Mathematics of Operations Research最新文献

{"title":"The Iterates of the Frank–Wolfe Algorithm May Not Converge","authors":"Jérôme Bolte, Cyrille W. Combettes, Edouard Pauwels","doi":"10.1287/moor.2022.0057","DOIUrl":"https://doi.org/10.1287/moor.2022.0057","url":null,"abstract":"The Frank–Wolfe algorithm is a popular method for minimizing a smooth convex function f over a compact convex set [Formula: see text]. Whereas many convergence results have been derived in terms of function values, almost nothing is known about the convergence behavior of the sequence of iterates [Formula: see text]. Under the usual assumptions, we design several counterexamples to the convergence of [Formula: see text], where f is d-time continuously differentiable, [Formula: see text], and [Formula: see text]. Our counterexamples cover the cases of open-loop, closed-loop, and line-search step-size strategies and work for any choice of the linear minimization oracle, thus demonstrating the fundamental pathologies in the convergence behavior of [Formula: see text].Funding: The authors acknowledge the support of the AI Interdisciplinary Institute ANITI funding through the French “Investments for the Future – PIA3” program under the Agence Nationale de la Recherche (ANR) agreement [Grant ANR-19-PI3A0004], the Air Force Office of Scientific Research, Air Force Material Command, U.S. Air Force [Grants FA866-22-1-7012 and ANR MaSDOL 19-CE23-0017-0], ANR Chess [Grant ANR-17-EURE-0010], ANR Regulia, and Centre Lagrange.","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138563425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Convergence Analysis of Accelerated Stochastic Gradient Descent Under the Growth Condition","authors":"You-Lin Chen, Sen Na, Mladen Kolar","doi":"10.1287/moor.2021.0293","DOIUrl":"https://doi.org/10.1287/moor.2021.0293","url":null,"abstract":"We study the convergence of accelerated stochastic gradient descent (SGD) for strongly convex objectives under the growth condition, which states that the variance of stochastic gradient is bounded by a multiplicative part that grows with the full gradient and a constant additive part. Through the lens of the growth condition, we investigate four widely used accelerated methods: Nesterov’s accelerated method (NAM), robust momentum method (RMM), accelerated dual averaging method (DAM+), and implicit DAM+ (iDAM+). Although these methods are known to improve the convergence rate of SGD under the condition that the stochastic gradient has bounded variance, it is not well understood how their convergence rates are affected by the multiplicative noise. In this paper, we show that these methods all converge to a neighborhood of the optimum with accelerated convergence rates (compared with SGD), even under the growth condition. In particular, NAM, RMM, and iDAM+ enjoy acceleration only with a mild multiplicative noise, whereas DAM+ enjoys acceleration, even with a large multiplicative noise. Furthermore, we propose a generic tail-averaged scheme that allows the accelerated rates of DAM+ and iDAM+ to nearly attain the theoretical lower bound (up to a logarithmic factor in the variance term). We conduct numerical experiments to support our theoretical conclusions.","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138580818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Quantitative Convergence for Displacement Monotone Mean Field Games with Controlled Volatility","authors":"Joe Jackson, Ludovic Tangpi","doi":"10.1287/moor.2023.0106","DOIUrl":"https://doi.org/10.1287/moor.2023.0106","url":null,"abstract":"We study the convergence problem for mean field games with common noise and controlled volatility. We adopt the strategy recently put forth by Laurière and the second author, using the maximum principle to recast the convergence problem as a question of “forward-backward propagation of chaos” (i.e., (conditional) propagation of chaos for systems of particles evolving forward and backward in time). Our main results show that displacement monotonicity can be used to obtain this propagation of chaos, which leads to quantitative convergence results for open-loop Nash equilibria for a class of mean field games. Our results seem to be the first (quantitative or qualitative) that apply to games in which the common noise is controlled. The proofs are relatively simple and rely on a well-known technique for proving wellposedness of forward-backward stochastic differential equations, which is combined with displacement monotonicity in a novel way. To demonstrate the flexibility of the approach, we also use the same arguments to obtain convergence results for a class of infinite horizon discounted mean field games.Funding: J. Jackson is supported by the National Science Foundation [Grant DGE1610403]. L. Tangpi is partially supported by the National Science Foundation [Grants DMS-2005832 and DMS-2143861].","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138580879","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Linear Program-Based Policies for Restless Bandits: Necessary and Sufficient Conditions for (Exponentially Fast) Asymptotic Optimality","authors":"Nicolas Gast, Bruno Gaujal, Chen Yan","doi":"10.1287/moor.2022.0101","DOIUrl":"https://doi.org/10.1287/moor.2022.0101","url":null,"abstract":"We provide a framework to analyze control policies for the restless Markovian bandit model under both finite and infinite time horizons. We show that when the population of arms goes to infinity, the value of the optimal control policy converges to the solution of a linear program (LP). We provide necessary and sufficient conditions for a generic control policy to be (i) asymptotically optimal, (ii) asymptotically optimal with square root convergence rate, and (iii) asymptotically optimal with exponential rate. We then construct the LP-index policy that is asymptotically optimal with square root convergence rate on all models and with exponential rate if the model is nondegenerate in finite horizon and satisfies a uniform global attractor property in infinite horizon. We next define the LP-update policy, which is essentially a repeated LP-index policy that solves a new LP at each decision epoch. We conclude by providing numerical experiments to compare the efficiency of different LP-based policies.Funding: This work was supported by Agence Nationale de la Recherche [Grant ANR-19-CE23-0015].","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Proximity and Flatness Bounds for Linear Integer Optimization","authors":"Marcel Celaya, Stefan Kuhlmann, Joseph Paat, Robert Weismantel","doi":"10.1287/moor.2022.0335","DOIUrl":"https://doi.org/10.1287/moor.2022.0335","url":null,"abstract":"This paper deals with linear integer optimization. We develop a technique that can be applied to provide improved upper bounds for two important questions in linear integer optimization. Given an optimal vertex solution for the linear relaxation, how far away is the nearest optimal integer solution (if one exists; proximity bounds)? If a polyhedron contains no integer point, what is the smallest number of integer parallel hyperplanes defined by an integral, nonzero, normal vector that intersect the polyhedron (flatness bounds)? This paper presents a link between these two questions by refining a proof technique that has been recently introduced by the authors. A key technical lemma underlying our technique concerns the areas of certain convex polygons in the plane; if a polygon [Formula: see text] satisfies [Formula: see text], where τ denotes [Formula: see text] counterclockwise rotation and [Formula: see text] denotes the polar of K, then the area of [Formula: see text] is at least three.Funding: J. Paat was supported by the Natural Sciences and Engineering Research Council of Canada [Grant RGPIN-2021-02475]. R. Weismantel was supported by the Einstein Stiftung Berlin.","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508674","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Allocating Indivisible Goods to Strategic Agents: Pure Nash Equilibria and Fairness","authors":"Georgios Amanatidis, Georgios Birmpas, Federico Fusco, Philip Lazos, Stefano Leonardi, Rebecca Reiffenhäuser","doi":"10.1287/moor.2022.0058","DOIUrl":"https://doi.org/10.1287/moor.2022.0058","url":null,"abstract":"We consider the problem of fairly allocating a set of indivisible goods to a set of strategic agents with additive valuation functions. We assume no monetary transfers, and therefore, a mechanism in our setting is an algorithm that takes as input the reported—rather than the true—values of the agents. Our main goal is to explore whether there exist mechanisms that have pure Nash equilibria for every instance and, at the same time, provide fairness guarantees for the allocations that correspond to these equilibria. We focus on two relaxations of envy-freeness, namely, envy-freeness up to one good (EF1) and envy-freeness up to any good (EFX), and we positively answer the preceding question. In particular, we study two algorithms that are known to produce such allocations in the nonstrategic setting: round-robin (EF1 allocations for any number of agents) and a cut-and-choose algorithm of Plaut and Roughgarden (EFX allocations for two agents). For round-robin, we show that all of its pure Nash equilibria induce allocations that are EF1 with respect to the underlying true values, whereas for the algorithm of Plaut and Roughgarden, we show that the corresponding allocations not only are EFX, but also satisfy maximin share fairness, something that is not true for this algorithm in the nonstrategic setting! Further, we show that a weaker version of the latter result holds for any mechanism for two agents that always has pure Nash equilibria, which all induce EFX allocations.Funding: This work was supported by the Horizon 2020 European Research Council Advanced “Algorithmic and Mechanism Design Research in Online Markets” [Grant 788893], the Ministero dell’Università e della Ricerca Research project of national interest (PRIN) “Algorithms, Games, and Digital Markets,” the Future Artificial Intelligence Research project funded by the NextGenerationEU program within the National Recovery and Resilience Plan (PNRR-PE-AI) scheme [M4C2, investment 1.3, line on Artificial Intelligence], the National Recovery and Resilience Plan-Ministero dell’Università e della Ricerca (PNRR-MUR) project IR0000013-SoBigData.it, the Nederlandse Organisatie voor Wetenschappelijk Onderzoek Veni Project [Grant VI.Veni.192.153], and the National Recovery and Resilience Plan Greece 2.0 funded by the European Union under the NextGenerationEU Program [Grant MIS 5154714].","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Cost of Nonconvexity in Deterministic Nonsmooth Optimization","authors":"Siyu Kong, A. S. Lewis","doi":"10.1287/moor.2022.0289","DOIUrl":"https://doi.org/10.1287/moor.2022.0289","url":null,"abstract":"We study the impact of nonconvexity on the complexity of nonsmooth optimization, emphasizing objectives such as piecewise linear functions, which may not be weakly convex. We focus on a dimension-independent analysis, slightly modifying a 2020 black-box algorithm of Zhang-Lin-Jegelka-Sra-Jadbabaie that approximates an ϵ-stationary point of any directionally differentiable Lipschitz objective using [Formula: see text] calls to a specialized subgradient oracle and a randomized line search. Seeking by contrast a deterministic method, we present a simple black-box version that achieves [Formula: see text] for any difference-of-convex objective and [Formula: see text] for the weakly convex case. Our complexity bound depends on a natural nonconvexity modulus that is related, intriguingly, to the negative part of directional second derivatives of the objective, understood in the distributional sense.Funding: This work was supported by the National Science Foundation [Grant DMS-2006990].","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Worst-Case Iteration Bounds for Log Barrier Methods on Problems with Nonconvex Constraints","authors":"Oliver Hinder, Yinyu Ye","doi":"10.1287/moor.2020.0274","DOIUrl":"https://doi.org/10.1287/moor.2020.0274","url":null,"abstract":"Interior point methods (IPMs) that handle nonconvex constraints such as IPOPT, KNITRO and LOQO have had enormous practical success. We consider IPMs in the setting where the objective and constraints are thrice differentiable, and have Lipschitz first and second derivatives on the feasible region. We provide an IPM that, starting from a strictly feasible point, finds a μ-approximate Fritz John point by solving [Formula: see text] trust-region subproblems. For IPMs that handle nonlinear constraints, this result represents the first iteration bound with a polynomial dependence on [Formula: see text]. We also show how to use our method to find scaled-KKT points starting from an infeasible solution and improve on existing complexity bounds.Funding: This work was supported by Air Force Office of Scientific Research [9550-23-1-0242]. A significant portion of this work was done at Stanford where O. Hinder was supported by the PACCAR, Inc., Stanford Graduate Fellowship and the Dantzig-Lieberman fellowship.","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Extreme-Case Distortion Risk Measures: A Unification and Generalization of Closed-Form Solutions","authors":"Hui Shao, Zhe George Zhang","doi":"10.1287/moor.2022.0156","DOIUrl":"https://doi.org/10.1287/moor.2022.0156","url":null,"abstract":"Extreme-case risk measures provide an approach for quantifying the upper and lower bounds of risk in situations where limited information is available regarding the underlying distributions. Previous research has demonstrated that for popular risk measures, such as value-at-risk and conditional value-at-risk, the worst-case counterparts can be evaluated in closed form when only the first two moments of the underlying distributions are known. In this study, we extend these findings by presenting closed-form solutions for a general class of distortion risk measures, which consists of various popular risk measures as special cases when the first and certain higher-order (i.e., second or more) absolute center moments, alongside the symmetry properties of the underlying distributions, are known. Moreover, we characterize the extreme-case distributions with convex or concave envelopes of the corresponding distributions. By providing closed-form solutions for extreme-case distortion risk measures and characterizations for the corresponding distributions, our research contributes to the understanding and application of risk quantification methodologies.Funding: H. Shao acknowledges support from the Yangtze River Delta Science and Technology Innovation Community Joint Research Program [Grant 2022CSJGG0800]. Z. G. Zhang acknowledges support from the Canadian Network for Research and Innovation in Machining Technology, Natural Sciences and Engineering Research Council of Canada [Grant RGPIN-2019-06364].Supplemental Material: The online appendix is available at https://doi.org/10.1287/moor.2022.0156 .","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Improving Envy Freeness up to Any Good Guarantees Through Rainbow Cycle Number","authors":"Bhaskar Ray Chaudhury, Jugal Garg, Kurt Mehlhorn, Ruta Mehta, Pranabendu Misra","doi":"10.1287/moor.2021.0252","DOIUrl":"https://doi.org/10.1287/moor.2021.0252","url":null,"abstract":"We study the problem of fairly allocating a set of indivisible goods among n agents with additive valuations. Envy freeness up to any good (EFX) is arguably the most compelling fairness notion in this context. However, the existence of an EFX allocation has not been settled and is one of the most important problems in fair division. Toward resolving this question, many impressive results show the existence of its relaxations. In particular, it is known that 0.618-EFX allocations exist and that EFX allocation exists if we do not allocate at most (n-1) goods. Reducing the number of unallocated goods has emerged as a systematic way to tackle the main question. For example, follow-up works on three- and four-agents cases, respectively, allocated two more unallocated goods through an involved procedure. In this paper, we study the general case and achieve sublinear numbers of unallocated goods. Through a new approach, we show that for every [Formula: see text], there always exists a [Formula: see text]-EFX allocation with sublinear number of unallocated goods and high Nash welfare. For this, we reduce the EFX problem to a novel problem in extremal graph theory. We define the notion of rainbow cycle number [Formula: see text] in directed graphs. For all [Formula: see text] is the largest k such that there exists a k-partite graph [Formula: see text], in which each part has at most d vertices (i.e., [Formula: see text] for all [Formula: see text]); for any two parts V<jats:sub>i</jats:sub> and V<jats:sub>j</jats:sub>, each vertex in V<jats:sub>i</jats:sub> has an incoming edge from some vertex in V<jats:sub>j</jats:sub> and vice versa; and there exists no cycle in G that contains at most one vertex from each part. We show that any upper bound on [Formula: see text] directly translates to a sublinear bound on the number of unallocated goods. We establish a polynomial upper bound on [Formula: see text], yielding our main result. Furthermore, our approach is constructive, which also gives a polynomial-time algorithm for finding such an allocation.Funding: J. Garg was supported by the Directorate for Computer and Information Science and Engineering [Grant CCF-1942321]. R. Mehta was supported by the Directorate for Computer and Information Science and Engineering [Grant CCF-1750436].","PeriodicalId":49852,"journal":{"name":"Mathematics of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}