Element Distinctness, Frequency Moments, and Sliding Windows

We derive new time-space tradeoff lower bounds and algorithms for exactly computing statistics of input data, including frequency moments, element distinctness, and order statistics, that are simple to calculate for sorted data. We develop a randomized algorithm for the element distinctness problem whose time T and space S satisfy T in O (n^{3/2}/S^{1/2}), smaller than previous lower bounds for comparison-based algorithms, showing that element distinctness is strictly easier than sorting for randomized branching programs. This algorithm is based on a new time and space efficient algorithm for finding all collisions of a function f from a finite set to itself that are reachable by iterating f from a given set of starting points. We further show that our element distinctness algorithm can be extended at only a polylogarithmic factor cost to solve the element distinctness problem over sliding windows, where the task is to take an input of length 2n-1 and produce an output for each window of length n, giving n outputs in total. In contrast, we show a time-space tradeoff lower bound of T in Omega(n^2/S) for randomized branching programs to compute the number of distinct elements over sliding windows. The same lower bound holds for computing the low-order bit of F_0 and computing any frequency moment F_k, k neq 1. This shows that those frequency moments and the decision problem F_0 mod 2 are strictly harder than element distinctness. We complement this lower bound with a T in O(n^2/S) comparison-based deterministic RAM algorithm for exactly computing F_k over sliding windows, nearly matching both our lower bound for the sliding-window version and the comparison-based lower bounds for the single-window version. We further exhibit a quantum algorithm for F_0 over sliding windows with T in O(n^{3/2}/S^{1/2}). Finally, we consider the computations of order statistics over sliding windows.Comment: arXiv admin note: substantial text overlap with arXiv:1212.437

A Survey of Monte Carlo Tree Search Methods

Monte Carlo tree search (MCTS) is a recently proposed search method that combines the precision of tree search with the generality of random sampling. It has received considerable interest due to its spectacular success in the difficult problem of computer Go, but has also proved beneficial in a range of other domains. This paper is a survey of the literature to date, intended to provide a snapshot of the state of the art after the first five years of MCTS research. We outline the core algorithm's derivation, impart some structure on the many variations and enhancements that have been proposed, and summarize the results from the key game and nongame domains to which MCTS methods have been applied. A number of open research questions indicate that the field is ripe for future work

Finding the Median (Obliviously) with Bounded Space

We prove that any oblivious algorithm using space $S$ to find the median of a list of $n$ integers from $\{1,...,2n\}$ requires time $\Omega(n \log\log_S n)$. This bound also applies to the problem of determining whether the median is odd or even. It is nearly optimal since Chan, following Munro and Raman, has shown that there is a (randomized) selection algorithm using only $s$ registers, each of which can store an input value or $O(\log n)$-bit counter, that makes only $O(\log\log_s n)$ passes over the input. The bound also implies a size lower bound for read-once branching programs computing the low order bit of the median and implies the analog of $P \ne NP \cap coNP$ for length $o(n \log\log n)$ oblivious branching programs

A comparison of sample-based Stochastic Optimal Control methods

In this paper, we compare the performance of two scenario-based numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists in finding strategies to control a dynamical system perturbed by exogenous noises so as to minimize some expected cost along a discrete and finite time horizon. We introduce the Mean Squared Error (MSE) which is the expected $L^2$-distance between the strategy given by the algorithm and the optimal strategy, as a performance indicator for the two models. We study the behaviour of the MSE with respect to the number of scenarios used for discretization. The first model, widely studied in the Stochastic Programming community, consists in approximating the noise diffusion using a scenario tree representation. On a numerical example, we observe that the number of scenarios needed to obtain a given precision grows exponentially with the time horizon. In that sense, our conclusion on scenario trees is equivalent to the one in the work by Shapiro (2006) and has been widely noticed by practitioners. However, in the second part, we show using the same example that, by mixing Stochastic Programming and Dynamic Programming ideas, the particle method described by Carpentier et al (2009) copes with this numerical difficulty: the number of scenarios needed to obtain a given precision now does not depend on the time horizon. Unfortunately, we also observe that serious obstacles still arise from the system state space dimension

Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules

The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electricity derivative contracts. In this paper, we propose a multistage stochastic mean-variance optimisation model for the management of such a portfolio. To reduce computational complexity, we perform two approximations: stage-aggregation and linear decision rules (LDR). The LDR approach consists of restricting the set of decision rules to those affine in the history of the random parameters. When applied to mean-variance optimisation models, it leads to convex quadratic programs. Since their size grows typically only polynomially with the number of periods, they can be efficiently solved. Our numerical experiments illustrate the value of adaptivity inherent in the LDR method and its potential for enabling scalability to problems with many periods.OR in energy, electricity portfolio management, stochastic programming, risk management, linear decision rules