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arXiv 2602.14949math.OC
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最大-最小双线性完全正规划:具有保证紧性的半定松弛

Max-Min Bilinear Completely Positive Programs: A Semidefinite Relaxation with Tightness Guarantees

Lee Kong Chian School of Business, Singapore Management University(新加坡管理大学李光前商学院);Department of Mathematics, Hong Kong Baptist University(香港浸会大学数学系);Institute for Research and Continuing Education, Hong Kong Baptist University(香港浸会大学持续教育学院);Department of Applied Mathematics, The Hong Kong Polytechnic University(香港理工大学应用数学系)

Sarah Yini Gao, Xindong Tang, Yancheng Yuan

AI总结:

本文提出了一种针对最大-最小双线性完全正规划问题的半定松弛方法,通过紧性保证解决混合二进制二次最大-最小问题,并应用于循环Colonel Blotto游戏。

摘要:

最大-最小双线性优化模型,其中一方最大化而另一方最小化一个共同的双线性目标,是优化理论中的典型鞍点公式。它们捕捉了诸如双人零和游戏、鲁棒和分布鲁棒优化以及对抗性机器学习等问题。本研究关注变量位于完全正(CP)锥的子类,通过完全正规划的建模能力捕捉广泛的混合二进制二次最大-最小问题。我们证明此类问题可以通过COP-CP锥上的等效单阶段线性重述来解决,该锥定义为copositive(COP)和CP锥的笛卡尔积。由于测试COP锥成员资格是co-NP难的,因此结果COP-CP程序继承了NP难性。为了解决这一挑战,我们开发了一种基于COP和CP锥的矩和平方和表示的半定松弛层次结构,并应用平坦截断条件来证明紧性。我们证明在温和条件下,该层次结构的紧性得到保证。该框架扩展了现有的CP/COP方法用于分布鲁棒优化和多项式游戏。我们应用该框架到循环Colonel Blotto游戏,这是Borel经典分配竞赛的扩展。在多个实例中,半定松弛满足平坦截断条件并解决精确的混合策略均衡。

英文摘要:

Max-min bilinear optimization models, where one agent maximizes and an adversary minimizes a common bilinear objective, serve as canonical saddle-point formulations in optimization theory. They capture, among others, two-player zero-sum games, robust and distributionally robust optimization, and adversarial machine learning. This study focuses on the subclass whose variables lie in the completely positive (CP) cone, capturing a broad family of mixed-binary quadratic max-min problems through the modelling power of completely positive programming. We show that such problems admit an equivalent single-stage linear reformulation over the COP-CP cone, defined as the Cartesian product of the copositive (COP) and CP cones. Because testing membership in COP cones is co-NP-complete, the resulting COP-CP program inherits NP-hardness. To address this challenge, we develop a hierarchy of semidefinite relaxations based on moment and sum-of-squares representations of the COP and CP cones, and flat truncation conditions are applied to certify the tightness. We show that the tightness of the hierarchy is guaranteed under mild conditions. The framework extends existing CP/COP approaches for distributionally robust optimization and polynomial games. We apply the framework to the cyclic Colonel Blotto game, an extension of Borel's classic allocation contest. Across multiple instances, the semidefinite relaxation meets the flat-truncation conditions and solves the exact mixed-strategy equilibrium.

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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