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arXiv 2404.00765math.OC
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凸网络流

Convex Network Flows

Theo Diamandis, Guillermo Angeris, Alan Edelman

AI总结:

本文提出超图上的凸流问题通用框架,证明其可按边分解的对偶结构,并给出可并行的快速算法及 Julia 开源实现,性能显著优于 Mosek。

摘要:

我们引入了一个关于超图上流问题的通用框架。在我们称为凸流问题的问题表述中,每个节点的净流都有一个凹效用函数,每条边的流也有一个凹效用函数。目标是最大化这些效用之和,并受每条边上允许流的约束,而我们仅假设这些允许流构成一个凸集。该框架不仅涵盖网络优化中的许多经典问题,例如最大流、最小费用流和多商品流,还对这些问题进行了推广,例如允许凹的边增益函数。此外,我们的框架包含跨越多个领域的应用:有损网络上的最优潮流、ad-hoc 无线网络中的路由与资源分配、Arrow-Debreu Nash 议价,以及通过金融交易所进行订单路由等。我们证明凸流问题具有一个带有若干有趣解释的对偶,并且该对偶可沿超图的边分解。利用这种分解,我们提出了一种快速求解算法,该算法可在各条边上并行化,并具有清晰的问题接口。我们用 Julia 编程语言提供了该算法的开源实现,并证明其显著快于当前最先进的商业凸求解器 Mosek。

英文摘要:

We introduce a general framework for flow problems over hypergraphs. In our problem formulation, which we call the convex flow problem, we have a concave utility function for the net flow at every node and a concave utility function for each edge flow. The objective is to maximize the sum of these utilities, subject to constraints on the flows allowed at each edge, which we only assume to be a convex set. This framework not only includes many classic problems in network optimization, such as max flow, min-cost flow, and multi-commodity flows, but also generalizes these problems to allow, for example, concave edge gain functions. In addition, our framework includes applications spanning a number of fields: optimal power flow over lossy networks, routing and resource allocation in ad-hoc wireless networks, Arrow-Debreu Nash bargaining, and order routing through financial exchanges, among others. We show that the convex flow problem has a dual with a number of interesting interpretations, and that this dual decomposes over the edges of the hypergraph. Using this decomposition, we propose a fast solution algorithm that parallelizes over the edges and admits a clean problem interface. We provide an open source implementation of this algorithm in the Julia programming language, which we show is significantly faster than the state-of-the-art commercial convex solver Mosek.

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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