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arXiv 1302.5828math.APmath.COmath.OCmath.PR
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非支配排序连续极限的Hamilton-Jacobi方程

A Hamilton-Jacobi equation for the continuum limit of non-dominated sorting

Jeff Calder, Selim Esedoglu, Alfred O. Hero

摘要:

我们表明,非支配排序的序列的i.i.d.欧几里得空间中的随机变量具有连续极限,该连续极限对应于求解涉及随机变量的密度函数的Hamilton-Jacobi方程。非支配排序是多目标最优化中的一个基本问题,它等价于寻找规范反链划分和欧氏点间最长链问题。作为这一结果的应用,我们证明了非支配排序在数据的随机扰动下是渐近稳定的。我们给出了一个计算该Hamilton-Jacobi方程黏性解的数值格式,并对各种密度函数进行了数值模拟。

英文摘要:

We show that non-dominated sorting of a sequence of i.i.d. random variables in Euclidean space has a continuum limit that corresponds to solving a Hamilton-Jacobi equation involving the probability density function of the random variables. Non-dominated sorting is a fundamental problem in multi-objective optimization, and is equivalent to finding the canonical antichain partition and to problems involving the longest chain among Euclidean points. As an application of this result, we show that non-dominated sorting is asymptotically stable under random perturbations in the data. We give a numerical scheme for computing the viscosity solution of this Hamilton-Jacobi equation and present some numerical simulations for various density functions.

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