35,629 research outputs found
Efficient Semidefinite Branch-and-Cut for MAP-MRF Inference
We propose a Branch-and-Cut (B&C) method for solving general MAP-MRF
inference problems. The core of our method is a very efficient bounding
procedure, which combines scalable semidefinite programming (SDP) and a
cutting-plane method for seeking violated constraints. In order to further
speed up the computation, several strategies have been exploited, including
model reduction, warm start and removal of inactive constraints.
We analyze the performance of the proposed method under different settings,
and demonstrate that our method either outperforms or performs on par with
state-of-the-art approaches. Especially when the connectivities are dense or
when the relative magnitudes of the unary costs are low, we achieve the best
reported results. Experiments show that the proposed algorithm achieves better
approximation than the state-of-the-art methods within a variety of time
budgets on challenging non-submodular MAP-MRF inference problems.Comment: 21 page
An Improved Tight Closure Algorithm for Integer Octagonal Constraints
Integer octagonal constraints (a.k.a. ``Unit Two Variables Per Inequality''
or ``UTVPI integer constraints'') constitute an interesting class of
constraints for the representation and solution of integer problems in the
fields of constraint programming and formal analysis and verification of
software and hardware systems, since they couple algorithms having polynomial
complexity with a relatively good expressive power. The main algorithms
required for the manipulation of such constraints are the satisfiability check
and the computation of the inferential closure of a set of constraints. The
latter is called `tight' closure to mark the difference with the (incomplete)
closure algorithm that does not exploit the integrality of the variables. In
this paper we present and fully justify an O(n^3) algorithm to compute the
tight closure of a set of UTVPI integer constraints.Comment: 15 pages, 2 figure
Conic Optimization Theory: Convexification Techniques and Numerical Algorithms
Optimization is at the core of control theory and appears in several areas of
this field, such as optimal control, distributed control, system
identification, robust control, state estimation, model predictive control and
dynamic programming. The recent advances in various topics of modern
optimization have also been revamping the area of machine learning. Motivated
by the crucial role of optimization theory in the design, analysis, control and
operation of real-world systems, this tutorial paper offers a detailed overview
of some major advances in this area, namely conic optimization and its emerging
applications. First, we discuss the importance of conic optimization in
different areas. Then, we explain seminal results on the design of hierarchies
of convex relaxations for a wide range of nonconvex problems. Finally, we study
different numerical algorithms for large-scale conic optimization problems.Comment: 18 page
A Scalable Algorithm For Sparse Portfolio Selection
The sparse portfolio selection problem is one of the most famous and
frequently-studied problems in the optimization and financial economics
literatures. In a universe of risky assets, the goal is to construct a
portfolio with maximal expected return and minimum variance, subject to an
upper bound on the number of positions, linear inequalities and minimum
investment constraints. Existing certifiably optimal approaches to this problem
do not converge within a practical amount of time at real world problem sizes
with more than 400 securities. In this paper, we propose a more scalable
approach. By imposing a ridge regularization term, we reformulate the problem
as a convex binary optimization problem, which is solvable via an efficient
outer-approximation procedure. We propose various techniques for improving the
performance of the procedure, including a heuristic which supplies high-quality
warm-starts, a preprocessing technique for decreasing the gap at the root node,
and an analytic technique for strengthening our cuts. We also study the
problem's Boolean relaxation, establish that it is second-order-cone
representable, and supply a sufficient condition for its tightness. In
numerical experiments, we establish that the outer-approximation procedure
gives rise to dramatic speedups for sparse portfolio selection problems.Comment: Submitted to INFORMS Journal on Computin
A Tutorial on Clique Problems in Communications and Signal Processing
Since its first use by Euler on the problem of the seven bridges of
K\"onigsberg, graph theory has shown excellent abilities in solving and
unveiling the properties of multiple discrete optimization problems. The study
of the structure of some integer programs reveals equivalence with graph theory
problems making a large body of the literature readily available for solving
and characterizing the complexity of these problems. This tutorial presents a
framework for utilizing a particular graph theory problem, known as the clique
problem, for solving communications and signal processing problems. In
particular, the paper aims to illustrate the structural properties of integer
programs that can be formulated as clique problems through multiple examples in
communications and signal processing. To that end, the first part of the
tutorial provides various optimal and heuristic solutions for the maximum
clique, maximum weight clique, and -clique problems. The tutorial, further,
illustrates the use of the clique formulation through numerous contemporary
examples in communications and signal processing, mainly in maximum access for
non-orthogonal multiple access networks, throughput maximization using index
and instantly decodable network coding, collision-free radio frequency
identification networks, and resource allocation in cloud-radio access
networks. Finally, the tutorial sheds light on the recent advances of such
applications, and provides technical insights on ways of dealing with mixed
discrete-continuous optimization problems
- …