56,184 research outputs found
Particle algorithms for optimization on binary spaces
We discuss a unified approach to stochastic optimization of pseudo-Boolean
objective functions based on particle methods, including the cross-entropy
method and simulated annealing as special cases. We point out the need for
auxiliary sampling distributions, that is parametric families on binary spaces,
which are able to reproduce complex dependency structures, and illustrate their
usefulness in our numerical experiments. We provide numerical evidence that
particle-driven optimization algorithms based on parametric families yield
superior results on strongly multi-modal optimization problems while local
search heuristics outperform them on easier problems
Data-driven Inverse Optimization with Imperfect Information
In data-driven inverse optimization an observer aims to learn the preferences
of an agent who solves a parametric optimization problem depending on an
exogenous signal. Thus, the observer seeks the agent's objective function that
best explains a historical sequence of signals and corresponding optimal
actions. We focus here on situations where the observer has imperfect
information, that is, where the agent's true objective function is not
contained in the search space of candidate objectives, where the agent suffers
from bounded rationality or implementation errors, or where the observed
signal-response pairs are corrupted by measurement noise. We formalize this
inverse optimization problem as a distributionally robust program minimizing
the worst-case risk that the {\em predicted} decision ({\em i.e.}, the decision
implied by a particular candidate objective) differs from the agent's {\em
actual} response to a random signal. We show that our framework offers rigorous
out-of-sample guarantees for different loss functions used to measure
prediction errors and that the emerging inverse optimization problems can be
exactly reformulated as (or safely approximated by) tractable convex programs
when a new suboptimality loss function is used. We show through extensive
numerical tests that the proposed distributionally robust approach to inverse
optimization attains often better out-of-sample performance than the
state-of-the-art approaches
On the Design of LQR Kernels for Efficient Controller Learning
Finding optimal feedback controllers for nonlinear dynamic systems from data
is hard. Recently, Bayesian optimization (BO) has been proposed as a powerful
framework for direct controller tuning from experimental trials. For selecting
the next query point and finding the global optimum, BO relies on a
probabilistic description of the latent objective function, typically a
Gaussian process (GP). As is shown herein, GPs with a common kernel choice can,
however, lead to poor learning outcomes on standard quadratic control problems.
For a first-order system, we construct two kernels that specifically leverage
the structure of the well-known Linear Quadratic Regulator (LQR), yet retain
the flexibility of Bayesian nonparametric learning. Simulations of uncertain
linear and nonlinear systems demonstrate that the LQR kernels yield superior
learning performance.Comment: 8 pages, 5 figures, to appear in 56th IEEE Conference on Decision and
Control (CDC 2017
An improved multi-parametric programming algorithm for flux balance analysis of metabolic networks
Flux balance analysis has proven an effective tool for analyzing metabolic
networks. In flux balance analysis, reaction rates and optimal pathways are
ascertained by solving a linear program, in which the growth rate is maximized
subject to mass-balance constraints. A variety of cell functions in response to
environmental stimuli can be quantified using flux balance analysis by
parameterizing the linear program with respect to extracellular conditions.
However, for most large, genome-scale metabolic networks of practical interest,
the resulting parametric problem has multiple and highly degenerate optimal
solutions, which are computationally challenging to handle. An improved
multi-parametric programming algorithm based on active-set methods is
introduced in this paper to overcome these computational difficulties.
Degeneracy and multiplicity are handled, respectively, by introducing
generalized inverses and auxiliary objective functions into the formulation of
the optimality conditions. These improvements are especially effective for
metabolic networks because their stoichiometry matrices are generally sparse;
thus, fast and efficient algorithms from sparse linear algebra can be leveraged
to compute generalized inverses and null-space bases. We illustrate the
application of our algorithm to flux balance analysis of metabolic networks by
studying a reduced metabolic model of Corynebacterium glutamicum and a
genome-scale model of Escherichia coli. We then demonstrate how the critical
regions resulting from these studies can be associated with optimal metabolic
modes and discuss the physical relevance of optimal pathways arising from
various auxiliary objective functions. Achieving more than five-fold
improvement in computational speed over existing multi-parametric programming
tools, the proposed algorithm proves promising in handling genome-scale
metabolic models.Comment: Accepted in J. Optim. Theory Appl. First draft was submitted on
August 4th, 201
An Exponential Lower Bound on the Complexity of Regularization Paths
For a variety of regularized optimization problems in machine learning,
algorithms computing the entire solution path have been developed recently.
Most of these methods are quadratic programs that are parameterized by a single
parameter, as for example the Support Vector Machine (SVM). Solution path
algorithms do not only compute the solution for one particular value of the
regularization parameter but the entire path of solutions, making the selection
of an optimal parameter much easier.
It has been assumed that these piecewise linear solution paths have only
linear complexity, i.e. linearly many bends. We prove that for the support
vector machine this complexity can be exponential in the number of training
points in the worst case. More strongly, we construct a single instance of n
input points in d dimensions for an SVM such that at least \Theta(2^{n/2}) =
\Theta(2^d) many distinct subsets of support vectors occur as the
regularization parameter changes.Comment: Journal version, 28 Pages, 5 Figure
OSQP: An Operator Splitting Solver for Quadratic Programs
We present a general-purpose solver for convex quadratic programs based on
the alternating direction method of multipliers, employing a novel operator
splitting technique that requires the solution of a quasi-definite linear
system with the same coefficient matrix at almost every iteration. Our
algorithm is very robust, placing no requirements on the problem data such as
positive definiteness of the objective function or linear independence of the
constraint functions. It can be configured to be division-free once an initial
matrix factorization is carried out, making it suitable for real-time
applications in embedded systems. In addition, our technique is the first
operator splitting method for quadratic programs able to reliably detect primal
and dual infeasible problems from the algorithm iterates. The method also
supports factorization caching and warm starting, making it particularly
efficient when solving parametrized problems arising in finance, control, and
machine learning. Our open-source C implementation OSQP has a small footprint,
is library-free, and has been extensively tested on many problem instances from
a wide variety of application areas. It is typically ten times faster than
competing interior-point methods, and sometimes much more when factorization
caching or warm start is used. OSQP has already shown a large impact with tens
of thousands of users both in academia and in large corporations
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