Solving generic nonarchimedean semidefinite programs using stochastic game algorithms

A general issue in computational optimization is to develop combinatorial algorithms for semidefinite programming. We address this issue when the base field is nonarchimedean. We provide a solution for a class of semidefinite feasibility problems given by generic matrices. Our approach is based on tropical geometry. It relies on tropical spectrahedra, which are defined as the images by the valuation of nonarchimedean spectrahedra. We establish a correspondence between generic tropical spectrahedra and zero-sum stochastic games with perfect information. The latter have been well studied in algorithmic game theory. This allows us to solve nonarchimedean semidefinite feasibility problems using algorithms for stochastic games. These algorithms are of a combinatorial nature and work for large instances.Comment: v1: 25 pages, 4 figures; v2: 27 pages, 4 figures, minor revisions + benchmarks added; v3: 30 pages, 6 figures, generalization to non-Metzler sign patterns + some results have been replaced by references to the companion work arXiv:1610.0674

Computing the vertices of tropical polyhedra using directed hypergraphs

We establish a characterization of the vertices of a tropical polyhedron defined as the intersection of finitely many half-spaces. We show that a point is a vertex if, and only if, a directed hypergraph, constructed from the subdifferentials of the active constraints at this point, admits a unique strongly connected component that is maximal with respect to the reachability relation (all the other strongly connected components have access to it). This property can be checked in almost linear-time. This allows us to develop a tropical analogue of the classical double description method, which computes a minimal internal representation (in terms of vertices) of a polyhedron defined externally (by half-spaces or hyperplanes). We provide theoretical worst case complexity bounds and report extensive experimental tests performed using the library TPLib, showing that this method outperforms the other existing approaches.Comment: 29 pages (A4), 10 figures, 1 table; v2: Improved algorithm in section 5 (using directed hypergraphs), detailed appendix; v3: major revision of the article (adding tropical hyperplanes, alternative method by arrangements, etc); v4: minor revisio

Tropical analogues of a Dempe-Franke bilevel optimization problem

We consider the tropical analogues of a particular bilevel optimization problem studied by Dempe and Franke and suggest some methods of solving these new tropical bilevel optimization problems. In particular, it is found that the algorithm developed by Dempe and Franke can be formulated and its validity can be proved in a more general setting, which includes the tropical bilevel optimization problems in question. We also show how the feasible set can be decomposed into a finite number of tropical polyhedra, to which the tropical linear programming solvers can be applied.Comment: 11 pages, 1 figur

Tropical Fourier-Motzkin elimination, with an application to real-time verification

We introduce a generalization of tropical polyhedra able to express both strict and non-strict inequalities. Such inequalities are handled by means of a semiring of germs (encoding infinitesimal perturbations). We develop a tropical analogue of Fourier-Motzkin elimination from which we derive geometrical properties of these polyhedra. In particular, we show that they coincide with the tropically convex union of (non-necessarily closed) cells that are convex both classically and tropically. We also prove that the redundant inequalities produced when performing successive elimination steps can be dynamically deleted by reduction to mean payoff game problems. As a complement, we provide a coarser (polynomial time) deletion procedure which is enough to arrive at a simply exponential bound for the total execution time. These algorithms are illustrated by an application to real-time systems (reachability analysis of timed automata).Comment: 29 pages, 8 figure

Minimal half-spaces and external representation of tropical polyhedra

We give a characterization of the minimal tropical half-spaces containing a given tropical polyhedron, from which we derive a counter example showing that the number of such minimal half-spaces can be infinite, contradicting some statements which appeared in the tropical literature, and disproving a conjecture of F. Block and J. Yu. We also establish an analogue of the Minkowski-Weyl theorem, showing that a tropical polyhedron can be equivalently represented internally (in terms of extreme points and rays) or externally (in terms of half-spaces containing it). A canonical external representation of a polyhedron turns out to be provided by the extreme elements of its tropical polar. We characterize these extreme elements, showing in particular that they are determined by support vectors.Comment: 19 pages, 4 figures, example added with a new figure, figures improved, references update

Bayesian Networks for Max-linear Models

We study Bayesian networks based on max-linear structural equations as introduced in Gissibl and Kl\"uppelberg [16] and provide a summary of their independence properties. In particular we emphasize that distributions for such networks are generally not faithful to the independence model determined by their associated directed acyclic graph. In addition, we consider some of the basic issues of estimation and discuss generalized maximum likelihood estimation of the coefficients, using the concept of a generalized likelihood ratio for non-dominated families as introduced by Kiefer and Wolfowitz [21]. Finally we argue that the structure of a minimal network asymptotically can be identified completely from observational data.Comment: 18 page

Complete solution of a constrained tropical optimization problem with application to location analysis

We present a multidimensional optimization problem that is formulated and solved in the tropical mathematics setting. The problem consists of minimizing a nonlinear objective function defined on vectors over an idempotent semifield by means of a conjugate transposition operator, subject to constraints in the form of linear vector inequalities. A complete direct solution to the problem under fairly general assumptions is given in a compact vector form suitable for both further analysis and practical implementation. We apply the result to solve a multidimensional minimax single facility location problem with Chebyshev distance and with inequality constraints imposed on the feasible location area.Comment: 20 pages, 3 figure

Cyclic projectors and separation theorems in idempotent convex geometry

Semimodules over idempotent semirings like the max-plus or tropical semiring have much in common with convex cones. This analogy is particularly apparent in the case of subsemimodules of the n-fold cartesian product of the max-plus semiring it is known that one can separate a vector from a closed subsemimodule that does not contain it. We establish here a more general separation theorem, which applies to any finite collection of closed semimodules with a trivial intersection. In order to prove this theorem, we investigate the spectral properties of certain nonlinear operators called here idempotent cyclic projectors. These are idempotent analogues of the cyclic nearest-point projections known in convex analysis. The spectrum of idempotent cyclic projectors is characterized in terms of a suitable extension of Hilbert's projective metric. We deduce as a corollary of our main results the idempotent analogue of Helly's theorem.Comment: 20 pages, 1 figur

The level set method for the two-sided eigenproblem

We consider the max-plus analogue of the eigenproblem for matrix pencils Ax=lambda Bx. We show that the spectrum of (A,B) (i.e., the set of possible values of lambda), which is a finite union of intervals, can be computed in pseudo-polynomial number of operations, by a (pseudo-polynomial) number of calls to an oracle that computes the value of a mean payoff game. The proof relies on the introduction of a spectral function, which we interpret in terms of the least Chebyshev distance between Ax and lambda Bx. The spectrum is obtained as the zero level set of this function.Comment: 34 pages, 4 figures. Changes with respect to the previous version: we explain relation to mean-payoff games and discrete event systems, and show that the reconstruction of spectrum is pseudopolynomia