论文标题

简单而快速的算法,用于二进制整数和在线线性编程

Simple and Fast Algorithm for Binary Integer and Online Linear Programming

论文作者

Li, Xiaocheng, Sun, Chunlin, Ye, Yinyu

论文摘要

在本文中,我们开发了一种简单而快速的在线算法,用于求解一类在一般资源分配问题中出现的二进制整数线性程序(LPS)。该算法仅需要一个通过输入数据,并且无法进行任何矩阵反转。它可以看作是解决二进制整数LP的近似算法,也可以看作是解决在线LP问题的快速算法。该算法的启发是受放松LP双重问题的等效形式的启发,它基本上执行了(一通)投射的随机亚差异下降,在双重空间中。我们分析了两个不同模型的算法,即随机输入和随机排列,对输入数据的技术假设最少。该算法达到$ o \ left(m \ sqrt {n} \右)$ $ $ tress $在随机输入模型下的遗憾,$ o \ left((((m+\ log n)\ sqrt {n} \ right)$在随机的模型下,$ o(m \ s $ n $ n} $ n},决策变量和$ m $的数量是约束数。当概括为多维LP设置时,该算法具有相同的性能保证,该设置涵盖了更广泛的应用程序。此外,我们采用了置换式Rademacher复杂性的概念,并为两个早期的在线LP算法提供了遗憾界限进行比较。两种算法通过支付更多的计算成本,改善了用$ \ sqrt {m} $的因素来改善遗憾。此外,我们演示了如何通过随机过程将可能不可行的解决方案转换为可行的解决方案。数值实验说明了算法的一般适用性和有效性。

In this paper, we develop a simple and fast online algorithm for solving a class of binary integer linear programs (LPs) arisen in general resource allocation problem. The algorithm requires only one single pass through the input data and is free of doing any matrix inversion. It can be viewed as both an approximate algorithm for solving binary integer LPs and a fast algorithm for solving online LP problems. The algorithm is inspired by an equivalent form of the dual problem of the relaxed LP and it essentially performs (one-pass) projected stochastic subgradient descent in the dual space. We analyze the algorithm in two different models, stochastic input and random permutation, with minimal technical assumptions on the input data. The algorithm achieves $O\left(m \sqrt{n}\right)$ expected regret under the stochastic input model and $O\left((m+\log n)\sqrt{n}\right)$ expected regret under the random permutation model, and it achieves $O(m \sqrt{n})$ expected constraint violation under both models, where $n$ is the number of decision variables and $m$ is the number of constraints. The algorithm enjoys the same performance guarantee when generalized to a multi-dimensional LP setting which covers a wider range of applications. In addition, we employ the notion of permutational Rademacher complexity and derive regret bounds for two earlier online LP algorithms for comparison. Both algorithms improve the regret bound with a factor of $\sqrt{m}$ by paying more computational cost. Furthermore, we demonstrate how to convert the possibly infeasible solution to a feasible one through a randomized procedure. Numerical experiments illustrate the general applicability and effectiveness of the algorithms.

扫码加入交流群

加入微信交流群

微信交流群二维码

扫码加入学术交流群,获取更多资源