A statistical learning based approach for parameter fine-tuning of metaheuristics

Metaheuristics are approximation methods used to solve combinatorial optimization problems. Their performance usually depends on a set of parameters that need to be adjusted. The selection of appropriate parameter values causes a loss of efficiency, as it requires time, and advanced analytical and problem-specific skills. This paper provides an overview of the principal approaches to tackle the Parameter Setting Problem, focusing on the statistical procedures employed so far by the scientific community. In addition, a novel methodology is proposed, which is tested using an already existing algorithm for solving the Multi-Depot Vehicle Routing Problem.Peer ReviewedPostprint (published version

Deterministic Versus Randomized Kaczmarz Iterative Projection

Kaczmarz's alternating projection method has been widely used for solving a consistent (mostly over-determined) linear system of equations Ax=b. Because of its simple iterative nature with light computation, this method was successfully applied in computerized tomography. Since tomography generates a matrix A with highly coherent rows, randomized Kaczmarz algorithm is expected to provide faster convergence as it picks a row for each iteration at random, based on a certain probability distribution. It was recently shown that picking a row at random, proportional with its norm, makes the iteration converge exponentially in expectation with a decay constant that depends on the scaled condition number of A and not the number of equations. Since Kaczmarz's method is a subspace projection method, the convergence rate for simple Kaczmarz algorithm was developed in terms of subspace angles. This paper provides analyses of simple and randomized Kaczmarz algorithms and explain the link between them. It also propose new versions of randomization that may speed up convergence

Preasymptotic Convergence of Randomized Kaczmarz Method

Kaczmarz method is one popular iterative method for solving inverse problems, especially in computed tomography. Recently, it was established that a randomized version of the method enjoys an exponential convergence for well-posed problems, and the convergence rate is determined by a variant of the condition number. In this work, we analyze the preasymptotic convergence behavior of the randomized Kaczmarz method, and show that the low-frequency error (with respect to the right singular vectors) decays faster during first iterations than the high-frequency error. Under the assumption that the inverse solution is smooth (e.g., sourcewise representation), the result explains the fast empirical convergence behavior, thereby shedding new insights into the excellent performance of the randomized Kaczmarz method in practice. Further, we propose a simple strategy to stabilize the asymptotic convergence of the iteration by means of variance reduction. We provide extensive numerical experiments to confirm the analysis and to elucidate the behavior of the algorithms.Comment: 20 page

Fast randomized iteration: diffusion Monte Carlo through the lens of numerical linear algebra

We review the basic outline of the highly successful diffusion Monte Carlo technique commonly used in contexts ranging from electronic structure calculations to rare event simulation and data assimilation, and propose a new class of randomized iterative algorithms based on similar principles to address a variety of common tasks in numerical linear algebra. From the point of view of numerical linear algebra, the main novelty of the Fast Randomized Iteration schemes described in this article is that they work in either linear or constant cost per iteration (and in total, under appropriate conditions) and are rather versatile: we will show how they apply to solution of linear systems, eigenvalue problems, and matrix exponentiation, in dimensions far beyond the present limits of numerical linear algebra. While traditional iterative methods in numerical linear algebra were created in part to deal with instances where a matrix (of size $\mathcal{O}(n^2)$) is too big to store, the algorithms that we propose are effective even in instances where the solution vector itself (of size $\mathcal{O}(n)$) may be too big to store or manipulate. In fact, our work is motivated by recent DMC based quantum Monte Carlo schemes that have been applied to matrices as large as $10^{108} \times 10^{108}$. We provide basic convergence results, discuss the dependence of these results on the dimension of the system, and demonstrate dramatic cost savings on a range of test problems.Comment: 44 pages, 7 figure

Universal Compressed Text Indexing

The rise of repetitive datasets has lately generated a lot of interest in compressed self-indexes based on dictionary compression, a rich and heterogeneous family that exploits text repetitions in different ways. For each such compression scheme, several different indexing solutions have been proposed in the last two decades. To date, the fastest indexes for repetitive texts are based on the run-length compressed Burrows-Wheeler transform and on the Compact Directed Acyclic Word Graph. The most space-efficient indexes, on the other hand, are based on the Lempel-Ziv parsing and on grammar compression. Indexes for more universal schemes such as collage systems and macro schemes have not yet been proposed. Very recently, Kempa and Prezza [STOC 2018] showed that all dictionary compressors can be interpreted as approximation algorithms for the smallest string attractor, that is, a set of text positions capturing all distinct substrings. Starting from this observation, in this paper we develop the first universal compressed self-index, that is, the first indexing data structure based on string attractors, which can therefore be built on top of any dictionary-compressed text representation. Let $\gamma$ be the size of a string attractor for a text of length $n$. Our index takes $O(\gamma\log(n/\gamma))$ words of space and supports locating the $occ$ occurrences of any pattern of length $m$ in $O(m\log n + occ\log^{\epsilon}n)$ time, for any constant $\epsilon>0$. This is, in particular, the first index for general macro schemes and collage systems. Our result shows that the relation between indexing and compression is much deeper than what was previously thought: the simple property standing at the core of all dictionary compressors is sufficient to support fast indexed queries.Comment: Fixed with reviewer's comment