论文标题
改进的切割平面方法,用于凸优化,凸连接游戏及其应用
An Improved Cutting Plane Method for Convex Optimization, Convex-Concave Games and its Applications
论文作者
论文摘要
给定凸套的分离甲骨文$ k \ subset \ mathbb {r}^n $,其中包含在一盒半径$ r $中,目标是要么计算$ k $中的点,要么证明$ k $不包含半径radius $ε$的球。我们提出了一种新的切割平面算法,该算法使用Oracle的最佳$ O(n \ log(κ))$评估和每次评估的额外$ O(n^2)$时间,其中$κ= nr/ε$。 $ \ bullet $这可以改善Vaidya的$ O(\ text {so} \ cdot n \ log(κ) + n^{ω + 1} \ log(κ))$ time算法[vaidya,focs 1989a]在$ n $中,$ n $ a $和ω<2.3373 $ω333333333333333333333333333333333333333333333333333333333333.33$ exportional $ \ text {so} $是甲骨文评估的时候。 $ \ bullet $这可以改善Lee-Sidford-wong的$ o(\ text {so} \ cdot n \ log(κ) + n^3 \ log^{o(1)}(κ))$ time algorithm [Lee,Sidford and Wong,focs,focs,focs 2015],以$κ$κ$κ$κ$。 对于许多重要的经济学应用程序,$κ=ω(\ exp(n))$,这会导致$ \ log(κ)$和$ \ mathrm {poly}(\ log(κ))$之间的显着差异。我们还提供证据表明,每次评估的$ n^2 $时间无法改善,因此我们的运行时间是最佳的。 先前的切割平面方法的瓶颈是计算杠杆分数,这是对过去约束的相对重要性的量度。我们的结果是通过用于杠杆得分维持的新型多层数据结构来实现的,这是多种技术的复杂组合,例如随机投影,批处理的低级别更新,逆维护,多项式插值和快速的矩形矩阵乘法。有趣的是,我们的方法需要组合不同的快速矩形矩阵乘法算法。
Given a separation oracle for a convex set $K \subset \mathbb{R}^n$ that is contained in a box of radius $R$, the goal is to either compute a point in $K$ or prove that $K$ does not contain a ball of radius $ε$. We propose a new cutting plane algorithm that uses an optimal $O(n \log (κ))$ evaluations of the oracle and an additional $O(n^2)$ time per evaluation, where $κ= nR/ε$. $\bullet$ This improves upon Vaidya's $O( \text{SO} \cdot n \log (κ) + n^{ω+1} \log (κ))$ time algorithm [Vaidya, FOCS 1989a] in terms of polynomial dependence on $n$, where $ω< 2.373$ is the exponent of matrix multiplication and $\text{SO}$ is the time for oracle evaluation. $\bullet$ This improves upon Lee-Sidford-Wong's $O( \text{SO} \cdot n \log (κ) + n^3 \log^{O(1)} (κ))$ time algorithm [Lee, Sidford and Wong, FOCS 2015] in terms of dependence on $κ$. For many important applications in economics, $κ= Ω(\exp(n))$ and this leads to a significant difference between $\log(κ)$ and $\mathrm{poly}(\log (κ))$. We also provide evidence that the $n^2$ time per evaluation cannot be improved and thus our running time is optimal. A bottleneck of previous cutting plane methods is to compute leverage scores, a measure of the relative importance of past constraints. Our result is achieved by a novel multi-layered data structure for leverage score maintenance, which is a sophisticated combination of diverse techniques such as random projection, batched low-rank update, inverse maintenance, polynomial interpolation, and fast rectangular matrix multiplication. Interestingly, our method requires a combination of different fast rectangular matrix multiplication algorithms.