The conic bundle implementation of the spectral bundle method for large scale semidefinite programming solves in each iteration a semidefinite quadratic subproblem by an interior point approach. For larger cutting model sizes the limiting operation is collecting and factorizing a Schur complement of the primal-dual KKT system. We explore possibilities to improve on this by an iterative approach that exploits structural low rank properties. Two preconditioning approaches are proposed and analyzed. Both might be of interest for rank structured positive definite systems in general. The first employs projections onto random subspaces, the second projects onto a subspace that is chosen deterministically based on structural interior point properties. For both approaches theoretic bounds are derived for the associated condition number. In the instances tested the deterministic preconditioner provides surprisingly efficient control on the actual condition number. The results suggest that for large scale instances the iterative solver is usually the better choice if precision requirements are moderate or if the size of the Schur complemented system clearly exceeds the active dimension within the subspace giving rise to the cutting model of the bundle method.

0
下载
关闭预览

相关内容

In this paper, we present a wideband subspace estimation method that characterizes the signal subspace through its orthogonal projection matrix at each frequency. Fundamentally, the method models this projection matrix as a function of frequency that can be approximated by a polynomial. It provides two improvements: a reduction in the number of parameters required to represent the signal subspace along a given frequency band and a quality improvement in wideband direction-of-arrival (DOA) estimators such as Incoherent Multiple Signal Classification (IC-MUSIC) and Modified Test of Orthogonality of Projected Subspaces (MTOPS). In rough terms, the method fits a polynomial to a set of projection matrix estimates, obtained at a set of frequencies, and then uses the polynomial as a representation of the signal subspace. The paper includes the derivation of asymptotic bounds for the bias and root-mean-square (RMS) error of the projection matrix estimate and a numerical assessment of the method and its combination with the previous two DOA estimators.

0
0
下载
预览

Large-scale optimization problems that seek sparse solutions have become ubiquitous. They are routinely solved with various specialized first-order methods. Although such methods are often fast, they usually struggle with not-so-well conditioned problems. In this paper, specialized variants of an interior point-proximal method of multipliers are proposed and analyzed for problems of this class. Computational experience on a variety of problems, namely, multi-period portfolio optimization, classification of data coming from functional Magnetic Resonance Imaging, restoration of images corrupted by Poisson noise, and classification via regularized logistic regression, provides substantial evidence that interior point methods, equipped with suitable linear algebra, can offer a noticeable advantage over first-order approaches.

0
0
下载
预览

In this paper novel simulation methods are provided for the generalised inverse Gaussian (GIG) L\'{e}vy process. Such processes are intractable for simulation except in certain special edge cases, since the L\'{e}vy density associated with the GIG process is expressed as an integral involving certain Bessel Functions, known as the Jaeger integral in diffusive transport applications. We here show for the first time how to solve the problem indirectly, using generalised shot-noise methods to simulate the underlying point processes and constructing an auxiliary variables approach that avoids any direct calculation of the integrals involved. The resulting augmented bivariate process is still intractable and so we propose a novel thinning method based on upper bounds on the intractable integrand. Moreover our approach leads to lower and upper bounds on the Jaeger integral itself, which may be compared with other approximation methods. The shot noise method involves a truncated infinite series of decreasing random variables, and as such is approximate, although the series are found to be rapidly convergent in most cases. We note that the GIG process is the required Brownian motion subordinator for the generalised hyperbolic (GH) L\'{e}vy process and so our simulation approach will straightforwardly extend also to the simulation of these intractable proceses. Our new methods will find application in forward simulation of processes of GIG and GH type, in financial and engineering data, for example, as well as inference for states and parameters of stochastic processes driven by GIG and GH L\'{e}vy processes.

0
0
下载
预览

In this work we present a novel bulk-surface virtual element method (BSVEM) for the numerical approximation of elliptic bulk-surface partial differential equations (BSPDEs) in three space dimensions. The BSVEM is based on the discretisation of the bulk domain into polyhedral elements with arbitrarily many faces. The polyhedral approximation of the bulk induces a polygonal approximation of the surface. Firstly, we present a geometric error analysis of bulk-surface polyhedral meshes independent of the numerical method. Hence, we show that BSVEM has optimal second-order convergence in space, provided the exact solution is $H^{2+3/4}$ in the bulk and $H^2$ on the surface, where the additional $\frac{3}{4}$ is due to the combined effect of surface curvature and polyhedral elements close to the boundary. We show that general polyhedra can be exploited to reduce the computational time of the matrix assembly. To support our convergence results, a numerical example is presented which demonstrates optimal convergence of an elliptic BSPDE in three space dimensions.

0
0
下载
预览

We study the Bayesian inverse problem for inferring the log-normal slowness function of the eikonal equation given noisy observation data on its solution at a set of spatial points. We study approximation of the posterior probability measure by solving the truncated eikonal equation, which contains only a finite number of terms in the Karhunen-Loeve expansion of the slowness function, by the Fast Marching Method. The error of this approximation in the Hellinger metric is deduced in terms of the truncation level of the slowness and the grid size in the Fast Marching Method resolution. It is well known that the plain Markov Chain Monte Carlo procedure for sampling the posterior probability is highly expensive. We develop and justify the convergence of a Multilevel Markov Chain Monte Carlo method. Using the heap sort procedure in solving the forward eikonal equation by the Fast Marching Method, our Multilevel Markov Chain Monte Carlo method achieves a prescribed level of accuracy for approximating the posterior expectation of quantities of interest, requiring only an essentially optimal level of complexity. Numerical examples confirm the theoretical results.

0
0
下载
预览

We propose a topology optimisation of acoustic devices that work in a certain bandwidth. To achieve this, we define the objective function as the frequency-averaged sound intensity at given observation points, which is represented by a frequency integral over a given frequency band. It is, however, prohibitively expensive to evaluate such an integral naively by a quadrature. We thus estimate the frequency response by the Pad\'{e} approximation and integrate the approximated function to obtain the objective function. The corresponding topological derivative is derived with the help of the adjoint variable method and chain rule. It is shown that the objective and its sensitivity can be evaluated semi-analytically. We present efficient numerical procedures to compute them and incorporate them into a topology optimisation based on the level-set method. We confirm the validity and effectiveness of the present method through some numerical examples.

0
0
下载
预览

We develop a generalized hybrid iterative approach for computing solutions to large-scale Bayesian inverse problems. We consider a hybrid algorithm based on the generalized Golub-Kahan bidiagonalization for computing Tikhonov regularized solutions to problems where explicit computation of the square root and inverse of the covariance kernel for the prior covariance matrix is not feasible. This is useful for large-scale problems where covariance kernels are defined on irregular grids or are only available via matrix-vector multiplication, e.g., those from the Mat\'{e}rn class. We show that iterates are equivalent to LSQR iterates applied to a directly regularized Tikhonov problem, after a transformation of variables, and we provide connections to a generalized singular value decomposition filtered solution. Our approach shares many benefits of standard hybrid methods such as avoiding semi-convergence and automatically estimating the regularization parameter. Numerical examples from image processing demonstrate the effectiveness of the described approaches.

0
0
下载
预览

In order to avoid the curse of dimensionality, frequently encountered in Big Data analysis, there was a vast development in the field of linear and nonlinear dimension reduction techniques in recent years. These techniques (sometimes referred to as manifold learning) assume that the scattered input data is lying on a lower dimensional manifold, thus the high dimensionality problem can be overcome by learning the lower dimensionality behavior. However, in real life applications, data is often very noisy. In this work, we propose a method to approximate $\mathcal{M}$ a $d$-dimensional $C^{m+1}$ smooth submanifold of $\mathbb{R}^n$ ($d \ll n$) based upon noisy scattered data points (i.e., a data cloud). We assume that the data points are located "near" the lower dimensional manifold and suggest a non-linear moving least-squares projection on an approximating $d$-dimensional manifold. Under some mild assumptions, the resulting approximant is shown to be infinitely smooth and of high approximation order (i.e., $O(h^{m+1})$, where $h$ is the fill distance and $m$ is the degree of the local polynomial approximation). The method presented here assumes no analytic knowledge of the approximated manifold and the approximation algorithm is linear in the large dimension $n$. Furthermore, the approximating manifold can serve as a framework to perform operations directly on the high dimensional data in a computationally efficient manner. This way, the preparatory step of dimension reduction, which induces distortions to the data, can be avoided altogether.

0
3
下载
预览

UMAP (Uniform Manifold Approximation and Projection) is a novel manifold learning technique for dimension reduction. UMAP is constructed from a theoretical framework based in Riemannian geometry and algebraic topology. The result is a practical scalable algorithm that applies to real world data. The UMAP algorithm is competitive with t-SNE for visualization quality, and arguably preserves more of the global structure with superior run time performance. Furthermore, UMAP has no computational restrictions on embedding dimension, making it viable as a general purpose dimension reduction technique for machine learning.

0
7
下载
预览

Many resource allocation problems in the cloud can be described as a basic Virtual Network Embedding Problem (VNEP): finding mappings of request graphs (describing the workloads) onto a substrate graph (describing the physical infrastructure). In the offline setting, the two natural objectives are profit maximization, i.e., embedding a maximal number of request graphs subject to the resource constraints, and cost minimization, i.e., embedding all requests at minimal overall cost. The VNEP can be seen as a generalization of classic routing and call admission problems, in which requests are arbitrary graphs whose communication endpoints are not fixed. Due to its applications, the problem has been studied intensively in the networking community. However, the underlying algorithmic problem is hardly understood. This paper presents the first fixed-parameter tractable approximation algorithms for the VNEP. Our algorithms are based on randomized rounding. Due to the flexible mapping options and the arbitrary request graph topologies, we show that a novel linear program formulation is required. Only using this novel formulation the computation of convex combinations of valid mappings is enabled, as the formulation needs to account for the structure of the request graphs. Accordingly, to capture the structure of request graphs, we introduce the graph-theoretic notion of extraction orders and extraction width and show that our algorithms have exponential runtime in the request graphs' maximal width. Hence, for request graphs of fixed extraction width, we obtain the first polynomial-time approximations. Studying the new notion of extraction orders we show that (i) computing extraction orders of minimal width is NP-hard and (ii) that computing decomposable LP solutions is in general NP-hard, even when restricting request graphs to planar ones.

0
4
下载
预览
小贴士
相关论文
Valentina De Simone,Daniela di Serafino,Jacek Gondzio,Spyridon Pougkakiotis,Marco Viola
0+阅读 · 11月25日
Virtual element method for elliptic bulk-surface PDEs in three space dimensions
Massimo Frittelli,Anotida Madzvamuse,Ivonne Sgura
0+阅读 · 11月24日
Zhan Fei Yeo,Viet Ha Hoang
0+阅读 · 11月24日
Julianne Chung,Arvind K. Saibaba
0+阅读 · 11月23日
Manifold Approximation by Moving Least-Squares Projection (MMLS)
Barak Sober,David Levin
3+阅读 · 2019年3月7日
UMAP: Uniform Manifold Approximation and Projection for Dimension Reduction
Leland McInnes,John Healy,James Melville
7+阅读 · 2018年12月6日
Matthias Rost,Stefan Schmid
4+阅读 · 2018年3月12日
相关VIP内容
相关资讯
ICLR2019最佳论文出炉
专知
11+阅读 · 2019年5月6日
Call for Participation: Shared Tasks in NLPCC 2019
中国计算机学会
5+阅读 · 2019年3月22日
强化学习的Unsupervised Meta-Learning
CreateAMind
7+阅读 · 2019年1月7日
Unsupervised Learning via Meta-Learning
CreateAMind
32+阅读 · 2019年1月3日
Disentangled的假设的探讨
CreateAMind
8+阅读 · 2018年12月10日
disentangled-representation-papers
CreateAMind
24+阅读 · 2018年9月12日
【论文】变分推断(Variational inference)的总结
机器学习研究会
24+阅读 · 2017年11月16日
【计算机类】期刊专刊/国际会议截稿信息6条
Call4Papers
3+阅读 · 2017年10月13日
Auto-Encoding GAN
CreateAMind
5+阅读 · 2017年8月4日
【今日新增】IEEE Trans.专刊截稿信息8条
Call4Papers
4+阅读 · 2017年6月29日
Top