Ali Eshragh
Borwein et al. (2000) solved a surprise maximization problem by applying results from convex analysis and mathematical programming. Although, their proof is elegant, it requires advanced knowledge from both areas to understand it. Here, we provide another approach to derive an optimal solution of the problem by utilizing dynamic programming.
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Mixed-Integer Programming for a Class of Robust Submodular Maximization Problems
该研究针对两类鲁棒子模最大化问题，利用子模性重构问题并开展多面体研究，提出嵌入子模不等式的延迟割生成框架精确求解，还给出第二类变体的可行解算法及间隙，经供水管网传感器布置真实数据集验证有效。
Wind farms can increase annual energy production (AEP) with advanced control algorithms by coordinating the set points of individual turbine controllers across the farm. However, it remains a significant challenge to achieve performance improvements in practice because of the difficulty of utilizing models that capture pertinent complex aerodynamic phenomena while remaining amenable to control design. We formulate a multi-stage stochastic optimal control problem for wind farm power maximization and show that it can be solved analytically via dynamic programming. In particular, our model incorp…
Sum-rate maximization in two-way amplify-and-forward (AF) multiple-input multiple-output (MIMO) relaying belongs to the class of difference-of-convex functions (DC) programming problems. DC programming problems occur as well in other signal processing applications and are typically solved using different modifications of the branch-and-bound method. This method, however, does not have any polynomial time complexity guarantees. In this paper, we show that a class of DC programming problems, to which the sum-rate maximization in two-way MIMO relaying belongs, can be solved very efficiently in po…
This paper studies an optimization problem on the sum of traces of matrix quadratic forms on $m$ orthogonal matrices, which can be considered as a generalization of the synchronization of rotations. While the problem is nonconvex, the paper shows that its semidefinite programming relaxation can solve the original nonconvex problems exactly, under an additive noise model with small noise in the order of $O(-m^{1/4})$, where $m$ is the number of orthogonal matrices. This result can be considered as a generalization of existing results on phase synchronization.
An influential 1990 paper of Hochbaum and Shanthikumar made it common wisdom that "convex separable optimization is not much harder than linear optimization" [JACM 1990]. We exhibit two fundamental classes of mixed integer (linear) programs that run counter this intuition. Namely those whose constraint matrices have small coefficients and small primal or dual treedepth: While linear optimization is easy [Brand, Koutecký, Ordyniak, AAAI 2021], we prove that separable convex optimization IS much harder. Moreover, in the pure integer and mixed integer linear cases, these two classes have the same…
The well-known Influence Maximization (IM) problem has been actively studied by researchers over the past decade, with emphasis on marketing and social networks. Existing research have obtained solutions to the IM problem by obtaining the influence spread and utilizing the property of submodularity. This paper is based on a novel approach to the IM problem geared towards optimizing clicks and consequently revenue within anOnline Social Network (OSN). Our approach diverts from existing approaches by adopting a novel, decision-making perspective through implementing Stochastic Dynamic Programmin…
We analyze the infinite horizon minimax average cost Markov Control Model (MCM), for a class of controlled process conditional distributions, which belong to a ball, with respect to total variation distance metric, centered at a known nominal controlled conditional distribution with radius $R\in [0,2]$, in which the minimization is over the control strategies and the maximization is over conditional distributions. Upon performing the maximization, a dynamic programming equation is obtained which includes, in addition to the standard terms, the oscillator semi-norm of the cost-to-go. First, the…
In this paper, a projected primal-dual gradient flow of augmented Lagrangian is presented to solve convex optimization problems that are not necessarily strictly convex. The optimization variables are restricted by a convex set with computable projection operation on its tangent cone as well as equality constraints. As a supplement of the analysis in \cite{niederlander2016distributed}, we show that the projected dynamical system converges to one of the saddle points and hence finding an optimal solution. Moreover, the problem of distributedly maximizing the algebraic connectivity of an undirec…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a numéraire-based semi-static utility maximization problem with an exponential utility preference. The randomization techniques recently developed in \cite{BDT17} allow us to transform the original problem into a frictionless counterpart on an enlarged space. By suggesting a different dynamic programming argument than in \cite{bartl2016exponential}, we are able to prove the existence of the optimal strategy and the convex duality theorem in our context with transaction costs. In …
The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic control problem using minimax theory, in which the control minimizes the pay-off while the conditional distribution, from the total variation distance set, maximizes it. First, we investigate the maximization of a linear functional on the space of probability measures on abstract spaces, among those probability measures which are within a total variation distan…
In the context of augmented Lagrangian approaches for solving semidefinite programming problems, we investigate the possibility of eliminating the positive semidefinite constraint on the dual matrix by employing a factorization. Hints on how to deal with the resulting unconstrained maximization of the augmented Lagrangian are given. We further use the approximate maximum of the augmented Lagrangian with the aim of improving the convergence rate of alternating direction augmented Lagrangian frameworks. Numerical results are reported, showing the benefits of the approach.
This paper studies an optimization problem on the sum of traces of matrix quadratic forms in $m$ semi-orthogonal matrices, which can be considered as a generalization of the synchronization of rotations. While the problem is nonconvex, the paper shows that its semidefinite programming relaxation solves the original nonconvex problems exactly with high probability, under an additive noise model with small noise in the order of $O(m^{1/4})$. In addition, it shows that the solution of a nonconvex algorithm considered in Won, Zhou, and Lange [SIAM J. Matrix Anal. Appl., 2 (2021), pp. 859-882] is a…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic programming, we characterize the value function with a backward stochastic differential equation and the optimal portfolio policies. We separately treat the cases of exponential, power and logarithmic utility.
We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat several cases of interest, most notably the lower-hedging and utility-maximization problems of financial mathematics both of which are naturally posed over ``sets of martingale measures''.
This paper presents a canonical dual approach to the problem of minimizing the sum of a quadratic function and the ratio of nonconvex function and quadratic functions, which is a type of non-convex optimization problem subject to an elliptic constraint. We first relax the fractional structure by introducing a family of parametric subproblems. Under certain conditions, we show that the canonical dual of each subproblem becomes a two-dimensional concave maximization problem that exhibits no duality gap. Since the infimum of the optima of the parameterized subproblems leads to a solution to the o…
Two-Stage Distributionally Robust Conic Linear Programming over 1-Wasserstein Balls
本文研究1型Wasserstein球上的两阶段分布鲁棒锥线性规划，给出最坏情况期望问题对偶的最优性条件，提出带有限收敛证明的割平面算法及改进，验证了特定距离度量的样本外性能优势。
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon utility maximization. The dynamics involves a state variable representing total endowment of the social planner or average capital of the representative dynasty. From the mathematical viewpoint, the main features of the model are the following: (i) the dynamics is an increasing, unbounded and not globally concave function of the state; (ii) the state variable is s…
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal portfolios for non-concave utility maximization problems in financial market models with frictions (such as illiquidity), a first result of its kind. The proofs are based on the dynamic programming principle whose validity is established under quite general assumptions.
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by dynamically investing in a financial market, and statically in available options. We show that, for any measurable random endowment (regardless of whether the problem is finite or not) an optimal strategy exists, a dual representation in terms of (calibrated) martingale measures holds true, and that the problem satisfies the dynamic programming principle (in case of n…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous semimartingale. Under some regularity assumptions we derive backward stochastic partial differential equation (BSPDE) related directly to the primal problem and show that the strategy is optimal if and only if the corresponding wealth process satisfies a certain forward-SDE. As examples the cases of power, exponential and logarithmic utilities are considered.
The least cost influence maximization problem aims to determine minimum cost of partial (e.g., monetary) incentives initially given to the influential spreaders on a social network, so that these early adopters exert influence toward their neighbors and prompt influence propagation to reach a desired penetration rate by the end of cascading processes. We first conduct polyhedral analysis on a substructure that describes influence propagation assuming influence weights are unequal, linear and additively separable. Two classes of facet-defining inequalities based on a mixed 0-1 knapsack set cont…
Abstract Dynamic Programming on Partially Ordered Spaces
研究偏序空间上抽象动态规划，通过拓扑稳定性条件（如全局稳定性和策略算子压缩性）保证值迭代、策略迭代等算法的收敛性，并推广到非折扣最优停止和贝叶斯序贯分析等问题。
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
本文针对随机波动率下的不完全市场，用动态规划方法求解带VaR约束的期望效用最大化投资组合问题，建立了约束与无约束问题最优解的关联，并通过数值研究验证了参数影响及20%的配置差异。
For clustering of an undirected graph, this paper presents an exact algorithm for the maximization of modularity density, a more complicated criterion to overcome drawbacks of the well-known modularity. The problem can be interpreted as the set-partitioning problem, which reminds us of its integer linear programming (ILP) formulation. We provide a branch-and-price framework for solving this ILP, or column generation combined with branch-and-bound. Above all, we formulate the column generation subproblem to be solved repeatedly as a simpler mixed integer linear programming (MILP) problem. Accel…
We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random trading times. To overcome the difficulties of the problem we use the dual approach. We define a dual problem and treat it by means of dynamic programming, showing that the viscosity solutions of the associated Hamilton-Jacobi-Bellman equation belong to a suitable class of smooth functions. This allows to define a smooth solution of the primal Hamilton-Jacob…
We study the problem of routing in sensor networks where the goal is to maximize the network's lifetime. Previous work has considered this problem for fixed-topology networks. Here, we add mobility to the source node, which requires a new definition of the network lifetime. In particular, we redefine lifetime to be the time until the source node depletes its energy. When the mobile node's trajectory is unknown in advance, we formulate three versions of an optimal control problem aiming at this lifetime maximization. We show that in all cases, the solution can be reduced to a sequence of Non- L…
A Logistics Provider's Profit Maximization Facility Location Problem with Random Utility Maximizing Followers
针对物流供应商设施选址中的信息不完备问题，提出含随机效用最大化托运人的随机双层模型，并重构为可由通用求解器求解的单层混合整数线性规划。
A Globally Optimal Portfolio for m-Sparse Sharpe Ratio Maximization
针对m-稀疏约束下夏普比率优化难题，本文将分式问题等价转化为二次规划，并提出具有收敛速率和全局最优保证的PGA算法。
The main theme of this thesis is the development of computational methods for classes of infinite-dimensional optimization problems arising in optimal control and information theory. The first part of the thesis is concerned with the optimal control of discrete-time continuous space Markov decision processes (MDP). The second part is centred around two fundamental problems in information theory that can be expressed as optimization problems: the channel capacity problem as well as the entropy maximization subject to moment constraints.
Information propagation on networks is a central theme in social, behavioral, and economic sciences, with important theoretical and practical implications, such as the influence maximization problem for viral marketing. Here, we consider a model that unifies the classical independent cascade models and the linear threshold models, and generalise them by considering continuous variables and allowing feedback in the dynamics. We then formulate its influence maximization as a mixed integer nonlinear programming problem and adopt derivative-free methods. Furthermore, we show that the problem can b…
We present a compact mixed integer program (MIP) for the backhaul profit maximization problem in which a freight carrier seeks to generate profit from an empty delivery vehicle's backhaul trip from its last scheduled delivery to its depot by allowing it to deviate from the least expensive (or fastest) route to accept delivery requests between various points on the route as allowed by its capacity and required return time. The MIP is inspired by a novel representation of multicommodity flow that significantly reduces the size of the constraint matrix and the linear programming upper bound on op…
Hidden convex optimization is such a class of nonconvex optimization problems that can be globally solved in polynomial time via equivalent convex programming reformulations. In this paper, we focus on checking local optimality in hidden convex optimization. We first introduce a class of hidden convex optimization problems by jointing the classical nonconvex trust-region subproblem (TRS) with convex optimization (CO), and then present a comprehensive study on local optimality conditions. In order to guarantee the existence of a necessary and sufficient condition for local optimality, we need m…
We extend Robust Optimization to fractional programming, where both the objective and the constraints contain uncertain parameters. Earlier work did not consider uncertainty in both the objective and the constraints, or did not use Robust Optimization. Our contribution is threefold. First, we provide conditions to guarantee that either a globally optimal solution, or a sequence converging to the globally optimal solution, can be found by solving one or more convex optimization problems. Second, we identify two cases for which an exact solution can be obtained by solving a single optimization p…
Profit maximization via capacity control for distribution logistics problems
研究有限资源下运输商接受或拒绝客户请求的动态决策问题，提出混合整数线性规划近似方法克服维度灾难，在带容量车辆路径问题中验证了方法有效性。
We propose a novel approach for navigating in polygonal environments by synthesizing controllers that take as input relative displacement measurements with respect to a set of landmarks. Our algorithm is based on solving a sequence of robust min-max Linear Programming problems on the elements of a cell decomposition of the environment. The optimization problems are formulated using linear Control Lyapunov Function (CLF) and Control Barrier Function (CBF) constraints, to provide stability and safety guarantees, respectively. The inner maximization problem ensures that these constraints are met …
This paper studies the problem of maximizing the sum of traces of matrix quadratic forms on a product of Stiefel manifolds. This orthogonal trace-sum maximization (OTSM) problem generalizes many interesting problems such as generalized canonical correlation analysis (CCA), Procrustes analysis, and cryo-electron microscopy of the Nobel prize fame. For these applications finding global solutions is highly desirable but it has been unclear how to find even a stationary point, let alone testing its global optimality. Through a close inspection of Ky Fan's classical result (1949) on the variational…
We present a dynamic programming-based solution to the problem of maximizing the probability of attaining a target set before hitting a cemetery set for a discrete-time Markov control process. Under mild hypotheses we establish that there exists a deterministic stationary policy that achieves the maximum value of this probability. We demonstrate how the maximization of this probability can be computed through the maximization of an expected total reward until the first hitting time to either the target or the cemetery set. Martingale characterizations of thrifty, equalizing, and optimal polici…
We provide a condition-based analysis of two interior-point methods for unconstrained geometric programs, a class of convex programs that arise naturally in applications including matrix scaling, matrix balancing, and entropy maximization. Our condition numbers are natural geometric quantities associated with the Newton polytope of the geometric program, and lead to diameter bounds on approximate minimizers. We also provide effective bounds on the condition numbers both in general and under combinatorial assumptions on the Newton polytope. In this way, we generalize the iteration complexity of…
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel representation of the conditional density function through the Dirac Delta function and the corresponding series representation. We obtain an explicit series representation of the value function, whose coefficients are expressed through integration of the value function at a later time point against a chosen basis function. Thus we are able to set up a recursiv…
Modularity maximization has been a fundamental tool for understanding the community structure of a network, but the underlying optimization problem is nonconvex and NP-hard to solve. State-of-the-art algorithms like the Louvain or Leiden methods focus on different heuristics to help escape local optima, but they still depend on a greedy step that moves node assignment locally and is prone to getting trapped. In this paper, we propose a new class of low-cardinality algorithm that generalizes the local update to maximize a semidefinite relaxation derived from max-k-cut. This proposed algorithm i…
Motivated by applications to multi-antenna wireless networks, we propose a distributed and asynchronous algorithm for stochastic semidefinite programming. This algorithm is a stochastic approximation of a continous- time matrix exponential scheme regularized by the addition of an entropy-like term to the problem's objective function. We show that the resulting algorithm converges almost surely to an $\varepsilon$-approximation of the optimal solution requiring only an unbiased estimate of the gradient of the problem's stochastic objective. When applied to throughput maximization in wireless mu…
This paper proposes a second-order conic programming (SOCP) approach to solve distributionally robust two-stage stochastic linear programs over 1-Wasserstein balls. We start from the case with distribution uncertainty only in the objective function and exactly reformulate it as an SOCP problem. Then, we study the case with distribution uncertainty only in constraints, and show that such a robust program is generally NP-hard as it involves a norm maximization problem over a polyhedron. However, it is reduced to an SOCP problem if the extreme points of the polyhedron are given as a prior. This m…
Joint Power Allocation and Reflecting-Element Activation for Energy Efficiency Maximization in IRS-Aided Communications Under CSI Uncertainty
本文提出两种算法解决IRS辅助通信中功率分配与反射元件激活的鲁棒优化问题，其中AO方法提供次优解，B&B方法保证全局最优，且均无需外部求解器。
Semidefinite programming (SDP) with diagonal constraints arise in many optimization problems, such as Max-Cut, community detection and group synchronization. Although SDPs can be solved to arbitrary precision in polynomial time, generic convex solvers do not scale well with the dimension of the problem. In order to address this issue, Burer and Monteiro proposed to reduce the dimension of the problem by appealing to a low-rank factorization and solve the subsequent non-convex problem instead. In this paper, we present coordinate ascent based methods to solve this non-convex problem with provab…
This paper considers a wireless powered communication network (WPCN), where multiple users harvest energy from a dedicated power station and then communicate with an information receiving station. Our goal is to investigate the maximum achievable energy efficiency (EE) of the network via joint time allocation and power control while taking into account the initial battery energy of each user. We first study the EE maximization problem in the WPCN without any system throughput requirement. We show that the EE maximization problem for the WPCN can be cast into EE maximization problems for two si…
The characterization of the global maximum of energy efficiency (EE) problems in wireless networks is a challenging problem due to the non-convex nature of investigated problems in interference channels. The aim of this work is to develop a new and general framework to achieve globally optimal solutions. First, the hidden monotonic structure of the most common EE maximization problems is exploited jointly with fractional programming theory to obtain globally optimal solutions with exponential complexity in the number of network links. To overcome this issue, we also propose a framework to comp…
We study a submodular maximization problem motivated by applications in online retail. A platform displays a list of products to a user in response to a search query. The user inspects the first $k$ items in the list for a $k$ chosen at random from a given distribution, and decides whether to purchase an item from that set based on a choice model. The goal of the platform is to maximize the engagement of the shopper defined as the probability of purchase. This problem gives rise to a less-studied variation of submodular maximization in which we are asked to choose an $\textit{ordering}$ of a s…
When approaching to problems in computer science, we often encounter situations where a subset of a finite set maximizing some utility function needs to be selected. Some of such utility functions are known to be approximately submodular. For the problem of maximizing an approximately submodular function (ASFM problem), a greedy algorithm quickly finds good feasible solutions for many instances while guaranteeing ($1-e^{-γ}$)-approximation ratio for a given submodular ratio $γ$. However, we still encounter its applications that ask more accurate or exactly optimal solutions within a reasonable…
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