analysing periods before and after the introduction of vaccination in 1802. We find that smallpox infection was not a major cause of stillbirths before 1820, because most women contracted smallpox as children and were therefore not susceptible during pregnancy. We do find a small, statistically significant effect of smallpox on stillbirths from 1820 to 1839, when waning immunity from vaccination put a greater share of pregnant women at risk of contracting smallpox. However, the reduced prevalence of smallpox in this period limited its impact on stillbirths. Thus, smallpox was not an important driver of historical stillbirth trends.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"15 1","pages":"467-482"},"PeriodicalIF":1.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73348221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fast convergence to non-isolated minima: four equivalent conditions for $${textrm{C}^{2}}$$ functions 非孤立极小值的快速收敛:$${textrm{C}^{2}}$函数的四个等价条件
IF 2.7 2区 数学
Mathematical Programming Pub Date : 2024-09-19 DOI: 10.1007/s10107-024-02136-6
Quentin Rebjock, Nicolas Boumal
{"title":"Fast convergence to non-isolated minima: four equivalent conditions for $${textrm{C}^{2}}$$ functions","authors":"Quentin Rebjock, Nicolas Boumal","doi":"10.1007/s10107-024-02136-6","DOIUrl":"https://doi.org/10.1007/s10107-024-02136-6","url":null,"abstract":"<p>Optimization algorithms can see their local convergence rates deteriorate when the Hessian at the optimum is singular. These singularities are inescapable when the optima are non-isolated. Yet, under the right circumstances, several algorithms preserve their favorable rates even when optima form a continuum (e.g., due to over-parameterization). This has been explained under various structural assumptions, including the Polyak–Łojasiewicz condition, Quadratic Growth and the Error Bound. We show that, for cost functions which are twice continuously differentiable (<span>(textrm{C}^2)</span>), those three (local) properties are equivalent. Moreover, we show they are equivalent to the Morse–Bott property, that is, local minima form differentiable submanifolds, and the Hessian of the cost function is positive definite along its normal directions. We leverage this insight to improve local convergence guarantees for safe-guarded Newton-type methods under any (hence all) of the above assumptions. First, for adaptive cubic regularization, we secure quadratic convergence even with inexact subproblem solvers. Second, for trust-region methods, we argue capture can fail with an exact subproblem solver, then proceed to show linear convergence with an inexact one (Cauchy steps).</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"29 1","pages":""},"PeriodicalIF":2.7,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142258237","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Complexity of chordal conversion for sparse semidefinite programs with small treewidth 小树宽稀疏半inite程序的和弦转换复杂性
IF 2.7 2区 数学
Mathematical Programming Pub Date : 2024-09-17 DOI: 10.1007/s10107-024-02137-5
Richard Y. Zhang
{"title":"Complexity of chordal conversion for sparse semidefinite programs with small treewidth","authors":"Richard Y. Zhang","doi":"10.1007/s10107-024-02137-5","DOIUrl":"https://doi.org/10.1007/s10107-024-02137-5","url":null,"abstract":"<p>If a sparse semidefinite program (SDP), specified over <span>(ntimes n)</span> matrices and subject to <i>m</i> linear constraints, has an aggregate sparsity graph <i>G</i> with small treewidth, then chordal conversion will sometimes allow an interior-point method to solve the SDP in just <span>(O(m+n))</span> time per-iteration, which is a significant speedup over the <span>(varOmega (n^{3}))</span> time per-iteration for a direct application of the interior-point method. Unfortunately, the speedup is not guaranteed by an <i>O</i>(1) treewidth in <i>G</i> that is independent of <i>m</i> and <i>n</i>, as a diagonal SDP would have treewidth zero but can still necessitate up to <span>(varOmega (n^{3}))</span> time per-iteration. Instead, we construct an extended aggregate sparsity graph <span>(overline{G}supseteq G)</span> by forcing each constraint matrix <span>(A_{i})</span> to be its own clique in <i>G</i>. We prove that a small treewidth in <span>(overline{G})</span> does indeed guarantee that chordal conversion will solve the SDP in <span>(O(m+n))</span> time per-iteration, to <span>(epsilon )</span>-accuracy in at most <span>(O(sqrt{m+n}log (1/epsilon )))</span> iterations. This sufficient condition covers many successful applications of chordal conversion, including the MAX-<i>k</i>-CUT relaxation, the Lovász theta problem, sensor network localization, polynomial optimization, and the AC optimal power flow relaxation, thus allowing theory to match practical experience.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"15 1","pages":""},"PeriodicalIF":2.7,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142258110","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Recycling valid inequalities for robust combinatorial optimization with budgeted uncertainty 具有预算不确定性的稳健组合优化的循环有效不等式
IF 2.7 2区 数学
Mathematical Programming Pub Date : 2024-08-29 DOI: 10.1007/s10107-024-02135-7
Christina Büsing, Timo Gersing, Arie M. C. A. Koster
{"title":"Recycling valid inequalities for robust combinatorial optimization with budgeted uncertainty","authors":"Christina Büsing, Timo Gersing, Arie M. C. A. Koster","doi":"10.1007/s10107-024-02135-7","DOIUrl":"https://doi.org/10.1007/s10107-024-02135-7","url":null,"abstract":"<p>Robust combinatorial optimization with budgeted uncertainty is one of the most popular approaches for integrating uncertainty into optimization problems. The existence of a compact reformulation for (mixed-integer) linear programs and positive complexity results give the impression that these problems are relatively easy to solve. However, the practical performance of the reformulation is quite poor when solving robust integer problems, in particular due to its weak linear relaxation. To overcome this issue, we propose procedures to derive new classes of valid inequalities for robust combinatorial optimization problems. For this, we recycle valid inequalities of the underlying deterministic problem such that the additional variables from the robust formulation are incorporated. The valid inequalities to be recycled may either be readily available model constraints or actual cutting planes, where we can benefit from decades of research on valid inequalities for classical optimization problems. We first demonstrate the strength of the inequalities theoretically, by proving that recycling yields a facet-defining inequality in many cases, even if the original valid inequality was not facet-defining. Afterwards, we show in an extensive computational study that using recycled inequalities can lead to a significant improvement of the computation time when solving robust optimization problems.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"152 1","pages":""},"PeriodicalIF":2.7,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142183155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Accelerated stochastic approximation with state-dependent noise 带有状态相关噪声的加速随机逼近
IF 2.7 2区 数学
Mathematical Programming Pub Date : 2024-08-27 DOI: 10.1007/s10107-024-02138-4
Sasila Ilandarideva, Anatoli Juditsky, Guanghui Lan, Tianjiao Li
{"title":"Accelerated stochastic approximation with state-dependent noise","authors":"Sasila Ilandarideva, Anatoli Juditsky, Guanghui Lan, Tianjiao Li","doi":"10.1007/s10107-024-02138-4","DOIUrl":"https://doi.org/10.1007/s10107-024-02138-4","url":null,"abstract":"<p>We consider a class of stochastic smooth convex optimization problems under rather general assumptions on the noise in the stochastic gradient observation. As opposed to the classical problem setting in which the variance of noise is assumed to be uniformly bounded, herein we assume that the variance of stochastic gradients is related to the “sub-optimality” of the approximate solutions delivered by the algorithm. Such problems naturally arise in a variety of applications, in particular, in the well-known generalized linear regression problem in statistics. However, to the best of our knowledge, none of the existing stochastic approximation algorithms for solving this class of problems attain optimality in terms of the dependence on accuracy, problem parameters, and mini-batch size. We discuss two non-Euclidean accelerated stochastic approximation routines—stochastic accelerated gradient descent (SAGD) and stochastic gradient extrapolation (SGE)—which carry a particular duality relationship. We show that both SAGD and SGE, under appropriate conditions, achieve the optimal convergence rate, attaining the optimal iteration and sample complexities simultaneously. However, corresponding assumptions for the SGE algorithm are more general; they allow, for instance, for efficient application of the SGE to statistical estimation problems under heavy tail noises and discontinuous score functions. We also discuss the application of the SGE to problems satisfying quadratic growth conditions, and show how it can be used to recover sparse solutions. Finally, we report on some simulation experiments to illustrate numerical performance of our proposed algorithms in high-dimensional settings.</p>","PeriodicalId":18297,"journal":{"name":"Mathematical Programming","volume":"62 1","pages":""},"PeriodicalIF":2.7,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142183165","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信