Risk Minimization, Regret Minimization and Progressive Hedging Algorithms

This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship between risk envelopes and regret envelopes is established by using the Lagrangian duality theory. Such a relationship opens a door to a decomposition scheme, called progressive hedging, for solving multistage risk minimization and regret minimization problems. In particular, the classical progressive hedging algorithm is modified in order to handle a new class of linkage constraints that arises from reformulations and other applications of risk and regret minimization problems. Numerical results are provided to show the efficiency of the progressive hedging algorithms.Comment: 21 pages, 2 figure

Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative filtering. Although specific instances can often be solved with specialized algorithms, the general affine rank minimization problem is NP-hard. In this paper, we show that if a certain restricted isometry property holds for the linear transformation defining the constraints, the minimum rank solution can be recovered by solving a convex optimization problem, namely the minimization of the nuclear norm over the given affine space. We present several random ensembles of equations where the restricted isometry property holds with overwhelming probability. The techniques used in our analysis have strong parallels in the compressed sensing framework. We discuss how affine rank minimization generalizes this pre-existing concept and outline a dictionary relating concepts from cardinality minimization to those of rank minimization

Automata Minimization: a Functorial Approach

In this paper we regard languages and their acceptors - such as deterministic or weighted automata, transducers, or monoids - as functors from input categories that specify the type of the languages and of the machines to categories that specify the type of outputs. Our results are as follows: A) We provide sufficient conditions on the output category so that minimization of the corresponding automata is guaranteed. B) We show how to lift adjunctions between the categories for output values to adjunctions between categories of automata. C) We show how this framework can be instantiated to unify several phenomena in automata theory, starting with determinization, minimization and syntactic algebras. We provide explanations of Choffrut's minimization algorithm for subsequential transducers and of Brzozowski's minimization algorithm in this setting.Comment: journal version of the CALCO 2017 paper arXiv:1711.0306