A two dimensional eigenvalue problem (2DEVP) of a Hermitian matrix pair $(A, C)$ is introduced in this paper. The 2DEVP can be viewed as a linear algebraic formulation of the well-known eigenvalue optimization problem of the parameter matrix $H(\mu) = A - \mu C$. We present fundamental properties of the 2DEVP such as the existence, the necessary and sufficient condition for the finite number of 2D-eigenvalues and variational characterizations. We use eigenvalue optimization problems from the minmax of two Rayleigh quotients and the computation of distance to instability to show their connections with the 2DEVP and new insights of these problems derived from the properties of the 2DEVP.
相關內容
We consider optimization problems in which the goal is find a $k$-dimensional subspace of $\mathbb{R}^n$, $k<<n$, which minimizes a convex and smooth loss. Such problems generalize the fundamental task of principal component analysis (PCA) to include robust and sparse counterparts, and logistic PCA for binary data, among others. This problem could be approached either via nonconvex gradient methods with highly-efficient iterations, but for which arguing about fast convergence to a global minimizer is difficult or, via a convex relaxation for which arguing about convergence to a global minimizer is straightforward, but the corresponding methods are often inefficient in high dimensions. In this work we bridge these two approaches under a strict complementarity assumption, which in particular implies that the optimal solution to the convex relaxation is unique and is also the optimal solution to the original nonconvex problem. Our main result is a proof that a natural nonconvex gradient method which is \textit{SVD-free} and requires only a single QR-factorization of an $n\times k$ matrix per iteration, converges locally with a linear rate. We also establish linear convergence results for the nonconvex projected gradient method, and the Frank-Wolfe method when applied to the convex relaxation.
Bayesian nonparametric mixture models are common for modeling complex data. While these models are well-suited for density estimation, their application for clustering has some limitations. Miller and Harrison (2014) proved posterior inconsistency in the number of clusters when the true number of clusters is finite for Dirichlet process and Pitman--Yor process mixture models. In this work, we extend this result to additional Bayesian nonparametric priors such as Gibbs-type processes and finite-dimensional representations of them. The latter include the Dirichlet multinomial process and the recently proposed Pitman--Yor and normalized generalized gamma multinomial processes. We show that mixture models based on these processes are also inconsistent in the number of clusters and discuss possible solutions. Notably, we show that a post-processing algorithm introduced by Guha et al. (2021) for the Dirichlet process extends to more general models and provides a consistent method to estimate the number of components.
In practice, optimal screening designs for arbitrary run sizes are traditionally generated using the D-criterion with factor settings fixed at +/- 1, even when considering continuous factors with levels in [-1, 1]. This paper identifies cases of undesirable estimation variance properties for such D-optimal designs and argues that generally A-optimal designs tend to push variances closer to their minimum possible value. New insights about the behavior of the criteria are found through a study of their respective coordinate-exchange formulas. The study confirms the existence of D-optimal designs comprised only of settings +/- 1 for both main effect and interaction models for blocked and un-blocked experiments. Scenarios are also identified for which arbitrary manipulation of a coordinate between [-1, 1] leads to infinitely many D-optimal designs each having different variance properties. For the same conditions, the A-criterion is shown to have a unique optimal coordinate value for improvement. We also compare Bayesian version of the A- and D-criteria in how they balance minimization of estimation variance and bias. Multiple examples of screening designs are considered for various models under Bayesian and non-Bayesian versions of the A- and D-criteria.
We propose a verified computation method for eigenvalues in a region and the corresponding eigenvectors of generalized Hermitian eigenvalue problems. The proposed method uses complex moments to extract the eigencomponents of interest from a random matrix and uses the Rayleigh$\unicode{x2013}$Ritz procedure to project a given eigenvalue problem into a reduced eigenvalue problem. The complex moment is given by contour integral and approximated using numerical quadrature. We split the error in the complex moment into the truncation error of the quadrature and rounding errors and evaluate each. This idea for error evaluation inherits our previous Hankel matrix approach, whereas the proposed method enables verification of eigenvectors and requires half the number of quadrature points for the previous approach to reduce the truncation error to the same order. Moreover, the Rayleigh$\unicode{x2013}$Ritz procedure approach forms a transformation matrix that enables verification of the eigenvectors. Numerical experiments show that the proposed method is faster than previous methods while maintaining verification performance and works even for nearly singular matrix pencils and in the presence of multiple and nearly multiple eigenvalues.
The utilization of renewable energy technologies, particularly hydrogen, has seen a boom in interest and has spread throughout the world. Ethanol steam reformation is one of the primary methods capable of producing hydrogen efficiently and reliably. This paper provides an in-depth study of the reformulated system both theoretically and numerically, as well as a plan to explore the possibility of converting the system into its conservation form. Lastly, we offer an overview of several numerical approaches for solving the general first-order quasi-linear hyperbolic equation to the particular model for ethanol steam reforming (ESR). We conclude by presenting some results that would enable the usage of these ODE/PDE solvers to be used in non-linear model predictive control (NMPC) algorithms and discuss the limitations of our approach and directions for future work.
We propose a novel and efficient lifting approach for the optimal control of rigid-body systems with contacts to improve the convergence properties of Newton-type methods. To relax the high nonlinearity, we consider the state, acceleration, contact forces, and control input torques, as optimization variables and the inverse dynamics and acceleration constraints on the contact frames as equality constraints. We eliminate the update of the acceleration, contact forces, and their dual variables from the linear equation to be solved in each Newton-type iteration in an efficient manner. As a result, the computational cost per Newton-type iteration is almost identical to that of the conventional non-lifted Newton-type iteration that embeds contact dynamics in the state equation. We conducted numerical experiments on the whole-body optimal control of various quadrupedal gaits subject to the friction cone constraints considered in interior-point methods and demonstrated that the proposed method can significantly increase the convergence speed to more than twice that of the conventional non-lifted approach.
We propose an efficient way of solving optimal control problems for rigid-body systems on the basis of inverse dynamics and the multiple-shooting method. We treat all variables, including the state, acceleration, and control input torques, as optimization variables and treat the inverse dynamics as an equality constraint. We eliminate the update of the control input torques from the linear equation of Newton's method by applying condensing for inverse dynamics. The size of the resultant linear equation is the same as that of the multiple-shooting method based on forward dynamics except for the variables related to the passive joints and contacts. Compared with the conventional methods based on forward dynamics, the proposed method reduces the computational cost of the dynamics and their sensitivities by utilizing the recursive Newton-Euler algorithm (RNEA) and its partial derivatives. In addition, it increases the sparsity of the Hessian of the Karush-Kuhn-Tucker conditions, which reduces the computational cost, e.g., of Riccati recursion. Numerical experiments show that the proposed method outperforms state-of-the-art implementations of differential dynamic programming based on forward dynamics in terms of computational time and numerical robustness.
We consider a high-dimensional random constrained optimization problem in which a set of binary variables is subjected to a linear system of equations. The cost function is a simple linear cost, measuring the Hamming distance with respect to a reference configuration. Despite its apparent simplicity, this problem exhibits a rich phenomenology. We show that different situations arise depending on the random ensemble of linear systems. When each variable is involved in at most two linear constraints, we show that the problem can be partially solved analytically, in particular we show that upon convergence, the zero-temperature limit of the cavity equations returns the optimal solution. We then study the geometrical properties of more general random ensembles. In particular we observe a range in the density of constraints at which the systems enters a glassy phase where the cost function has many minima. Interestingly, the algorithmic performances are only sensitive to another phase transition affecting the structure of configurations allowed by the linear constraints. We also extend our results to variables belonging to $\text{GF}(q)$, the Galois Field of order $q$. We show that increasing the value of $q$ allows to achieve a better optimum, which is confirmed by the Replica Symmetric cavity method predictions.
We propose and analyze exact and inexact regularized Newton-type methods for finding a global saddle point of a \textit{convex-concave} unconstrained min-max optimization problem. Compared to their first-order counterparts, investigations of second-order methods for min-max optimization are relatively limited, as obtaining global rates of convergence with second-order information is much more involved. In this paper, we highlight how second-order information can be used to speed up the dynamics of dual extrapolation methods {despite inexactness}. Specifically, we show that the proposed algorithms generate iterates that remain within a bounded set and the averaged iterates converge to an $\epsilon$-saddle point within $O(\epsilon^{-2/3})$ iterations in terms of a gap function. Our algorithms match the theoretically established lower bound in this context and our analysis provides a simple and intuitive convergence analysis for second-order methods without requiring any compactness assumptions. Finally, we present a series of numerical experiments on synthetic and real data that demonstrate the efficiency of the proposed algorithms.
In this work, we propose solving the Information bottleneck (IB) and Privacy Funnel (PF) problems with Douglas-Rachford Splitting methods (DRS). We study a general Markovian information-theoretic Lagrangian that includes IB and PF into a unified framework. We prove the linear convergence of the proposed solvers using the Kurdyka-{\L}ojasiewicz inequality. Moreover, our analysis is beyond IB and PF and applies to any convex-weakly convex pair objectives. Based on the results, we develop two types of linearly convergent IB solvers, with one improves the performance of convergence over existing solvers while the other can be independent to the relevance-compression trade-off. Moreover, our results apply to PF, yielding a new class of linearly convergent PF solvers. Empirically, the proposed IB solvers IB obtain solutions that are comparable to the Blahut-Arimoto-based benchmark and is convergent for a wider range of the penalty coefficient than existing solvers. For PF, our non-greedy solvers can characterize the privacy-utility trade-off better than the clustering-based greedy solvers.
注冊地址： 北京市海淀區羊坊店路18號2幢3層301-191