MPC

MPC 2014, ISSUE 1



Mathematical Programming Computation, Volume 6, Issue 1, March 2014

Matrix-free interior point method for compressed sensing problems

Kimon Fountoulakis, Jacek Gondzio, Pavel Zhlobich

We consider a class of optimization problems for sparse signal reconstruction which arise in the field of compressed sensing (CS). A plethora of approaches and solvers exist for such problems, for example GPSR, FPC_AS, SPGL1, NestA, 1 L(1)_L(s), PDCO to mention a few. CS applications lead to very well conditioned optimization problems and therefore can be solved easily by simple first-order methods. Interior point methods (IPMs) rely on the Newton method hence they use the second-order information. They have numerous advantageous features and one clear drawback: being the second-order approach they need to solve linear equations and this operation has (in the general dense case) an O(n3) computational complexity. Attempts have been made to specialize IPMs to sparse reconstruction problems and they have led to interesting developments implemented in L(1)_L(s) and PDCO softwares. We go a few steps further. First, we use the matrix-free IPM, an approach which redesigns IPM to avoid the need to explicitly formulate (and store) the Newton equation systems. Secondly, we exploit the special features of the signal processing matrices within the matrix-free IPM. Two such features are of particular interest: an excellent conditioning of these matrices and the ability to perform inexpensive (low complexity) matrix–vector multiplications with them. Computational experience with large scale one-dimensional signals confirms that the new approach is efficient and offers an attractive alternative to other state-of-the-art solvers.

Full Text: PDF



Mathematical Programming Computation, Volume 6, Issue 1, March 2014

RENS

Timo Berthold

This article introduces rens, the relaxation enforced neighborhood search, a large neighborhood search algorithm for mixed integer nonlinear programs (MINLPs). It uses a sub-MINLP to explore the set of feasible roundings of an optimal solution ¯ x of a linear or nonlinear relaxation. The sub-MINLP is constructed by fixing integer variables x j with ¯ x j ? Z and bounding the remaining integer variables to x j ? {¯x j ,  ¯x j }. We describe two different applications of rens: as a standalone algorithm to compute an optimal rounding of the given starting solution and as a primal heuristic inside a complete MINLP solver. We use the former to compare different kinds of relaxations and the impact of cutting planes on the so-called roundability of the corresponding optimal solutions. We further utilize rens to analyze the performance of three rounding heuristics implemented in the branch-cut-and-price framework scip. Finally, we study the impact of rens when it is applied as a primal heuristic inside scip. All experiments were performed on three publicly available test sets of mixed integer linear programs (MIPs), mixed integer quadratically constrained programs (MIQCPs), and MINLPs, using solely software which is available in source code. It turns out that for these problem classes 60 to 70% of the instances have roundable relaxation optima and that the success rate of rens does not depend on the percentage of fractional variables. Last but not least, rens applied as primal heuristic complements nicely with existing primal heuristics in scip.

Full Text: PDF



Mathematical Programming Computation, Volume 6, Issue 1, March 2014

Deterministic “Snakes and Ladders” Heuristic for the Hamiltonian cycle problem

Pouya Baniasadi, Vladimir Ejov, Jerzy A. Filar, Michael Haythorpe, Serguei Rossomakhine

We present a polynomial complexity, deterministic, heuristic for solving the Hamiltonian cycle problem (HCP) in an undirected graph of order n. Although finding a Hamiltonian cycle is not theoretically guaranteed, we have observed that the heuristic is successful even in cases where such cycles are extremely rare, and it also performs very well on all HCP instances of large graphs listed on the TSPLIB web page. The heuristic owes its name to a visualisation of its iterations. All vertices of the graph are placed on a given circle in some order. The graph’s edges are classified as either snakes or ladders, with snakes forming arcs of the circle and ladders forming its chords. The heuristic strives to place exactly n snakes on the circle, thereby forming a Hamiltonian cycle. The Snakes and Ladders Heuristic uses transformations inspired by k-opt algorithms such as the, now classical, Lin–Kernighan heuristic to reorder the vertices on the circle in order to transform some ladders into snakes and vice versa. The use of a suitable stopping criterion ensures the heuristic terminates in polynomial time if no improvement is made in n3 major iterations.

Full Text: PDF



Mathematical Programming Computation, Volume 6, Issue 1, March 2014

Block splitting for distributed optimization

Neal Parikh, Stephen Boyd

This paper describes a general purposemethod for solving convex optimization problems in a distributed computing environment. In particular, if the problem data includes a large linear operator or matrix A, the method allows for handling eachsub-block of A on a separatemachine. The approach works as follows. First, we define a canonical problem form called graph form, in which we have two sets of variables related by a linear operator A, such that the objective function is separable across these two sets of variables. Many types of problems are easily expressed in graph form, including cone programs and a wide variety of regularized loss minimization problems from statistics, like logistic regression, the support vector machine, and the lasso. Next, we describe graph projection splitting, a form of Douglas–Rachford splitting or the alternating direction method of multipliers, to solve graph form problems serially. Finally, we derive a distributed block splitting algorithm based on graph projection splitting. In a statistical or machine learning context, this allows for training models exactly with a huge number of both training examples and features, such that each processor handles only a subset of both. To the best of our knowledge, this is the only general purpose method with this property. We present several numerical experiments in both the serial and distributed settings.

Full Text: PDF




Imprint and privacy statement

For the imprint and privacy statement we refer to the Imprint of ZIB.
© 2008-2020 by Zuse Institute Berlin (ZIB).