Mixed-Integer Convex Nonlinear Optimization with Gradient-Boosted Trees Embedded

Decision trees usefully represent sparse, high dimensional and noisy data. Having learned a function from this data, we may want to thereafter integrate the function into a larger decision-making problem, e.g., for picking the best chemical process catalyst. We study a large-scale, industrially-relevant mixed-integer nonlinear nonconvex optimization problem involving both gradient-boosted trees and penalty functions mitigating risk. This mixed-integer optimization problem with convex penalty terms broadly applies to optimizing pre-trained regression tree models. Decision makers may wish to optimize discrete models to repurpose legacy predictive models, or they may wish to optimize a discrete model that particularly well-represents a data set. We develop several heuristic methods to find feasible solutions, and an exact, branch-and-bound algorithm leveraging structural properties of the gradient-boosted trees and penalty functions. We computationally test our methods on concrete mixture design instance and a chemical catalysis industrial instance

Revisiting nested group testing procedures: new results, comparisons, and robustness

Group testing has its origin in the identification of syphilis in the US army during World War II. Much of the theoretical framework of group testing was developed starting in the late 1950s, with continued work into the 1990s. Recently, with the advent of new laboratory and genetic technologies, there has been an increasing interest in group testing designs for cost saving purposes. In this paper, we compare different nested designs, including Dorfman, Sterrett and an optimal nested procedure obtained through dynamic programming. To elucidate these comparisons, we develop closed-form expressions for the optimal Sterrett procedure and provide a concise review of the prior literature for other commonly used procedures. We consider designs where the prevalence of disease is known as well as investigate the robustness of these procedures when it is incorrectly assumed. This article provides a technical presentation that will be of interest to researchers as well as from a pedagogical perspective. Supplementary material for this article is available online.Comment: Submitted for publication on May 3, 2016. Revised versio

Improving Table Compression with Combinatorial Optimization

We study the problem of compressing massive tables within the partition-training paradigm introduced by Buchsbaum et al. [SODA'00], in which a table is partitioned by an off-line training procedure into disjoint intervals of columns, each of which is compressed separately by a standard, on-line compressor like gzip. We provide a new theory that unifies previous experimental observations on partitioning and heuristic observations on column permutation, all of which are used to improve compression rates. Based on the theory, we devise the first on-line training algorithms for table compression, which can be applied to individual files, not just continuously operating sources; and also a new, off-line training algorithm, based on a link to the asymmetric traveling salesman problem, which improves on prior work by rearranging columns prior to partitioning. We demonstrate these results experimentally. On various test files, the on-line algorithms provide 35-55% improvement over gzip with negligible slowdown; the off-line reordering provides up to 20% further improvement over partitioning alone. We also show that a variation of the table compression problem is MAX-SNP hard.Comment: 22 pages, 2 figures, 5 tables, 23 references. Extended abstract appears in Proc. 13th ACM-SIAM SODA, pp. 213-222, 200

Scheduling reentrant jobs on parallel machines with a remote server

This paper explores a specific combinatorial problem relating to re-entrant jobs on parallel primary machines, with a remote server machine. A middle operation is required by each job on the server before it returns to its primary processing machine. The problem is inspired by the logistics of a semi-automated micro-biology laboratory. The testing programme in the laboratory corresponds roughly to a hybrid flowshop, whose bottleneck stage is the subject of study. We demonstrate the NP-hard nature of the problem, and provide various structural features. A heuristic is developed and tested on randomly generated benchmark data. Results indicate solutions reliably within 1.5% of optimum. We also provide a greedy 2-approximation algorithm. Test on real-life data from the microbiology laboratory indicate a 20% saving relative to current practice, which is more than can be achieved currently with 3 instead of 2 people staffing the primary machines

BriskStream: Scaling Data Stream Processing on Shared-Memory Multicore Architectures

We introduce BriskStream, an in-memory data stream processing system (DSPSs) specifically designed for modern shared-memory multicore architectures. BriskStream's key contribution is an execution plan optimization paradigm, namely RLAS, which takes relative-location (i.e., NUMA distance) of each pair of producer-consumer operators into consideration. We propose a branch and bound based approach with three heuristics to resolve the resulting nontrivial optimization problem. The experimental evaluations demonstrate that BriskStream yields much higher throughput and better scalability than existing DSPSs on multi-core architectures when processing different types of workloads.Comment: To appear in SIGMOD'1

Let's Make Block Coordinate Descent Go Fast: Faster Greedy Rules, Message-Passing, Active-Set Complexity, and Superlinear Convergence

Block coordinate descent (BCD) methods are widely-used for large-scale numerical optimization because of their cheap iteration costs, low memory requirements, amenability to parallelization, and ability to exploit problem structure. Three main algorithmic choices influence the performance of BCD methods: the block partitioning strategy, the block selection rule, and the block update rule. In this paper we explore all three of these building blocks and propose variations for each that can lead to significantly faster BCD methods. We (i) propose new greedy block-selection strategies that guarantee more progress per iteration than the Gauss-Southwell rule; (ii) explore practical issues like how to implement the new rules when using "variable" blocks; (iii) explore the use of message-passing to compute matrix or Newton updates efficiently on huge blocks for problems with a sparse dependency between variables; and (iv) consider optimal active manifold identification, which leads to bounds on the "active set complexity" of BCD methods and leads to superlinear convergence for certain problems with sparse solutions (and in some cases finite termination at an optimal solution). We support all of our findings with numerical results for the classic machine learning problems of least squares, logistic regression, multi-class logistic regression, label propagation, and L1-regularization