论文标题

有效地使用不完整的信息计算准胶膜信封

Efficiently Computing the Quasiconcave Envelope with Incomplete Information

论文作者

Wu, Jian, Haskell, William B., Huang, Wenjie, Xu, Huifu

论文摘要

在本文中,我们根据有限的部分信息研究了未知的准循环函数的近似。可用的信息包括针对目标函数值的下限,以及指定点集的某些功能属性,包括单调性,Lipschitz连续性,排名和置换不变性。我们考虑统治这些下限并满足这些功能特性的可允许的准胶函数类别。然后,我们计算可允许的准循环函数类别中最小的准胶函数。具体而言,我们展示了如何有效地计算数据样本的Quasiconcave Invelope(QCOE),但要遵守其他功能属性。解决方案过程采取两个步骤。首先,解决了一个值问题以确定给定数据样本上QCOE的值。其次,解决了一个插值问题以计算其他点上的QCOE值。价值问题和插值问题都引入了一些理论和计算挑战,因为它们是非凸面和大规模的。两个问题的MILP重新汇总需要在最坏的情况下解决指数数量的线性程序(LP)。作为我们的主要贡献,我们仅使用多项式的LPS解决值问题,然后解决仅使用对数的LP的任何候选点的插值问题。一些初步的数值测试表明,所提出的方法是有效且适当的。

In this paper, we study the approximation of an unknown quasiconcave function based on limited partial information. Available information includes lower bounds on the values of the target function at a specified set of points, as well as some functional properties including monotonicity, Lipschitz continuity, ranking, and permutation invariance. We consider the class of admissible quasiconcave functions that dominate these lower bounds and satisfy these functional properties. We then compute the smallest quasiconcave function among the class of admissible quasiconcave functions. Specifically, we show how to efficiently compute the quasiconcave envelope (QCoE) of a data sample of points, subject to the additional functional properties. The solution procedure takes two steps. First, a value problem is solved to determine the values of the QCoE on the given data sample. Second, an interpolation problem is solved to compute the values of the QCoE on other points. Both the value problem and the interpolation problem introduce some theoretical and computational challenges, as they are non-convex and large-scale. The MILP reformulations of both problems require an exponential number of linear programs (LPs) to be solved in the worst-case. As our main contribution, we solve the value problem with only a polynomial number of LPs, and then solve the interpolation problem for any candidate point with only a logarithmic number of LPs. Some preliminary numerical tests show that the proposed approach is efficient and proper.

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