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Boundary oracle and its use in convex optimization

Boundary oracle and its use in convex optimization. Boris Polyak Institute for Control Science Moscow Russia Luminy, April 2007. Contents. Convex optimization problem Boundary oracle Examples Center of gravity and Radon theorem Algorithm 1: Hit-and-Run

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Boundary oracle and its use in convex optimization

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  1. Boundary oracle and its use in convex optimization Boris Polyak Institute for Control Science Moscow Russia Luminy, April 2007

  2. Contents • Convex optimization problem • Boundary oracle • Examples • Center of gravity and Radon theorem • Algorithm 1: Hit-and-Run • Algorithm 2: Stochastic approximation • Algorithm 3: Monte-Carlo • Implementation • Simulation • Future directions

  3. Convex optimization problem x* max (c,x) x  K K d K is a convex closed bounded set in Rn Main problem: random vs deterministic algorithms

  4. Boundaryoracle L B Given x є K, d є Rn T=max{t: x +td  K} B=x+Td = B(x,d,K) L is support vector to K in B: (L,B)(L,y),  y  K {B,L} – boundary oracle K d x

  5. Examples of K • Boundary oracle is available for many sets K: • Linear inequalities (LI) Axb • Quadratic inequalities (QI) (Aix,x)+(bi,x)gi,i=1,…,m, • Linear matrix inequalities (LMI) A0+xiAi 0 • Solution: A= A0+xiAi, C= –, diAi , i=eig(A,C),, • T = k = min {i: i0}, B = x+Td, ek – eigenvector corresponding • to k , L = ((A1ek,ek), … , (Anek,ek)) • Conic quadratic inequalities (CQI) Aix+bi (ci, x)+ gi • Nonnegative polynomials x(s)=x0+x1s+…xnsn 0 s • Solution: Let si be real roots of the polynomial x(s)d(s)+x(s)d(s). • Then T=min{- x(si)/d(si): d(si)<0}, b(s)=x(s)+Td(s), s*- the single • real root of b(s), L=(1, s*, …, s*n).

  6. Robust versions of K • Boundary oracle can be also constructed for robust • versions of the above sets. Examples: • Robust linear inequalities (RLI) K={x: (A+A)x • b+b,, A  A,  b  b} 2. Robust linear matrix inequalities (RLMI) K= {x: A0+0+xi(Ai+i) 0, i  i}

  7. Center of gravity and Radon theorem Let g be the center of gravity of a convex set K in Rn. Radon theorem (1916) If f+=maxxK (c,x), f-=minxK (c,x), fg=(c,g) then 1/n(f+- fg)/(fg- f-) n Worst case – a pyramid f+ g n/(n+1) f- 1/(n+1) fg

  8. Idea of algorithms max xK (c,x) Find approximate center of gravity g for K using random search and boundary oracle. Then construct Knew = K{x: (c,x)(c,g)} For Knew boundary oracle is also available and we can proceed. If fk is the value of (c,x) obtained at k-th iteration and f* is the optimal value, we can expect geometric rate of convergence: fk-f*(f0-f*)qk, q=n/(n+1) Values of L can be exploited to calculate upper bound for f*.

  9. Comparison with center of gravity and ellipsoids methods MinxK f(x) f, K –convex, g – center of gravity for K Knew = K{x: (f(g),x-g)0} Newman (1965), Levin (1965) Another validation : Vol(K)/Vol(Knew), Grunbaum theorem. How to find g? Ellipsoids method – K and Knew are placed into ellipsoids. Lower rate of convergence.

  10. Algorithm 1- Hit-and-Run Hit-and-Run (Smith 1984, Lovasz 1999) is an algorithm for generating uniformly distributed points in a convex set K. It exploits boundary oracle. The arithmetic mean of the points can be taken as an approximation for g. This method was used for convex minimization by Bertsimas and Vempala (2004). The simplest and well working version was: generate points xk recursively: xk+1= rkB(xk, dk)+ (1-rk)B(xk, - dk), rk=rand where dk is random direction uniformly distributed on the unit sphere. Then after N samples the estimate for g is gN= 1/Nxk

  11. Algorithm 2 – stochastic approximation xk+1=xk+gkTkdk, gk1/k, Tk=T(xk,dk) dk is random uniformly distributed on the unit sphere Then xkg. There are many versions of the algorithm.

  12. Algorithm 3 – Monte-Carlo gk is the center of gravity of the element of volume dVk, gk=a+(n/(n+1))Tkdk, dVk=gTkndSk, g=gkdVk/  dVk Thus the estimate for g after N samples generated is Bk=Tkdk gk dk a a gN= a+nTkn+1dk/(n+1) Tkn

  13. General scheme of the method • Choose aK, e>0. • Starting from a, generate approximation gN and oracles • Bk, Lk, k=1,…,N. Calculate f–=max (c,Bk), f+=max {(c,x): • (Lk, x-Bk)_0}. • If f+- f–<e, stop. Else • KK{x: (c,x-gN) 0 }, agN.

  14. Implementation • Finding gN is the best if K is ball-like and a is close to its center. • Hence we can reshape K using transformation • W=1/N (Bk-a) (Bk-a) T • Accelerating step. We can use relaxation: if Gi, Gi+1 are two • successive estimates for center of gravity, a= Gi+1 +l(Gi+1 – Gi), • l>0 is better approximation for a. • Choosing N adaptively. • Final polishing. • +many other tricks to accelerate convergence.

  15. Simulation results – SDP SDP: max(c,x) s.t. LMI constraints A(x)<0, A(x)=A0+x1A1+…+xnAn Ai – m x m matrices Results comparable with standard SDP solvers (YALMIP). n~40, m~40, N~1000, k~15 ε~10-8 n~300, m~10, N~2000, k~15 ε~10-7 n~10, m~100, N~200, k~15 ε~10-9 Simulation for robust SDP (low-dimensional)

  16. Future directions

  17. Rigorous validation (complexity estimation) • Random algorithms for LP • Convex problems with the lack of interior-point methods (nonnegative polynomials?) • In general: can random algorithms be competitors with deterministic ones in convex optimization?

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