968 research outputs found
New bounds for truthful scheduling on two unrelated selfish machines
We consider the minimum makespan problem for tasks and two unrelated
parallel selfish machines. Let 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 formulation for , as well as upper and lower bounds on
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 for small
. In particular, we obtain almost tight bounds for showing that
.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
. Our main result shows nearly sharp bounds on the mixing
time of the dynamics on the complete tree with n vertices for
colors with constant C. For we prove the mixing time is
. On the other side, for the mixing time
experiences a slowing down; in particular, we prove it is
and . 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 ,
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
, the hard-core model can be equivalently defined as a broadcasting process
with a parameter which is the positive solution to
, and vertices are occupied with probability
when their parent is unoccupied. This broadcasting process
undergoes a phase transition between the so-called reconstruction and
non-reconstruction regions at . 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 -ary trees of height and
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 , for with any boundary condition, the relaxation time is
and . In contrast, above the reconstruction
threshold we show that for every , for ,
the relaxation time on with any boundary condition is , and we construct a boundary condition where the relaxation time is
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
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