12,413 research outputs found
Sequential Randomized Algorithms for Convex Optimization in the Presence of Uncertainty
In this paper, we propose new sequential randomized algorithms for convex
optimization problems in the presence of uncertainty. A rigorous analysis of
the theoretical properties of the solutions obtained by these algorithms, for
full constraint satisfaction and partial constraint satisfaction, respectively,
is given. The proposed methods allow to enlarge the applicability of the
existing randomized methods to real-world applications involving a large number
of design variables. Since the proposed approach does not provide a priori
bounds on the sample complexity, extensive numerical simulations, dealing with
an application to hard-disk drive servo design, are provided. These simulations
testify the goodness of the proposed solution.Comment: 18 pages, Submitted for publication to IEEE Transactions on Automatic
Contro
Lift & Project Systems Performing on the Partial-Vertex-Cover Polytope
We study integrality gap (IG) lower bounds on strong LP and SDP relaxations
derived by the Sherali-Adams (SA), Lovasz-Schrijver-SDP (LS+), and
Sherali-Adams-SDP (SA+) lift-and-project (L&P) systems for the
t-Partial-Vertex-Cover (t-PVC) problem, a variation of the classic Vertex-Cover
problem in which only t edges need to be covered. t-PVC admits a
2-approximation using various algorithmic techniques, all relying on a natural
LP relaxation. Starting from this LP relaxation, our main results assert that
for every epsilon > 0, level-Theta(n) LPs or SDPs derived by all known L&P
systems that have been used for positive algorithmic results (but the Lasserre
hierarchy) have IGs at least (1-epsilon)n/t, where n is the number of vertices
of the input graph. Our lower bounds are nearly tight.
Our results show that restricted yet powerful models of computation derived
by many L&P systems fail to witness c-approximate solutions to t-PVC for any
constant c, and for t = O(n). This is one of the very few known examples of an
intractable combinatorial optimization problem for which LP-based algorithms
induce a constant approximation ratio, still lift-and-project LP and SDP
tightenings of the same LP have unbounded IGs.
We also show that the SDP that has given the best algorithm known for t-PVC
has integrality gap n/t on instances that can be solved by the level-1 LP
relaxation derived by the LS system. This constitutes another rare phenomenon
where (even in specific instances) a static LP outperforms an SDP that has been
used for the best approximation guarantee for the problem at hand. Finally, one
of our main contributions is that we make explicit of a new and simple
methodology of constructing solutions to LP relaxations that almost trivially
satisfy constraints derived by all SDP L&P systems known to be useful for
algorithmic positive results (except the La system).Comment: 26 page
Data-driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations
We consider stochastic programs where the distribution of the uncertain
parameters is only observable through a finite training dataset. Using the
Wasserstein metric, we construct a ball in the space of (multivariate and
non-discrete) probability distributions centered at the uniform distribution on
the training samples, and we seek decisions that perform best in view of the
worst-case distribution within this Wasserstein ball. The state-of-the-art
methods for solving the resulting distributionally robust optimization problems
rely on global optimization techniques, which quickly become computationally
excruciating. In this paper we demonstrate that, under mild assumptions, the
distributionally robust optimization problems over Wasserstein balls can in
fact be reformulated as finite convex programs---in many interesting cases even
as tractable linear programs. Leveraging recent measure concentration results,
we also show that their solutions enjoy powerful finite-sample performance
guarantees. Our theoretical results are exemplified in mean-risk portfolio
optimization as well as uncertainty quantification.Comment: 42 pages, 10 figure
Optimal Uncertainty Quantification
We propose a rigorous framework for Uncertainty Quantification (UQ) in which
the UQ objectives and the assumptions/information set are brought to the
forefront. This framework, which we call \emph{Optimal Uncertainty
Quantification} (OUQ), is based on the observation that, given a set of
assumptions and information about the problem, there exist optimal bounds on
uncertainties: these are obtained as values of well-defined optimization
problems corresponding to extremizing probabilities of failure, or of
deviations, subject to the constraints imposed by the scenarios compatible with
the assumptions and information. In particular, this framework does not
implicitly impose inappropriate assumptions, nor does it repudiate relevant
information. Although OUQ optimization problems are extremely large, we show
that under general conditions they have finite-dimensional reductions. As an
application, we develop \emph{Optimal Concentration Inequalities} (OCI) of
Hoeffding and McDiarmid type. Surprisingly, these results show that
uncertainties in input parameters, which propagate to output uncertainties in
the classical sensitivity analysis paradigm, may fail to do so if the transfer
functions (or probability distributions) are imperfectly known. We show how,
for hierarchical structures, this phenomenon may lead to the non-propagation of
uncertainties or information across scales. In addition, a general algorithmic
framework is developed for OUQ and is tested on the Caltech surrogate model for
hypervelocity impact and on the seismic safety assessment of truss structures,
suggesting the feasibility of the framework for important complex systems. The
introduction of this paper provides both an overview of the paper and a
self-contained mini-tutorial about basic concepts and issues of UQ.Comment: 90 pages. Accepted for publication in SIAM Review (Expository
Research Papers). See SIAM Review for higher quality figure
Generalized decomposition and cross entropy methods for many-objective optimization
Decomposition-based algorithms for multi-objective
optimization problems have increased in popularity in the past decade. Although their convergence to the Pareto optimal front (PF) is in several instances superior to that of Pareto-based algorithms, the problem of selecting a way to distribute or guide these solutions in a high-dimensional space has not been explored. In this work, we introduce a novel concept which we call generalized
decomposition. Generalized decomposition provides a framework with which the decision maker (DM) can guide the underlying evolutionary algorithm toward specific regions of interest or the entire Pareto front with the desired distribution of Pareto optimal solutions. Additionally, it is shown that generalized decomposition simplifies many-objective problems by unifying the three performance objectives of multi-objective evolutionary algorithms – convergence to the PF, evenly distributed Pareto
optimal solutions and coverage of the entire front – to only one, that of convergence. A framework, established on generalized decomposition, and an estimation of distribution algorithm (EDA) based on low-order statistics, namely the cross-entropy method (CE), is created to illustrate the benefits of the proposed concept for many objective problems. This choice of EDA also enables
the test of the hypothesis that low-order statistics based EDAs can have comparable performance to more elaborate EDAs
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