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高级算法

5. Semidefinite Programs

2019-09-04原始语言归档部分历史资源可能仍不完整

A Wishlist for Optimization Algorithms

  • Nonlinear, non-convex objectives
  • Powerful enough to tackle hard problems in a systematic way, and meanwhile is still practical
  • Becoming more accurate as we're paying more
  • A generic framework that can be applied obviously to various problems.
  • Methods
    • sum-of-squares (SoS) SDP
    • Lasserre hierarchy
    • Lovász-Schrijver hierarchy

Quadratic programming

min⁡12xTQx+cTx\min \frac{1}{2}x^TQx+c^Tx

Semidefinite Program

  • A≽0A≽0: symmetric matrix A∈Rn×nA\in\mathbb{R}^{n\times n} is positive semidefinite (∀x∈Rn,xTAx≥0\forall x\in\mathbb{R}^n,x^TAx\geq0)
  • A≽0  ⟺  ∀λ(A)≥0  ⟺  ∃B∈Rn×n,A=BTBA≽0\iff\forall\lambda(A)\geq 0\iff\exists B\in\mathbb{R}^{n\times n},A=B^TB
  • Semidefinite Programing(SDP): C,A1,⋯ ,Ak∈Rn×n,b1,b2,⋯ ,bk∈RC,A_1,\cdots,A_k\in\mathbb{R}^{n\times n},b_1,b_2,\cdots,b_k\in\mathbb{R}
max⁡ tr(CTY)=∑i=1n∑i=1ncijyijs.t. tr(ArTY)≤br∀1≤r≤kY≽0Y=YT∈Rn×n\begin{aligned} \max\ & \text{tr}(C^TY)=\sum_{i=1}^n\sum_{i=1}^nc_{ij}y_{ij}\newline \text{s.t. } & \text{tr}(A^T_rY)\leq b_r & \forall 1\leq r\leq k\newline &Y≽0\newline &Y=Y^T\in\mathbb{R}^{n\times n} \end{aligned}
  • SDP (vector program form, LP for inner products)
max⁡∑i=1n∑i=1ncij⟨vi,vj⟩s.t.∑i=1n∑j=1naij(r)⟨vi,vj⟩≤br∀1≤r≤kv1,⋯ ,vn∈Rn\begin{aligned} \max & \sum_{i=1}^n\sum_{i=1}^nc_{ij}\langle v_i,v_j\rangle\newline \text{s.t.} & \sum_{i=1}^n\sum_{j=1}^na_{ij}^{(r)}\langle v_i,v_j\rangle\leq b_r & \forall 1\leq r\leq k\newline &v_1,\cdots,v_n\in\mathbb{R}^n \end{aligned}
  • LP ⊂\subset SDP ⊂\subset convex programs
  • ellipsoid method: find OPT±ϵ\text{OPT}\pm\epsilon in time poly(n,1ϵ)\text{poly}(n,\frac{1}{\epsilon})
  • SDP-Relaxation
    • Present the original quadratic program
    • SDP relaxation: xuxv→⟨xv,xu⟩x_ux_v\rightarrow\langle \mathbf{x}_v,\mathbf{x}_u\rangle
    • Solve SDP relaxtion
    • Round optimal solution xv∗x^*_v to x^v\hat x_v

Max-Cut

  • Some Algorithm
    • Greedy: 12\frac{1}{2}-approximate
    • Random: 12\frac{1}{2}-approximate
    • Local Search: 12\frac{1}{2}-approximate
  • LP for Max-Cut
max⁡∑uv∈Eyuvs.t. yuv≤∣xu−xv∣∀uv∈Exv∈{0,1}∀v∈V\begin{aligned} \max & \sum_{uv\in E}y_{uv}\newline \text{s.t. } & y_{uv}\leq |x_u-x_v| &\forall uv\in E\newline & x_v\in\{0,1\} & \forall v\in V \end{aligned}
  • Linearization: Integrality gap >2>2
max⁡∑uv∈Eyuvs.t. yuv≤yuw+ywv∀u,v,w∈Vyuv+yuw+ywv≤2∀u,v,w∈Vyuv∈{0,1},∀u,v∈V\begin{aligned} \max & \sum_{uv\in E}y_{uv}\newline \text{s.t. } & y_{uv}\leq y_{uw}+y_{wv} &\forall u,v,w\in V\newline & y_{uv}+y_{uw}+y_{wv}\leq 2 &\forall u,v,w\in V\newline & y_{uv}\in\{0,1\},\forall u,v\in V \end{aligned}
  • Quadratic Program
max⁡∑uv∈Eyuvs.t. yuv≤12(1−xuxv)∀uv∈Exv∈{−1,1}∀v∈V\begin{aligned} \max & \sum_{uv\in E}y_{uv}\newline \text{s.t. } & y_{uv}\leq \frac{1}{2}(1-x_ux_v) &\forall uv\in E\newline & x_v\in\{-1,1\} &\forall v\in V \end{aligned}
  • Strictly Quadratic Program (nonlinear,non-convex)
max⁡∑uv∈E12(1−xuxv)s.t. xv2=1∀v∈V\begin{aligned} \max & \sum_{uv\in E}\frac{1}{2}(1-x_ux_v)\newline \text{s.t. } & x_v^2=1 &\forall v\in V \end{aligned}
  • Relax to vector program
max⁡∑uv∈E12(1−⟨xu,xv⟩)s.t. ∥xv∥2=1∀v∈Vxv∈R∣V∣\begin{aligned} \max & \sum_{uv\in E}\frac{1}{2}(1-\langle x_u,x_v\rangle)\newline \text{s.t. } & \|x_v\|^2=1 &\forall v\in V\newline & x_v\in\mathbb{R}^{|V|} \end{aligned}
  • Rounding: x^v=sgn(⟨xv∗,u⟩),u∈Rn,∥u∥2=1\hat x_v=\text{sgn}(\langle x_v^*,u\rangle),u\in\mathbb{R}^n,\|u\|_2=1 is uniform random unit vector
    • Generate uu: u=r∥r∥2,r=(r1,⋯ ,rn)∈Rn,ri∼N(0,1)u=\frac{r}{\|r\|_2},r=(r_1,\cdots,r_n)\in\mathbb{R}^n,r_i\sim N(0,1) i.i.d
    • E(cut)=∑uv∈Eθuvπ=∑uv∈Earccos⁡⟨xu∗,xv∗⟩π≥α∑uv∈E12(1−⟨xu∗,xv∗⟩),≥αOPTIP≥αOPTE(\text{cut})=\sum_{uv\in E}{\frac{\theta_{uv}}{\pi}}=\sum_{uv\in E}\frac{\arccos\langle x_u^*,x_v^*\rangle}{\pi}\geq\alpha\sum_{uv\in E}\frac{1}{2}(1-\langle x_u^*,x_v^*\rangle),\geq\alpha\text{OPT}_{\text{IP}}\geq\alpha\text{OPT}
    • Assuming the unique games conjecture: no poly-time algorithm with approx. ratio <α=inf⁡x∈[−1,1]2arccos⁡(x)π(1−x)=0.87856⋯<\alpha=\inf_{x\in[-1,1]}\frac{2\arccos(x)}{\pi(1-x)}=0.87856\cdots

SoS

  • Given a nn-variate polynomial ff, determine whether f(x)≥0f(x)\geq 0 for all x∈{0,1}nx\in\{0,1\}^n
    • NP-hard
  • multilinear: f(x)=∑d=(d1,⋯ ,dn)∈{0,1}nx1d1⋯xndnf(x)=\sum_{d=(d_1,\cdots,d_n)\in\{0,1\}^n}x_1^{d_1}\cdots x_n^{d_n}
  • Given a nn-variate polynomial ff, find
    • either an x∈{0,1}nx\in\{0,1\}^n such that f(x)<0f(x)<0
    • or a "proof" of f(x)≥0f(x)\geq 0 over all x∈{0,1}nx\in\{0,1\}^n
      • SoS proof: f(x)=∑i=1rg1(x)2f(x)=\sum_{i=1}^rg_1(x)^2
      • For nonnegatvie polynomial
        • f:{0,1}n→Rf:\{0,1\}^n\rightarrow\mathbb{R}, degree-2n2n SoS proof always exists
        • degree-dd SoS proof needs at most r=nO(d)r=n^{O(d)} length
        • if ff has degree=dd SoS proff, then it can be found in nO(d)n^{O(d)} time (by SDP)