88 research outputs found
Polynomial Linear Programming with Gaussian Belief Propagation
Interior-point methods are state-of-the-art algorithms for solving linear
programming (LP) problems with polynomial complexity. Specifically, the
Karmarkar algorithm typically solves LP problems in time O(n^{3.5}), where
is the number of unknown variables. Karmarkar's celebrated algorithm is known
to be an instance of the log-barrier method using the Newton iteration. The
main computational overhead of this method is in inverting the Hessian matrix
of the Newton iteration. In this contribution, we propose the application of
the Gaussian belief propagation (GaBP) algorithm as part of an efficient and
distributed LP solver that exploits the sparse and symmetric structure of the
Hessian matrix and avoids the need for direct matrix inversion. This approach
shifts the computation from realm of linear algebra to that of probabilistic
inference on graphical models, thus applying GaBP as an efficient inference
engine. Our construction is general and can be used for any interior-point
algorithm which uses the Newton method, including non-linear program solvers.Comment: 7 pages, 1 figure, appeared in the 46th Annual Allerton Conference on
Communication, Control and Computing, Allerton House, Illinois, Sept. 200
Gaussian Belief with dynamic data and in dynamic network
In this paper we analyse Belief Propagation over a Gaussian model in a
dynamic environment. Recently, this has been proposed as a method to average
local measurement values by a distributed protocol ("Consensus Propagation",
Moallemi & Van Roy, 2006), where the average is available for read-out at every
single node. In the case that the underlying network is constant but the values
to be averaged fluctuate ("dynamic data"), convergence and accuracy are
determined by the spectral properties of an associated Ruelle-Perron-Frobenius
operator. For Gaussian models on Erdos-Renyi graphs, numerical computation
points to a spectral gap remaining in the large-size limit, implying
exceptionally good scalability. In a model where the underlying network also
fluctuates ("dynamic network"), averaging is more effective than in the dynamic
data case. Altogether, this implies very good performance of these methods in
very large systems, and opens a new field of statistical physics of large (and
dynamic) information systems.Comment: 5 pages, 7 figure
Double-Edge Factor Graphs: Definition, Properties, and Examples
Some of the most interesting quantities associated with a factor graph are
its marginals and its partition sum. For factor graphs \emph{without cycles}
and moderate message update complexities, the sum-product algorithm (SPA) can
be used to efficiently compute these quantities exactly. Moreover, for various
classes of factor graphs \emph{with cycles}, the SPA has been successfully
applied to efficiently compute good approximations to these quantities. Note
that in the case of factor graphs with cycles, the local functions are usually
non-negative real-valued functions. In this paper we introduce a class of
factor graphs, called double-edge factor graphs (DE-FGs), which allow local
functions to be complex-valued and only require them, in some suitable sense,
to be positive semi-definite. We discuss various properties of the SPA when
running it on DE-FGs and we show promising numerical results for various
example DE-FGs, some of which have connections to quantum information
processing.Comment: Submitte
Distributed Large Scale Network Utility Maximization
Recent work by Zymnis et al. proposes an efficient primal-dual interior-point
method, using a truncated Newton method, for solving the network utility
maximization (NUM) problem. This method has shown superior performance relative
to the traditional dual-decomposition approach. Other recent work by Bickson et
al. shows how to compute efficiently and distributively the Newton step, which
is the main computational bottleneck of the Newton method, utilizing the
Gaussian belief propagation algorithm.
In the current work, we combine both approaches to create an efficient
distributed algorithm for solving the NUM problem. Unlike the work of Zymnis,
which uses a centralized approach, our new algorithm is easily distributed.
Using an empirical evaluation we show that our new method outperforms previous
approaches, including the truncated Newton method and dual-decomposition
methods. As an additional contribution, this is the first work that evaluates
the performance of the Gaussian belief propagation algorithm vs. the
preconditioned conjugate gradient method, for a large scale problem.Comment: In the International Symposium on Information Theory (ISIT) 200
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