New bounds for truthful scheduling on two unrelated selfish machines

We consider the minimum makespan problem for $n$ tasks and two unrelated parallel selfish machines. Let $R_n$ be the best approximation ratio of randomized monotone scale-free algorithms. This class contains the most efficient algorithms known for truthful scheduling on two machines. We propose a new $Min-Max$ formulation for $R_n$, as well as upper and lower bounds on $R_n$ based on this formulation. For the lower bound, we exploit pointwise approximations of cumulative distribution functions (CDFs). For the upper bound, we construct randomized algorithms using distributions with piecewise rational CDFs. Our method improves upon the existing bounds on $R_n$ for small $n$. In particular, we obtain almost tight bounds for $n=2$ showing that $|R_2-1.505996|<10^{-6}$.Comment: 28 pages, 3 tables, 1 figure. Theory Comput Syst (2019

Using Column Generation to Solve Extensions to the Markowitz Model

We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such type of problems using a method similar to column generation. In this scheme, the original problem is restricted to a subset of the assets resulting in a master convex quadratic problem. Then the dual information of the master problem is used in a sub-problem to propose more assets to consider. We also consider other extensions to the Markowitz model to diversify the portfolio selection within the given intervals for active weights.Comment: 16 pages, 3 figures, 2 tables, 1 pseudocod

Phase transition for the mixing time of the Glauber dynamics for coloring regular trees

We prove that the mixing time of the Glauber dynamics for random k-colorings of the complete tree with branching factor b undergoes a phase transition at $k=b(1+o_b(1))/\ln{b}$. Our main result shows nearly sharp bounds on the mixing time of the dynamics on the complete tree with n vertices for $k=Cb/\ln{b}$ colors with constant C. For $C\geq1$ we prove the mixing time is $O(n^{1+o_b(1)}\ln{n})$. On the other side, for $C<1$ the mixing time experiences a slowing down; in particular, we prove it is $O(n^{1/C+o_b(1)}\ln{n})$ and $\Omega(n^{1/C-o_b(1)})$. The critical point C=1 is interesting since it coincides (at least up to first order) with the so-called reconstruction threshold which was recently established by Sly. The reconstruction threshold has been of considerable interest recently since it appears to have close connections to the efficiency of certain local algorithms, and this work was inspired by our attempt to understand these connections in this particular setting.Comment: Published in at http://dx.doi.org/10.1214/11-AAP833 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Phase Transition for Glauber Dynamics for Independent Sets on Regular Trees

We study the effect of boundary conditions on the relaxation time of the Glauber dynamics for the hard-core model on the tree. The hard-core model is defined on the set of independent sets weighted by a parameter $\lambda$, called the activity. The Glauber dynamics is the Markov chain that updates a randomly chosen vertex in each step. On the infinite tree with branching factor $b$, the hard-core model can be equivalently defined as a broadcasting process with a parameter $\omega$ which is the positive solution to $\lambda=\omega(1+\omega)^b$, and vertices are occupied with probability $\omega/(1+\omega)$ when their parent is unoccupied. This broadcasting process undergoes a phase transition between the so-called reconstruction and non-reconstruction regions at $\omega_r\approx \ln{b}/b$. Reconstruction has been of considerable interest recently since it appears to be intimately connected to the efficiency of local algorithms on locally tree-like graphs, such as sparse random graphs. In this paper we show that the relaxation time of the Glauber dynamics on regular $b$-ary trees $T_h$ of height $h$ and $n$ vertices, undergoes a phase transition around the reconstruction threshold. In particular, we construct a boundary condition for which the relaxation time slows down at the reconstruction threshold. More precisely, for any $\omega \le \ln{b}/b$, for $T_h$ with any boundary condition, the relaxation time is $\Omega(n)$ and $O(n^{1+o_b(1)})$. In contrast, above the reconstruction threshold we show that for every $\delta>0$, for $\omega=(1+\delta)\ln{b}/b$, the relaxation time on $T_h$ with any boundary condition is $O(n^{1+\delta + o_b(1)})$, and we construct a boundary condition where the relaxation time is $\Omega(n^{1+\delta/2 - o_b(1)})$

Positive semidefinite approximations to the cone of copositive kernels

It has been shown that the maximum stable set problem in some infinite graphs, and the kissing number problem in particular, reduces to a minimization problem over the cone of copositive kernels. Optimizing over this infinite dimensional cone is not tractable, and approximations of this cone have been hardly considered in literature. We propose two convergent hierarchies of subsets of copositive kernels, in terms of non-negative and positive definite kernels. We use these hierarchies and representation theorems for invariant positive definite kernels on the sphere to construct new SDP-based bounds on the kissing number. This results in fast-to-compute upper bounds on the kissing number that lie between the currently existing LP and SDP bounds.Comment: 29 pages, 2 tables, 1 figur

Static Hedging of Weather and Price Risks in Electricity Markets

We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather indexes. Our model considers an ER who is intermediary in a regulated electricity market. ERs buy a fixed quantity of electricity at a variable cost and must serve a variable demand at a fixed cost. Thus ERs are subject to both price and quantity risks. To hedge such risks, an ER could construct a portfolio of financial instruments based on price and weather indexes. We construct the closed form solution for the optimal portfolio for the mean-Var model in the discrete setting. Our model does not make any distributional assumption

Copositive certificates of non-negativity for polynomials on semialgebraic sets

A certificate of non-negativity is a way to write a given function so that its non-negativity becomes evident. Certificates of non-negativity are fundamental tools in optimization, and they underlie powerful algorithmic techniques for various types of optimization problems. We propose certificates of non-negativity of polynomials based on copositive polynomials. The certificates we obtain are valid for generic semialgebraic sets and have a fixed small degree, while commonly used sums-of-squares (SOS) certificates are guaranteed to be valid only for compact semialgebraic sets and could have large degree. Optimization over the cone of copositive polynomials is not tractable, but this cone has been well studied. The main benefit of our copositive certificates of non-negativity is their ability to translate results known exclusively for copositive polynomials to more general semialgebraic sets. In particular, we show how to use copositive polynomials to construct structured (e.g., sparse) certificates of non-negativity, even for unstructured semialgebraic sets. Last but not least, copositive certificates can be used to obtain not only hierarchies of tractable lower bounds, but also hierarchies of tractable upper bounds for polynomial optimization problems.Comment: 27 pages, 1 figur