190,410 research outputs found

    Best Subset Selection via a Modern Optimization Lens

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    In the last twenty-five years (1990-2014), algorithmic advances in integer optimization combined with hardware improvements have resulted in an astonishing 200 billion factor speedup in solving Mixed Integer Optimization (MIO) problems. We present a MIO approach for solving the classical best subset selection problem of choosing kk out of pp features in linear regression given nn observations. We develop a discrete extension of modern first order continuous optimization methods to find high quality feasible solutions that we use as warm starts to a MIO solver that finds provably optimal solutions. The resulting algorithm (a) provides a solution with a guarantee on its suboptimality even if we terminate the algorithm early, (b) can accommodate side constraints on the coefficients of the linear regression and (c) extends to finding best subset solutions for the least absolute deviation loss function. Using a wide variety of synthetic and real datasets, we demonstrate that our approach solves problems with nn in the 1000s and pp in the 100s in minutes to provable optimality, and finds near optimal solutions for nn in the 100s and pp in the 1000s in minutes. We also establish via numerical experiments that the MIO approach performs better than {\texttt {Lasso}} and other popularly used sparse learning procedures, in terms of achieving sparse solutions with good predictive power.Comment: This is a revised version (May, 2015) of the first submission in June 201

    Immersion-based model predictive control of constrained nonlinear systems: Polyflow approximation

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    In the framework of Model Predictive Control (MPC), the control input is typically computed by solving optimization problems repeatedly online. For general nonlinear systems, the online optimization problems are non-convex and computationally expensive or even intractable. In this paper, we propose to circumvent this issue by computing a high-dimensional linear embedding of discrete-time nonlinear systems. The computation relies on an algebraic condition related to the immersibility property of nonlinear systems and can be implemented offline. With the high-dimensional linear model, we then define and solve a convex online MPC problem. We also provide an interpretation of our approach under the Koopman operator framework.Comment: Accepted to the European Control Conferenc

    A discrete approximation of Blake & Zisserman energy in image denoising and optimal choice of regularization parameters

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    We consider a multi-scale approach for the discrete approximation of a functional proposed by Bake and Zisserman (BZ) for solving image denoising and segmentation problems. The proposed method is based on simple and effective higher order varia-tional model. It consists of building linear discrete energies family which Γ-converges to the non-linear BZ functional. The key point of the approach is the construction of the diffusion operators in the discrete energies within a finite element adaptive procedure which approximate in the Γ-convergence sense the initial energy including the singular parts. The resulting model preserves the singularities of the image and of its gradient while keeping a simple structure of the underlying PDEs, hence efficient numerical method for solving the problem under consideration. A new point to make this approach work is to deal with constrained optimization problems that we circumvent through a Lagrangian formulation. We present some numerical experiments to show that the proposed approach allows us to detect first and second-order singularities. We also consider and implement to enhance the algorithms and convergence properties, an augmented Lagrangian method using the alternating direction method of Multipliers (ADMM)

    Qualitative Characteristics and Quantitative Measures of Solution's Reliability in Discrete Optimization: Traditional Analytical Approaches, Innovative Computational Methods and Applicability

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    The purpose of this thesis is twofold. The first and major part is devoted to sensitivity analysis of various discrete optimization problems while the second part addresses methods applied for calculating measures of solution stability and solving multicriteria discrete optimization problems. Despite numerous approaches to stability analysis of discrete optimization problems two major directions can be single out: quantitative and qualitative. Qualitative sensitivity analysis is conducted for multicriteria discrete optimization problems with minisum, minimax and minimin partial criteria. The main results obtained here are necessary and sufficient conditions for different stability types of optimal solutions (or a set of optimal solutions) of the considered problems. Within the framework of quantitative direction various measures of solution stability are investigated. A formula for a quantitative characteristic called stability radius is obtained for the generalized equilibrium situation invariant to changes of game parameters in the case of the H¨older metric. Quality of the problem solution can also be described in terms of robustness analysis. In this work the concepts of accuracy and robustness tolerances are presented for a strategic game with a finite number of players where initial coefficients (costs) of linear payoff functions are subject to perturbations. Investigation of stability radius also aims to devise methods for its calculation. A new metaheuristic approach is derived for calculation of stability radius of an optimal solution to the shortest path problem. The main advantage of the developed method is that it can be potentially applicable for calculating stability radii of NP-hard problems. The last chapter of the thesis focuses on deriving innovative methods based on interactive optimization approach for solving multicriteria combinatorial optimization problems. The key idea of the proposed approach is to utilize a parameterized achievement scalarizing function for solution calculation and to direct interactive procedure by changing weighting coefficients of this function. In order to illustrate the introduced ideas a decision making process is simulated for three objective median location problem. The concepts, models, and ideas collected and analyzed in this thesis create a good and relevant grounds for developing more complicated and integrated models of postoptimal analysis and solving the most computationally challenging problems related to it.Siirretty Doriast

    Direct Policy Optimization using Deterministic Sampling and Collocation

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    We present an approach for approximately solving discrete-time stochastic optimal-control problems by combining direct trajectory optimization, deterministic sampling, and policy optimization. Our feedback motion-planning algorithm uses a quasi-Newton method to simultaneously optimize a reference trajectory, a set of deterministically chosen sample trajectories, and a parameterized policy. We demonstrate that this approach exactly recovers LQR policies in the case of linear dynamics, quadratic objective, and Gaussian disturbances. We also demonstrate the algorithm on several nonlinear, underactuated robotic systems to highlight its performance and ability to handle control limits, safely avoid obstacles, and generate robust plans in the presence of unmodeled dynamics.Comment: revisions for RA-L 202

    Direct and inverse elastic scattering problems for diffraction gratings

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    This paper is concerned with the direct and inverse scattering of time-harmonic plane elastic waves by unbounded periodic structures (diffraction gratings). We present a variational approach to the forward scattering problems with Lipschitz grating profiles and give a survey of recent uniqueness and existence results. We also report on recent global uniqueness results within the class of piecewise linear grating profiles for the corresponding inverse elastic scattering problems. Moreover, a discrete Galerkin method is presented to efficiently approximate solutions of direct scattering problems via an integral equation approach. Finally, an optimization method for solving the inverse problem of recovering a 2D periodic structure from scattered elastic waves measured above the structure is discussed

    Conjugate Gradient Approach for Discrete Time Optimal Control Problems with Model-Reality Differences

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    In this chapter, an efficient computation approach is proposed for solving a general class of discrete-time optimal control problems. In our approach, a simplified optimal control model, which is adding the adjusted parameters into the model used, is solved iteratively. In this way, the differences between the real plant and the model used are calculated, in turn, to update the optimal solution of the model used. During the computation procedure, the equivalent optimization problem is formulated, where the conjugate gradient algorithm is applied in solving the optimization problem. On this basis, the optimal solution of the modified model-based optimal control problem is obtained repeatedly. Once the convergence is achieved, the iterative solution approximates to the correct optimal solution of the original optimal control problem, in spite of model-reality differences. For illustration, both linear and nonlinear examples are demonstrated to show the performance of the approach proposed. In conclusion, the efficiency of the approach proposed is highly presented

    Scaling Up Exact Neural Network Compression by ReLU Stability

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    We can compress a rectifier network while exactly preserving its underlying functionality with respect to a given input domain if some of its neurons are stable. However, current approaches to determine the stability of neurons with Rectified Linear Unit (ReLU) activations require solving or finding a good approximation to multiple discrete optimization problems. In this work, we introduce an algorithm based on solving a single optimization problem to identify all stable neurons. Our approach is on median 183 times faster than the state-of-art method on CIFAR-10, which allows us to explore exact compression on deeper (5 x 100) and wider (2 x 800) networks within minutes. For classifiers trained under an amount of L1 regularization that does not worsen accuracy, we can remove up to 56% of the connections on the CIFAR-10 dataset. The code is available at the following link, https://github.com/yuxwind/ExactCompression
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