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arXiv 0810.1631cs.ITmath.IT
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具有高斯置信传播的多项式线性规划

Polynomial Linear Programming with Gaussian Belief Propagation

Danny Bickson, Yoav Tock, Ori Shental, Danny Dolev

摘要:

内点法是求解线性规划(LP)问题的最新算法。具体来说,Karmarkar算法通常在时间O(n^{3.5})内解决LP问题,其中$n$是未知变量的数量。Karmarkar的著名算法是使用牛顿迭代的对数障碍法的一个实例。这种方法的主要计算开销是在求逆牛顿迭代的海森矩阵。在这方面的贡献,我们提出了高斯信念传播(GaBP)算法的应用程序的一部分,一个高效的分布式LP求解器,利用稀疏和对称结构的Hessian矩阵,并避免了需要直接矩阵求逆。这种方法将计算从线性代数领域转移到图形模型上的概率推理领域,从而将GaBP作为一种有效的推理引擎。我们的建设是一般的,可以用于任何边界点算法,使用牛顿法,包括非线性规划求解器。

英文摘要:

Interior-point methods are state-of-the-art algorithms for solving linear programming (LP) problems with polynomial complexity. Specifically, the Karmarkar algorithm typically solves LP problems in time O(n^{3.5}), where $n$ is the number of unknown variables. Karmarkar's celebrated algorithm is known to be an instance of the log-barrier method using the Newton iteration. The main computational overhead of this method is in inverting the Hessian matrix of the Newton iteration. In this contribution, we propose the application of the Gaussian belief propagation (GaBP) algorithm as part of an efficient and distributed LP solver that exploits the sparse and symmetric structure of the Hessian matrix and avoids the need for direct matrix inversion. This approach shifts the computation from realm of linear algebra to that of probabilistic inference on graphical models, thus applying GaBP as an efficient inference engine. Our construction is general and can be used for any interior-point algorithm which uses the Newton method, including non-linear program solvers.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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