Algebraic solutions of tropical optimization problems

We consider multidimensional optimization problems, which are formulated and solved in terms of tropical mathematics. The problems are to minimize (maximize) a linear or nonlinear function defined on vectors of a finite-dimensional semimodule over an idempotent semifield, and may have constraints in the form of linear equations and inequalities. The aim of the paper is twofold: first to give a broad overview of known tropical optimization problems and solution methods, including recent results; and second, to derive a direct, complete solution to a new constrained optimization problem as an illustration of the algebraic approach recently proposed to solve tropical optimization problems with nonlinear objective function.Comment: 25 pages, presented at Intern. Conf. "Algebra and Mathematical Logic: Theory and Applications", June 2-6, 2014, Kazan, Russi

Limits to the scope of applicability of extended formulations for LP models of combinatorial optimization problems: A summary

We show that new definitions of the notion of "projection" on which some of the recent "extended formulations" works (such as Kaibel (2011); Fiorini et al. (2011; 2012); Kaibel and Walter (2013); Kaibel and Weltge (2013) for example) have been based can cause those works to over-reach in their conclusions in relating polytopes to one another when the sets of the descriptive variables for those polytopes are disjoint.Comment: 9 pages. arXiv admin note: substantial text overlap with arXiv:1309.1823; This version (.v2) is simply a more formalized presentatio

Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance

The aim of this paper is twofold: first, to extend the area of applications of tropical optimization by solving new constrained location problems, and second, to offer new closed-form solutions to general problems that are of interest to location analysis. We consider a constrained minimax single-facility location problem with addends on the plane with rectilinear distance. The solution commences with the representation of the problem in a standard form, and then in terms of tropical mathematics, as a constrained optimization problem. We use a transformation technique, which can act as a template to handle optimization problems in other application areas, and hence is of independent interest. To solve the constrained optimization problem, we apply methods and results of tropical optimization, which provide direct, explicit solutions. The results obtained serve to derive new solutions of the location problem, and of its special cases with reduced sets of constraints, in a closed form, ready for practical implementation and immediate computation. As illustrations, numerical solutions of example problems and their graphical representation are given. We conclude with an application of the results to optimal location of the central monitoring facility in an indoor video surveillance system in a multi-floor building environment.Comment: 29 pages, 3 figure

Trading Regret for Efficiency: Online Convex Optimization with Long Term Constraints

In this paper we propose a framework for solving constrained online convex optimization problem. Our motivation stems from the observation that most algorithms proposed for online convex optimization require a projection onto the convex set $\mathcal{K}$ from which the decisions are made. While for simple shapes (e.g. Euclidean ball) the projection is straightforward, for arbitrary complex sets this is the main computational challenge and may be inefficient in practice. In this paper, we consider an alternative online convex optimization problem. Instead of requiring decisions belong to $\mathcal{K}$ for all rounds, we only require that the constraints which define the set $\mathcal{K}$ be satisfied in the long run. We show that our framework can be utilized to solve a relaxed version of online learning with side constraints addressed in \cite{DBLP:conf/colt/MannorT06} and \cite{DBLP:conf/aaai/KvetonYTM08}. By turning the problem into an online convex-concave optimization problem, we propose an efficient algorithm which achieves $\tilde{\mathcal{O}}(\sqrt{T})$ regret bound and $\tilde{\mathcal{O}}(T^{3/4})$ bound for the violation of constraints. Then we modify the algorithm in order to guarantee that the constraints are satisfied in the long run. This gain is achieved at the price of getting $\tilde{\mathcal{O}}(T^{3/4})$ regret bound. Our second algorithm is based on the Mirror Prox method \citep{nemirovski-2005-prox} to solve variational inequalities which achieves $\tilde{\mathcal{\mathcal{O}}}(T^{2/3})$ bound for both regret and the violation of constraints when the domain \K can be described by a finite number of linear constraints. Finally, we extend the result to the setting where we only have partial access to the convex set $\mathcal{K}$ and propose a multipoint bandit feedback algorithm with the same bounds in expectation as our first algorithm

Convergence analysis of approximate primal solutions in dual first-order methods

Dual first-order methods are powerful techniques for large-scale convex optimization. Although an extensive research effort has been devoted to studying their convergence properties, explicit convergence rates for the primal iterates have only been established under global Lipschitz continuity of the dual gradient. This is a rather restrictive assumption that does not hold for several important classes of problems. In this paper, we demonstrate that primal convergence rate guarantees can also be obtained when the dual gradient is only locally Lipschitz. The class of problems that we analyze admits general convex constraints including nonlinear inequality, linear equality, and set constraints. As an approximate primal solution, we take the minimizer of the Lagrangian, computed when evaluating the dual gradient. We derive error bounds for this approximate primal solution in terms of the errors of the dual variables, and establish convergence rates of the dual variables when the dual problem is solved using a projected gradient or fast gradient method. By combining these results, we show that the suboptimality and infeasibility of the approximate primal solution at iteration $k$ are no worse than $O(1/\sqrt{k})$ when the dual problem is solved using a projected gradient method, and $O(1/k)$ when a fast dual gradient method is used

Extremal properties of tropical eigenvalues and solutions to tropical optimization problems

An unconstrained optimization problem is formulated in terms of tropical mathematics to minimize a functional that is defined on a vector set by a matrix and calculated through multiplicative conjugate transposition. For some particular cases, the minimum in the problem is known to be equal to the tropical spectral radius of the matrix. We examine the problem in the common setting of a general idempotent semifield. A complete direct solution in a compact vector form is obtained to this problem under fairly general conditions. The result is extended to solve new tropical optimization problems with more general objective functions and inequality constraints. Applications to real-world problems that arise in project scheduling are presented. To illustrate the results obtained, numerical examples are also provided.Comment: 22 pages, presented at ILAS 2013 Conference (Providence, RI, 2013), major revisio

A constrained tropical optimization problem: complete solution and application example

The paper focuses on a multidimensional optimization problem, which is formulated in terms of tropical mathematics and consists in minimizing a nonlinear objective function subject to linear inequality constraints. To solve the problem, we follow an approach based on the introduction of an additional unknown variable to reduce the problem to solving linear inequalities, where the variable plays the role of a parameter. A necessary and sufficient condition for the inequalities to hold is used to evaluate the parameter, whereas the general solution of the inequalities is taken as a solution of the original problem. Under fairly general assumptions, a complete direct solution to the problem is obtained in a compact vector form. The result is applied to solve a problem in project scheduling when an optimal schedule is given by minimizing the flow time of activities in a project under various activity precedence constraints. As an illustration, a numerical example of optimal scheduling is also presented.Comment: 20 pages, accepted for publication in Contemporary Mathematic

Optimal Covariance Control for Stochastic Systems Under Chance Constraints

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian distribution to another Gaussian distribution while minimizing a cost function. To the best of our knowledge, covariance steering problems have never been discussed with probabilistic chance constraints although it is a natural extension. In this work, first we show that, unlike the case with no chance constraints, the covariance steering with chance constraints problem cannot decouple the mean and covariance steering sub-problems. Then we propose an approach to solve the covariance steering with chance constraints problem by converting it to a semidefinite programming problem. The proposed algorithm is verified using two simple numerical simulations

Bayesian optimization under mixed constraints with a slack-variable augmented Lagrangian

An augmented Lagrangian (AL) can convert a constrained optimization problem into a sequence of simpler (e.g., unconstrained) problems, which are then usually solved with local solvers. Recently, surrogate-based Bayesian optimization (BO) sub-solvers have been successfully deployed in the AL framework for a more global search in the presence of inequality constraints; however, a drawback was that expected improvement (EI) evaluations relied on Monte Carlo. Here we introduce an alternative slack variable AL, and show that in this formulation the EI may be evaluated with library routines. The slack variables furthermore facilitate equality as well as inequality constraints, and mixtures thereof. We show how our new slack "ALBO" compares favorably to the original. Its superiority over conventional alternatives is reinforced on several mixed constraint examples.Comment: 24 pages, 5 figure

Combining Convex-Concave Decompositions and Linearization Approaches for solving BMIs, with application to Static Output Feedback

A novel optimization method is proposed to minimize a convex function subject to bilinear matrix inequality (BMI) constraints. The key idea is to decompose the bilinear mapping as a difference between two positive semidefinite convex mappings. At each iteration of the algorithm the concave part is linearized, leading to a convex subproblem.Applications to various output feedback controller synthesis problems are presented. In these applications the subproblem in each iteration step can be turned into a convex optimization problem with linear matrix inequality (LMI) constraints. The performance of the algorithm has been benchmarked on the data from COMPleib library.Comment: 22 page