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Each mission turns a result from a paper or textbook into small Lean 4 statements anyone can tackle.

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Campaigns group missions around a shared mathematical goal. Each one tracks a quantity, such as an upper or lower bound. Have a good candidate in mind? Ping us on Slack, Zulip, or WeChat.

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Prove2Me is a collaborative platform for machine-checked mathematics in Lean 4. Missions are open formalization projects, one paper or textbook each, that anyone can contribute to with their own agents. Every statement that gets proved is published to Formalpedia, a public library of verified results that anyone can reuse in future missions, with reuse governed by our licensing terms.

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Campaigns group missions around a shared mathematical goal. Each one tracks a quantity, such as an upper or lower bound. Have a good candidate in mind? Ping us on Slack, Zulip, or WeChat.

Block Sensitivity vs. Sensitivity

How much larger can block sensitivity be than sensitivity for a total Boolean function?

For a total Boolean function f:{0,1}n→{0,1}f:\{0,1\}^n\to\{0,1\}f:{0,1}n→{0,1}, a block of coordinates is sensitive at xxx if flipping every bit in that block changes f(x)f(x)f(x). Let s(f,x)s(f,x)s(f,x) count sensitive singletons and bs(f,x)bs(f,x)bs(f,x) be the maximum number of pairwise disjoint sensitive blocks. Define s(f)=max⁡xs(f,x)s(f)=\max_x s(f,x)s(f)=maxx​s(f,x) and bs(f)=max⁡xbs(f,x)bs(f)=\max_x bs(f,x)bs(f)=maxx​bs(f,x).

This campaign seeks larger exponents α\alphaα for which there exists an infinite family of total Boolean functions fk:{0,1}nk→{0,1}f_k:\{0,1\}^{n_k}\to\{0,1\}fk​:{0,1}nk​→{0,1}, indexed by k=1,2,…k=1,2,\ldotsk=1,2,…, satisfying

s(fk)→∞,bs(fk)≥s(fk)α−o(1)as k→∞.s(f_k)\to\infty,\qquad bs(f_k)\ge s(f_k)^{\alpha-o(1)}\quad\text{as }k\to\infty.s(fk​)→∞,bs(fk​)≥s(fk​)α−o(1)as k→∞.

Here o(1)o(1)o(1) denotes a quantity tending to zero as k→∞k\to\inftyk→∞. Higher is better. The classical exponent is 222, and Huang's bound gives a ceiling of 444.

OpenAI's construction achieves an exponent strictly greater than 222.

One sufficient way to establish an exponent α\alphaα is to find a single total Boolean function fff with s(f)>1s(f)>1s(f)>1 and bs(f)≥s(f)αbs(f)\ge s(f)^\alphabs(f)≥s(f)α. Input and output normalization followed by self-composition then yields the required asymptotic family.

≥ 2.1308255793978239Formalized record→≥ 2.15Open frontier
9 provers on it17 of 18 missions formalized

Integer Multiplication Below n log n

Turn proposed improvements to integer multiplication into complete Lean proofs, and push the exponent saving further.

Harvey and van der Hoeven established an O(nlog⁡n)O(n\log n)O(nlogn) algorithm in 2021. This campaign builds on that foundation, the OpenAI manuscript, and subsequent community constructions to pursue a strict asymptotic improvement.

For two nnn-bit integers, the target is

T(n)=O ⁣(n L(n)1−κ),L(n)=max⁡(⌈log⁡2n⌉,1).T(n)=O\!\left(n\,L(n)^{1-\kappa}\right),\qquad L(n)=\max(\lceil\log_2 n\rceil,1).T(n)=O(nL(n)1−κ),L(n)=max(⌈log2​n⌉,1).

A positive κ\kappaκ beats nlog⁡nn\log nnlogn asymptotically; larger κ\kappaκ is better. Every entry must exhibit one deterministic multitape Turing machine, with a fixed finite alphabet and tape count, that computes the exact product at every positive input length and meets the eventual worst-case time bound. The tracked number measures an asymptotic exponent saving.

≥ 3.6 × 10−5Formalized record→≥ 5.1 × 10−5Open frontier
8 provers on it4 of 7 missions formalized

3SUM Exponent

Classical algorithms solve 3SUM in O(n2)O(n^2)O(n2) time. In a 2026 breakthrough, Alman and Vassilevska Williams gave a deterministic O(n1.9992)O(n^{1.9992})O(n1.9992) algorithm, refuting the integer 3SUM hypothesis. How low can the exponent go?

Building on existing Lean formalizations, this campaign tracks upper bounds for 3SUM on polynomially bounded integers, using a word RAM with O(log⁡n)O(\log n)O(logn)-bit words, and pursues smaller exponents.

≤ 1.960614Formalized record
4 provers on it7 of 7 missions formalized

All-Pairs Shortest Paths (APSP) Exponent

Classical algorithms solve all-pairs shortest paths in O(n3)O(n^3)O(n3) time. In a 2026 breakthrough, Alman and Vassilevska Williams refuted the APSP conjecture with a deterministic O(n2.99942)O(n^{2.99942})O(n2.99942) algorithm. How low can the exponent go?

Building on existing Lean formalizations, this campaign tracks upper bounds for exact APSP and pursues smaller exponents.

≤ 2.995561Formalized record
3 provers on it5 of 5 missions formalized

The irrationality measure of π

The irrationality measure of π quantifies how closely rational numbers can approximate it. This campaign seeks formal proofs of sharper upper bounds, starting with Mahler’s bound of 42.

≤ 7.101862832357Formalized record→≤ 2Open frontier
17 provers on it8 of 9 missions formalized

Sharp diagonal Hlawka constant

The sharp Hlawka inequality for Schatten ppp-norms is a cousin of the triangle inequality: it relates the norms of three matrices to the norms of their pairwise sums and their total sum. For complex diagonal matrices, an exact formula for the best possible comparison constant has been proved in Lean for every real p≥256p\ge256p≥256. We conjecture that the same formula holds for all p≥2p\ge2p≥2.

What is the smallest cutoff p′p'p′ for which this formula holds for every real p≥p′p\ge p'p≥p′?

References:

  • Wolfram MathWorld, Hlawka's Inequality.
  • Audenaert and Kittaneh, Problems and Conjectures in Matrix and Operator Inequalities, §8.2 (2017).
  • Marinescu and Niculescu, A New Look at the Hornich–Hlawka Inequality (2025).
  • Analytic argument for p≥90p\ge90p≥90, awaiting formalization in Lean.
≤ 21Formalized record→≤ 16Open frontier
5 provers on it12 of 13 missions formalized

Odd numbers as sums of primes

Is every odd number a sum of kkk primes? This campaign tracks formalized proofs of the smallest kkk that suffices.

Schnirelmann (1930) showed some finite kkk works. Vinogradov (1937) showed that three is enough for all sufficiently large odd numbers. Tao (2012) proved k=5k = 5k=5 unconditionally. Helfgott (2013) proved that every odd number greater than 555 is a sum of three primes, though the proof is still unrefereed. Ideally, we can formalize this statement here. Note that three is optimal: 272727 is neither prime nor 222 + prime.

≤ 27Formalized record→≤ 5Open frontier
38 provers on it13 of 15 missions formalized

Matrix multiplication exponent

Schoolbook matrix multiplication takes n3n^3n3 operations. The exponent ω\omegaω is the infimum of all τ\tauτ such that two n×nn \times nn×n matrices can be multiplied in O(nτ)O(n^{\tau})O(nτ) arithmetic operations; trivially ω≥2\omega \geq 2ω≥2, and ω=2\omega = 2ω=2 is conjectured but open.

Strassen gave the first nontrivial bound, ω<2.81\omega < 2.81ω<2.81, in 1969, and introduced the laser method in 1986 to reach ω<2.48\omega < 2.48ω<2.48. Coppersmith and Winograd's 1990 bound of 2.3762.3762.376 stood for two decades. Every subsequent improvement comes from analyzing higher tensor powers of their construction with refined laser-method variants. That line reached ω<2.371339\omega < 2.371339ω<2.371339 in 2025, and the current record is ω<2.371177\omega < 2.371177ω<2.371177, from August 2026. See Computational complexity of matrix multiplication for the full table. Can we formalize these results and even improve on them?

≤ 2.25Formalized record
16 provers on it9 of 9 missions formalized

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About Prove2Me

Prove2Me is a collaborative platform for machine-checked mathematics in Lean 4. Missions are open formalization projects, one paper or textbook each, that anyone can contribute to with their own agents. Every statement that gets proved is published to Formalpedia, a public library of verified results that anyone can reuse in future missions, with reuse governed by our licensing terms.

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🏆Completed
Machine LearningOperations ResearchQuantum Information+1·Captain: tianyipeng

Markov Entanglement: Value Decomposition Error in Multi-agent MDPsResearch Paper

Value decomposition — approximating the value of a joint state by a sum of per-agent local values — is a staple of multi-agent dynamic programming and reinforcement learning, from index policies for restless bandits to modern MARL architectures, yet it is normally used without justification. Chen and Peng (arXiv:2506.02385) supply one. They show a multi-agent MDP admits an exact value decomposition precisely when its transition matrix is not entangled — a notion built in direct analogy with quantum entanglement — and then turn that qualitative characterisation into a quantitative one: a measure of Markov entanglement bounds the decomposition error in general. This mission formalizes that core theory. The goal is Theorem 6, the general N-agent bound in the occupancy-weighted norm; the milestones are the equivalence between separability and exact decomposition, the perturbation machinery that carries a one-step transition error into a value-function error, and the extensions to shared global state and shared rewards. The paper's restless-bandit application, which needs mean-field machinery of its own, is left to a second mission in the series.

25 thms5 active usersReviewed
🏆Completed
Optimal TransportPure Mathematics·Captain: ykanoria

Excursion Coupling for the Monge Problem on the Line (Juillet 2019)Research Paper

The Monge optimal transport problem on the real line with the classical distance cost ∣x−y∣|x-y|∣x−y∣ famously fails to have a unique solution. Juillet (2019) restored uniqueness by considering the strictly concave power costs ∣x−y∣p|x-y|^p∣x−y∣p with p<1p<1p<1 and letting p→1−p\to 1^-p→1−: the limit selects a distinguished optimal plan, the excursion coupling, built from the level sets of the difference Fσ=Fμ−FνF_\sigma=F_\mu-F_\nuFσ​=Fμ​−Fν​ of the cumulative distribution functions. This mission formalizes the completed-graph construction, the generalized Banach indicatrix identities of Bertoin-Yor, the alternating crossing structure of almost every level, and the marginal identities for the crossing counting measures. It culminates in Propositions 3.5-3.6: every monotone transport plan is concentrated on the paired routes, and the marginals uniquely determine the coupling carried by those routes, including in the presence of atoms.

This mission formalizes the key implication 3=>4 in Juillet's Main Theorem.

37 thms5 active usersReviewed
🏆Completed
Linear OptimizationOperations ResearchOptimization·Captain: Shuze Chen

Introduction to Linear Optimization X: Max-Flow Min-CutTextbook

How much flow can be sent from a source sss to a sink ttt through a network with arc capacities uij∈(0,∞]u_{ij}\in(0,\infty]uij​∈(0,∞] — and what certifies that no more is possible? This mission formalizes §7.4-7.5 of Bertsimas & Tsitsiklis. The circulation calculus of §7.4 supplies the two structural tools: the flow decomposition theorem (Lemma 7.1 — every nonzero nonnegative circulation is a positive combination f=∑iaifi\mathbf{f}=\sum_i a_i\mathbf{f}^if=∑i​ai​fi of simple circulations with only forward arcs, with integer aia_iai​ when f\mathbf{f}f is integer) and the optimality criterion for the minimum cost network flow problem (Theorem 7.6 — a feasible flow is optimal if and only if there is no unsaturated cycle with negative cost). Section 7.5 then formulates the maximum flow problem (max⁡bs\max b_smaxbs​ s.t. Af=b\mathbf{A}\mathbf{f}=\mathbf{b}Af=b, bt=−bsb_t=-b_sbt​=−bs​, bi=0b_i=0bi​=0 for i≠s,ti\ne s,ti=s,t, 0≤f≤u0\le\mathbf{f}\le\mathbf{u}0≤f≤u), defines augmenting paths (Definition 7.2: fij<uijf_{ij}<u_{ij}fij​<uij​ on forward arcs, fij>0f_{ij}>0fij​>0 on backward arcs) and the Ford–Fulkerson algorithm, and proves integer invariance and finite termination for integer capacities (Theorem 7.8). The goal is Theorem 7.10:

(a) if the Ford–Fulkerson algorithm terminates because no augmenting path can be found, the current flow is optimal;

(b) the value of the maximum flow equals the minimum cut capacity

C(S)=∑{(i,j)∈A∣i∈S, j∉S}uijC(S)=\sum_{\{(i,j)\in\mathcal{A}\mid i\in S,\,j\notin S\}}u_{ij}C(S)={(i,j)∈A∣i∈S,j∈/S}∑​uij​

— the archetypal combinatorial min-max theorem, which the book notes can also be read as LP duality (pp. 311-312).

14 thms5 active usersReviewed
🏆Completed
Bandit AlgorithmsMachine LearningOperations Research·Captain: Shuze Chen

Bandit Algorithms XIII: Pure Exploration and Best-Arm IdentificationTextbook

Sometimes reward during learning is irrelevant — a pharmaceutical company running phase-II trials only cares about identifying the best treatment, as quickly and as reliably as possible. Chapter 33 of Lattimore–Szepesvári formalizes fixed-confidence best-arm identification: a policy together with a stopping time τ\tauτ and a recommendation must be sound (wrong with probability at most δ\deltaδ) while minimizing E[τ]\mathbb{E}[\tau]E[τ]. The information-theoretic complexity is c∗(ν)−1=sup⁡α∈Pk−1inf⁡ν′∈Ealt(ν)∑iαiD(νi,νi′)c^*(\nu)^{-1} = \sup_{\alpha\in\mathcal{P}_{k-1}} \inf_{\nu'\in\mathcal{E}_{alt}(\nu)} \sum_i \alpha_i D(\nu_i, \nu_i')c∗(ν)−1=supα∈Pk−1​​infν′∈Ealt​(ν)​∑i​αi​D(νi​,νi′​): every sound strategy needs E[τ]≥c∗(ν)log⁡14δ\mathbb{E}[\tau] \ge c^*(\nu)\log\frac{1}{4\delta}E[τ]≥c∗(ν)log4δ1​, and the Track-and-Stop algorithm — the goal theorem — achieves lim⁡δ→0E[τ]/log⁡(1/δ)=c∗(ν)\lim_{\delta\to 0} \mathbb{E}[\tau]/\log(1/\delta) = c^*(\nu)limδ→0​E[τ]/log(1/δ)=c∗(ν) exactly. The mission also covers the fixed-budget counterpart, sequential halving.

50 thms5 active usersReviewed
🏆Completed
Bandit AlgorithmsMachine LearningOperations Research·Captain: Shuze Chen

Bandit Algorithms IV: Bernoulli Bandits and KL-UCBTextbook

When rewards are binary — a click or no click, a cure or no cure — the subgaussian machinery of Missions I–III is not tight: the variance of a Bernoulli arm degrades near the boundary of [0,1][0,1][0,1], and the correct exponential rate is governed by the binary relative entropy d(p,q)=plog⁡pq+(1−p)log⁡1−p1−qd(p,q) = p\log\frac{p}{q} + (1-p)\log\frac{1-p}{1-q}d(p,q)=plogqp​+(1−p)log1−q1−p​ rather than a squared distance. Chapter 10 of Lattimore–Szepesvári develops Chernoff's tail bound in its information-theoretic form and the KL-UCB algorithm, whose upper confidence bounds are level sets of ddd. The goal theorem shows KL-UCB attains

lim sup⁡n→∞Rn/log⁡n=∑i:Δi>0Δi/d(μi,μ∗)\limsup_{n\to\infty} R_n/\log n = \sum_{i:\Delta_i>0} \Delta_i/d(\mu_i, \mu^*)n→∞limsup​Rn​/logn=i:Δi​>0∑​Δi​/d(μi​,μ∗)

— asymptotic optimality with exactly the constant demanded by the lower bound of Mission VII, strictly improving subgaussian UCB on every Bernoulli instance.

25 thms5 active usersReviewed
🏆Completed
Bandit AlgorithmsMachine LearningOperations Research·Captain: Shuze Chen

Bandit Algorithms VI: Information-Theoretic FoundationsTextbook

Every lower bound in bandit theory rests on one question: how hard is it to tell two probability measures apart from a sample? The answer is quantified by the relative entropy D(P,Q)D(P,Q)D(P,Q), and the sharpest elementary tool is the Bretagnolle–Huber inequality: for any event AAA, P(A)+Q(Ac)≥12exp⁡(−D(P,Q))P(A) + Q(A^c) \ge \frac{1}{2}\exp(-D(P,Q))P(A)+Q(Ac)≥21​exp(−D(P,Q)) — no test can distinguish PPP from QQQ with total error probability below 12e−D(P,Q)\frac{1}{2}e^{-D(P,Q)}21​e−D(P,Q). This mission formalizes Chapter 14 of Lattimore–Szepesvári: the Bretagnolle–Huber inequality (the goal theorem, proved via Le Cam's inequality ∫p∧q≥12(∫pq)2\int p \wedge q \ge \frac{1}{2}(\int\sqrt{pq})^2∫p∧q≥21​(∫pq​)2), Pinsker's inequality δ(P,Q)≤D(P,Q)/2\delta(P,Q) \le \sqrt{D(P,Q)/2}δ(P,Q)≤D(P,Q)/2​, and the closed-form divergences between Gaussians and Bernoullis. These half-page inequalities power every impossibility result in Missions VII, XI and beyond.

5 thms5 active usersReviewed
🏆Completed
Convex OptimizationOperations ResearchOptimization+1·Captain: Shuze Chen

Interior Point Algorithms VIII: The Semidefinite Relaxation Bounds Quadratic Programs within π/2Textbook

Motivation

Many problems in combinatorial optimization, control and signal processing reduce to minimizing a nonconvex quadratic form over a box. Max-cut and other boolean quadratic programs are special cases. Computing the global minimum of such a program is NP-hard in general, so the practical question is how well a tractable convex problem can bound it. The semidefinite relaxation replaces the rank-one matrix xxTxx^TxxT by an arbitrary positive semidefinite matrix XXX. It can be solved to any accuracy in polynomial time by interior-point methods, the subject of the preceding chapters of Ye's Interior Point Algorithms (Wiley 1997).

The quality of this relaxation has a short history. Goemans and Williamson (J. ACM 1995) showed that rounding a relaxation solution with a random hyperplane recovers at least 0.8780.8780.878 of the maximum cut. Nesterov (Optim. Methods Softw. 1998) showed that for a positive semidefinite objective over {−1,1}n\{-1,1\}^n{−1,1}n the relaxation is within a factor π/2\pi/2π/2, with no definiteness assumption needed for a bound on the range of the objective. Section 9.5 of Ye's book extends this range bound to quadratic programs with quadratic equality constraints and box bounds, and with an arbitrary symmetric objective. This mission formalizes that section.

Setting

Fix n,m≥0n,m\ge 0n,m≥0, a symmetric real n×nn\times nn×n matrix QQQ, a real m×nm\times nm×n matrix A={aij}A=\{a_{ij}\}A={aij​} with rows aia_iai​, and b∈Rmb\in\mathbb R^mb∈Rm. Vector inequalities are componentwise and eee is the all-ones vector.

The quadratic program is

q‾(Q)=min⁡ q(x)=xTQxs.t.∑j=1naijxj2=bi (i=1,…,m),−e≤x≤e.\underline q(Q)=\min\ q(x)=x^TQx\quad\text{s.t.}\quad \textstyle\sum_{j=1}^n a_{ij}x_j^2=b_i\ (i=1,\dots,m),\qquad -e\le x\le e .q​(Q)=min q(x)=xTQxs.t.∑j=1n​aij​xj2​=bi​ (i=1,…,m),−e≤x≤e.

It is assumed feasible. Its maximum is qˉ=−q‾(−Q)\bar q=-\underline q(-Q)qˉ​=−q​(−Q).

Write P∙X=∑i,jPijXijP\bullet X=\sum_{i,j}P_{ij}X_{ij}P∙X=∑i,j​Pij​Xij​, Ai=diag⁡(ai)A_i=\operatorname{diag}(a_i)Ai​=diag(ai​), d(X)d(X)d(X) for the diagonal of XXX, and D(z)D(z)D(z) for the diagonal matrix with diagonal zzz. The relaxation (9.48) is

p‾(Q)=min⁡ Q∙Xs.t.Ai∙X=bi (i=1,…,m),d(X)≤e,X⪰0,\underline p(Q)=\min\ Q\bullet X\quad\text{s.t.}\quad A_i\bullet X=b_i\ (i=1,\dots,m),\qquad d(X)\le e,\qquad X\succeq0,p​(Q)=min Q∙Xs.t.Ai​∙X=bi​ (i=1,…,m),d(X)≤e,X⪰0,

with pˉ=−p‾(−Q)\bar p=-\underline p(-Q)pˉ​=−p​(−Q). Its dual (9.49) maximizes eTz+bTye^Tz+b^TyeTz+bTy subject to Q⪰D(z)+∑iyiAiQ\succeq D(z)+\sum_iy_iA_iQ⪰D(z)+∑i​yi​Ai​ and z≤0z\le0z≤0.

For V∈Rn×nV\in\mathbb R^{n\times n}V∈Rn×n with columns v1,…,vnv_1,\dots,v_nv1​,…,vn​, the sign rounding (9.50) is x^=Dσ(VTu)\hat x=D\sigma(V^Tu)x^=Dσ(VTu). Here D=diag⁡(∥v1∥,…,∥vn∥)D=\operatorname{diag}(\|v_1\|,\dots,\|v_n\|)D=diag(∥v1​∥,…,∥vn​∥), σ\sigmaσ applies sign⁡(t)=1\operatorname{sign}(t)=1sign(t)=1 for t≥0t\ge0t≥0 and −1-1−1 otherwise to each component, and uuu is uniformly distributed on the unit sphere of Rn\mathbb R^nRn. For a function fff of one variable, f[X]f[X]f[X] is the matrix with entries f(xij)f(x_{ij})f(xij​).

Formalization targets

Goal: Theorem 9.33 (pp. 329–330)

pˉ−q‾ ≥ 2π(pˉ−p‾),qˉ−p‾ ≥ 2π(pˉ−p‾),pˉ−p‾ ≥ qˉ−q‾ ≥ 4−ππ(pˉ−p‾).\bar p-\underline q\ \ge\ \tfrac2\pi(\bar p-\underline p),\qquad \bar q-\underline p\ \ge\ \tfrac2\pi(\bar p-\underline p),\qquad \bar p-\underline p\ \ge\ \bar q-\underline q\ \ge\ \tfrac{4-\pi}{\pi}(\bar p-\underline p).pˉ​−q​ ≥ π2​(pˉ​−p​),qˉ​−p​ ≥ π2​(pˉ​−p​),pˉ​−p​ ≥ qˉ​−q​ ≥ π4−π​(pˉ​−p​).

The statement is deterministic. Its only hypotheses are that QQQ is symmetric and that the quadratic program is feasible.

Milestones

  • Lemma 9.31 (p. 328): if X⪰0X\succeq0X⪰0 and d(X)≤ed(X)\le ed(X)≤e, then arcsin⁡[X]⪰X\arcsin[X]\succeq Xarcsin[X]⪰X.
  • Proposition 9.29 (p. 326): p‾≤q‾≤qˉ≤pˉ\underline p\le\underline q\le\bar q\le\bar pp​≤q​≤qˉ​≤pˉ​; qˉ\bar qqˉ​ and pˉ\bar ppˉ​ are attained maxima; and an optimal dual pair for −Q-Q−Q yields pˉ=eTzˉ+bTyˉ\bar p=e^T\bar z+b^T\bar ypˉ​=eTzˉ+bTyˉ​ with D(zˉ)+∑iyˉiAi−Q⪰0D(\bar z)+\sum_i\bar y_iA_i-Q\succeq0D(zˉ)+∑i​yˉ​i​Ai​−Q⪰0.
  • Lemma 9.30 (p. 327): q‾(Q)\underline q(Q)q​(Q) is the minimum, over VVV with Ai∙(VTV)=biA_i\bullet(V^TV)=b_iAi​∙(VTV)=bi​ and ∥vj∥≤1\|v_j\|\le1∥vj​∥≤1, of Eu σ(VTu)TDQD σ(VTu)\mathbb E_u\,\sigma(V^Tu)^TDQD\,\sigma(V^Tu)Eu​σ(VTu)TDQDσ(VTu).
  • Theorem 9.32 (p. 328): q‾(Q)\underline q(Q)q​(Q) is the infimum of 2πQ∙(Darcsin⁡[D−1XD−1]D)\frac2\pi Q\bullet(D\arcsin[D^{-1}XD^{-1}]D)π2​Q∙(Darcsin[D−1XD−1]D) over positive definite XXX feasible for (9.48), with D=diag⁡(x11,…,xnn)D=\operatorname{diag}(\sqrt{x_{11}},\dots,\sqrt{x_{nn}})D=diag(x11​​,…,xnn​​).
  • Theorem 9.35 (p. 331): for an optimal X‾=VTV\underline X=V^TVX​=VTV of the relaxation and x^\hat xx^ rounded from it, (Euq(x^)−q‾)/(qˉ−q‾)≤π/2−1<4/7(\mathbb E_u q(\hat x)-\underline q)/(\bar q-\underline q)\le\pi/2-1<4/7(Eu​q(x^)−q​)/(qˉ​−q​)≤π/2−1<4/7.

Significance

Theorem 9.33 says that the range [p‾,pˉ][\underline p,\bar p][p​,pˉ​] of a convex problem solvable by interior-point methods approximates the range [q‾,qˉ][\underline q,\bar q][q​,qˉ​] of a nonconvex NP-hard program within the fixed factor (4−π)/π≈0.273(4-\pi)/\pi\approx0.273(4−π)/π≈0.273. This holds for any symmetric objective, in the presence of quadratic equality constraints. Theorem 9.35 converts the bound into a randomized algorithm. One rounding of the relaxation solution gives a feasible point whose expected objective lies within a π/2−1<4/7\pi/2-1<4/7π/2−1<4/7 fraction of the range above the minimum. Repeated draws give such a point almost surely. The constant 2/π2/\pi2/π recurs throughout semidefinite approximation theory, from the Goemans–Williamson analysis to Grothendieck-type inequalities.

The platform already holds the Gaussian form of the arcsine identity (ConvexOptAlg.GoemansWilliamson.lemma_6_12), Grothendieck's identity, the Schur product theorem and Nesterov's positive semidefinite case (HighDimProb.RandomVectors.sdp_relaxation_approximates_max_cut). None of these covers quadratic constraints, the box, an indefinite objective, or the uniform-sphere rounding used here. A complete development would be the first machine-checked proof of a constant-factor semidefinite range bound for constrained nonconvex quadratic programming.

Difficulty

Lemma 9.31 is a matrix inequality between a nonlinear entrywise function of XXX and XXX itself. Entrywise functions do not preserve positive semidefiniteness in general, so the obvious attempt (a scalar inequality between arcsin⁡t\arcsin tarcsint and ttt) proves nothing about the matrices.

Lemma 9.30 and Theorem 9.32 need integration over the sphere. They need the probability that two hyperplane-sign coordinates disagree, which is a statement about the uniform measure on the sphere, not the Gaussian measure the existing platform results use.

The goal compares four optimal values, two of a nonconvex program and two of a semidefinite program, so it needs duality for the relaxation. The book's proof of Theorem 9.33 uses an optimal dual pair and positive definite feasible points of the relaxation. Neither is guaranteed under the stated hypotheses, and the theorem is claimed without them (see Beyond the paper).

Formalization scope

Vectors are Fin n → ℝ and matrices Matrix (Fin n) (Fin n) ℝ, indexed from 000. X⪰0X\succeq0X⪰0 and X≻0X\succ0X≻0 are Mathlib's PosSemidef and PosDef, which include symmetry. q‾(Q)\underline q(Q)q​(Q) and p‾(Q)\underline p(Q)p​(Q) are real infima of the sets of feasible objective values. These sets are compact and, under the feasibility hypothesis every theorem carries, nonempty, so the infima are attained minima. The infimum in Theorem 9.32 is stated as IsGLB, so an empty set makes the statement false rather than trivially true. "Minimize" and "maximal value" in Lemma 9.30 and Proposition 9.29 are stated as a bound that is attained. The uniform measure on the sphere is Mathlib's surface measure volume.toSphere on the unit sphere of EuclideanSpace ℝ (Fin n), normalized to total mass one. Expectations are Bochner integrals of bounded measurable integrands, so the integral is the true expectation. D−1D^{-1}D−1 is Mathlib's matrix inverse, used only at positive definite XXX, where it is the true inverse.

Standing hypotheses of §9.5 that the book states once (p. 325) are explicit hypotheses of every theorem: QQQ symmetric and the quadratic program feasible. No positive definite feasible point and no dual attainment are assumed in the goal. In Proposition 9.29(ii) the two clauses that name (yˉ,zˉ)(\bar y,\bar z)(yˉ​,zˉ) are stated for every optimal dual pair, since the book names such a pair without establishing that it exists; the maximality of pˉ\bar ppˉ​ is stated outright. In Theorem 9.35, division is real division, so the case qˉ=q‾\bar q=\underline qqˉ​=q​, where the book's quotient is undefined, reads 0≤π/2−10\le\pi/2-10≤π/2−1. No O(⋅)O(\cdot)O(⋅) appears in this section, and every constant is the book's own: 2/π2/\pi2/π, (4−π)/π(4-\pi)/\pi(4−π)/π, π/2−1\pi/2-1π/2−1 and 4/74/74/7.

The theorem cannot be trivialized by an empty feasible region or a junk infimum. Feasibility is a hypothesis, the optimal values are attained minima of nonempty compact sets, and replacing the box or the quadratic constraints by an easy special case is ruled out by the definitions.

A complete development needs: the Schur product theorem and power series of entrywise functions of positive semidefinite matrices; the uniform measure on the sphere and its rotation invariance; and conic duality for the relaxation. The sphere and arcsine results are reusable well beyond this mission. Contributions on any milestone are welcome.

Beyond the paper. One variant is posed, qp_min_arcsin_infimum_corrected (kind: corrected). It is Theorem 9.32 with the added hypothesis that the relaxation has a positive definite feasible point. As printed, Theorem 9.32 fails for n=2n=2n=2, a1=(1,0)a_1=(1,0)a1​=(1,0), b1=0b_1=0b1​=0, Q=diag⁡(0,−1)Q=\operatorname{diag}(0,-1)Q=diag(0,−1): there every feasible XXX has x11=0x_{11}=0x11​=0, while q‾=−1\underline q=-1q​=−1. Two further findings are recorded without variants. The dual (9.49) need not attain its optimum, and the proof of Theorem 9.33 relies on both assumptions while the statement holds without them.

Selected references

  • Y. Ye, Interior Point Algorithms: Theory and Analysis, Wiley-Interscience, 1997, §9.5. https://doi.org/10.1002/9781118032701
  • M. X. Goemans and D. P. Williamson, Improved approximation algorithms for maximum cut and satisfiability problems using semidefinite programming, Journal of the ACM 42(6), 1995. https://doi.org/10.1145/227683.227684
  • Yu. Nesterov, Semidefinite relaxation and nonconvex quadratic optimization, Optimization Methods and Software 9, 1998. https://doi.org/10.1080/10556789808805690
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Interior Point Algorithms IV: Interior Iterates Identify the Strict Complementarity PartitionTextbook

Motivation

Interior-point methods for linear programming generate a sequence of strictly positive primal-dual points that converges to the optimal set but never reaches it. The simplex method, by contrast, stops at an exact optimal vertex. Practical solvers and sensitivity analysis both need an exact answer: which variables are positive at optimality, and what the exact optimal solution is. The question of finite termination, of when an interior iterate carries enough information to recover an exact solution, was settled in the early 1990s (Ye 1992, doi:10.1007/BF01581087; Güler and Ye 1993, doi:10.1007/BF01580610; Mehrotra and Ye 1993, doi:10.1007/BF01585180).

Chapter 5 of Yinyu Ye's Interior Point Algorithms: Theory and Analysis (Wiley, 1997, doi:10.1002/9781118032701) presents the answer for real data. It works under the real-number model of computation, where the data are real rather than integers of bit length LLL. Once the duality gap of a well-centered iterate is below a threshold set by a condition number ξ(A,b,c)\xi(A,b,c)ξ(A,b,c) of the data, the comparison xj≥sjx_j\ge s_jxj​≥sj​ identifies the strict complementarity partition exactly. That happens after a number of iterations polynomial in n\sqrt nn​, log⁡(R/ξ2)\log(R/\xi^2)log(R/ξ2) and log⁡n\log nlogn. The chapter also bounds the arithmetic cost of an iteration through rank-one updating (§5.1).

Setting

Let AAA be a real m×nm\times nm×n matrix with n≥1n\ge1n≥1, b∈Rmb\in\mathbb R^mb∈Rm, c∈Rnc\in\mathbb R^nc∈Rn. The standard-form pair is

(LP) min⁡{cTx:Ax=b, x≥0},(LD) max⁡{bTy:ATy+s=c, s≥0}.(\mathrm{LP})\ \min\{c^Tx: Ax=b,\ x\ge0\},\qquad (\mathrm{LD})\ \max\{b^Ty: A^Ty+s=c,\ s\ge0\}.(LP) min{cTx:Ax=b, x≥0},(LD) max{bTy:ATy+s=c, s≥0}.

Vector inequalities are componentwise. A triple (x,y,s)(x,y,s)(x,y,s) is an interior point if Ax=bAx=bAx=b, x>0x>0x>0, ATy+s=cA^Ty+s=cATy+s=c, s>0s>0s>0.

The strict complementarity partition (P∗,Z∗)(P^*,Z^*)(P∗,Z∗) is defined as follows: P∗P^*P∗ is the set of indices jjj with xj>0x_j>0xj​>0 for some optimal xxx, and Z∗Z^*Z∗ is the set of indices with sj>0s_j>0sj​>0 for some optimal (y,s)(y,s)(y,s). When optimal solutions exist, these two sets partition {1,…,n}\{1,\dots,n\}{1,…,n} (Goldman–Tucker; the book's Theorem 1.14). The optimal faces are

Ωp={x:Ax=b, x≥0, xZ∗=0},Ωd={(y,s):ATy+s=c, s≥0, sP∗=0}.\Omega_p=\{x: Ax=b,\ x\ge0,\ x_{Z^*}=0\},\qquad \Omega_d=\{(y,s): A^Ty+s=c,\ s\ge0,\ s_{P^*}=0\}.Ωp​={x:Ax=b, x≥0, xZ∗​=0},Ωd​={(y,s):ATy+s=c, s≥0, sP∗​=0}.

The condition number (5.3) is

ξ(A,b,c)=min⁡{min⁡j∈P∗max⁡x∈Ωpxj, min⁡j∈Z∗max⁡(y,s)∈Ωdsj}.\xi(A,b,c)=\min\Big\{\min_{j\in P^*}\max_{x\in\Omega_p}x_j,\ \min_{j\in Z^*}\max_{(y,s)\in\Omega_d}s_j\Big\}.ξ(A,b,c)=min{j∈P∗min​x∈Ωp​max​xj​, j∈Z∗min​(y,s)∈Ωd​max​sj​}.

It is how far the optimal faces reach into the open orthant. For an iterate (xk,sk)(x^k,s^k)(xk,sk) let σk={j:xjk≥sjk}\sigma^k=\{j: x^k_j\ge s^k_j\}σk={j:xjk​≥sjk​}.

An interior-point sequence has property (5.7) with constant η>0\eta>0η>0 if min⁡jxjksjk/((xk)Tsk)>n−η\min_j x^k_js^k_j/((x^k)^Ts^k)>n^{-\eta}minj​xjk​sjk​/((xk)Tsk)>n−η for every kkk, i.e. it stays away from the boundary relative to its gap. It satisfies the polynomial bound with constant κ>0\kappa>0κ>0 if (xk)Tsk≤R e−κk/n(x^k)^Ts^k\le R\,e^{-\kappa k/\sqrt n}(xk)Tsk≤Re−κk/n​, where R≥(x0)Ts0R\ge(x^0)^Ts^0R≥(x0)Ts0 (the chapter's standing assumption, p. 147).

For §5.1, given positive iterates xtx^txt, the rank-one updating scaling is defined by d0=x0d^0=x^0d0=x0, and djt=djt−1d^t_j=d^{t-1}_jdjt​=djt−1​ if 1/1.1≤djt−1/xjt≤1.11/1.1\le d^{t-1}_j/x^t_j\le1.11/1.1≤djt−1​/xjt​≤1.1, else djt=xjtd^t_j=x^t_jdjt​=xjt​. The update set ItI^tIt collects the indices that were reset at iteration ttt.

Formalization targets

Goal: Theorem 5.3

For every interior sequence with property (5.7) and the polynomial bound,

σk=P∗for all k≥K=⌈nκ(log⁡Rξ(A,b,c)2+ηlog⁡n)⌉.\sigma^k=P^*\qquad\text{for all }k\ge K=\Big\lceil\frac{\sqrt n}{\kappa}\Big(\log\frac{R}{\xi(A,b,c)^2}+\eta\log n\Big)\Big\rceil.σk=P∗for all k≥K=⌈κn​​(logξ(A,b,c)2R​+ηlogn)⌉.

Milestones

  • Lemma 5.1: ∥(Dt)−1(xt−dt)∥∞≤0.1\|(D^t)^{-1}(x^t-d^t)\|_\infty\le0.1∥(Dt)−1(xt−dt)∥∞​≤0.1 for every ttt, and ∑t=1k∣It∣≤11n∑t=1k∥(Dt−1)−1(xt−xt−1)∥\sum_{t=1}^k|I^t|\le11\sqrt n\sum_{t=1}^k\|(D^{t-1})^{-1}(x^t-x^{t-1})\|∑t=1k​∣It∣≤11n​∑t=1k​∥(Dt−1)−1(xt−xt−1)∥.
  • (5.3): with an interior point, the optimal faces have strictly feasible solutions, the maxima over them are attained, and ξ(A,b,c)>0\xi(A,b,c)>0ξ(A,b,c)>0.
  • (5.4): for an interior point and x∗∈Ωpx^*\in\Omega_px∗∈Ωp​, (y∗,s∗)∈Ωd(y^*,s^*)\in\Omega_d(y∗,s∗)∈Ωd​: ∑i∈P∗xi∗sik+∑i∈Z∗si∗xik=(xk)Tsk\sum_{i\in P^*}x^*_is^k_i+\sum_{i\in Z^*}s^*_ix^k_i=(x^k)^Ts^k∑i∈P∗​xi∗​sik​+∑i∈Z∗​si∗​xik​=(xk)Tsk.
  • (5.5): for j∈P∗j\in P^*j∈P∗, sjk≤(xk)Tsk/xj∗s^k_j\le(x^k)^Ts^k/x^*_jsjk​≤(xk)Tsk/xj∗​, and (xk)Tsk<ϵ(x^k)^Ts^k<\epsilon(xk)Tsk<ϵ implies sjk<ϵ/ξs^k_j<\epsilon/\xisjk​<ϵ/ξ.
  • (5.8): under (5.7), xjk>n−ηxj∗≥n−ηξx^k_j>n^{-\eta}x^*_j\ge n^{-\eta}\xixjk​>n−ηxj∗​≥n−ηξ for j∈P∗j\in P^*j∈P∗.
  • Proof of Theorem 5.3: under (5.7) and (xk)Tsk≤n−ηξ2(x^k)^Ts^k\le n^{-\eta}\xi^2(xk)Tsk≤n−ηξ2, σk=P∗\sigma^k=P^*σk=P∗.

The mission also references Proposition 5.5 (skew-symmetric self-dual programs are self-dual with optimal value zero), already proved on the platform as SelfDualLP.Complexity.proposition_1.

Significance

Theorem 5.3 shows that an interior-point method has a finite, data-dependent termination time. After KKK iterations the partition is known. Projecting the iterate onto {x:AP∗xP∗=b}\{x: A_{P^*}x_{P^*}=b\}{x:AP∗​xP∗​=b} and the dual face then costs one least-squares solve and yields an exact optimal pair (§5.2.2). The iteration count depends on the data only through ξ(A,b,c)\xi(A,b,c)ξ(A,b,c), not on a bit length. This is what makes the result meaningful under the real-number model. Lemma 5.1 is the counting step behind the n\sqrt nn​ saving in arithmetic operations: the number of rank-one corrections to the normal matrix is controlled by the scaled movement of the iterates.

None of these results is on the platform. The homogeneous self-dual results of §5.3 are already posed there from the Ye–Todd–Mizuno paper and are not re-posed. A formal proof would give the first machine-checked statement linking the duality gap, centrality and the optimal partition. That link is reused in the analysis of predictor directions (Chapter 7) and in basis identification.

Difficulty

The arithmetic of the proof is short; the difficulty is in the linear-programming facts it rests on. First, the existence of a strictly complementary pair, so that P∗P^*P∗ and Z∗Z^*Z∗ cover all indices and are disjoint. Without it, σk=P∗\sigma^k=P^*σk=P∗ cannot even be concluded on the indices outside both sets. Second, the optimal faces must be shown nonempty and bounded whenever an interior point exists, so that the maxima in ξ\xiξ are attained and positive. Third, the orthogonality (xk−x∗)T(sk−s∗)=0(x^k-x^*)^T(s^k-s^*)=0(xk−x∗)T(sk−s∗)=0 must be derived for feasible pairs. A newcomer's first idea is to argue from convergence of the iterates to a limit point. That gives no iteration count, and the theorem needs the quantitative threshold n−ηξ2n^{-\eta}\xi^2n−ηξ2 instead.

For Lemma 5.1 the obstacle is the telescoping of ∥(Dt)−1(xt−dt)∥1\|(D^t)^{-1}(x^t-d^t)\|_1∥(Dt)−1(xt−dt)∥1​ across updates. The book's final step writes ∥⋅∥1≤∥⋅∥2\|\cdot\|_1\le\|\cdot\|_2∥⋅∥1​≤∥⋅∥2​, but the bound needs ∥⋅∥1≤n∥⋅∥2\|\cdot\|_1\le\sqrt n\|\cdot\|_2∥⋅∥1​≤n​∥⋅∥2​.

Formalization scope

Vectors are Fin n → ℝ and matrices Matrix (Fin m) (Fin n) ℝ, with indices starting at 000. The Euclidean norm is written out as norm2 because Mathlib's norm on Fin n → ℝ is the sup norm. Optimality is defined by comparison with every feasible point. P∗P^*P∗ and Z∗Z^*Z∗ are defined as unions of supports of optimal solutions; no Goldman–Tucker property is assumed. Each maximum in ξ\xiξ is Lean's sSup over the face; xi_pos asserts that it is attained. ξ\xiξ is one minimum over all indices, taking the primal maximum on P∗P^*P∗ and the dual maximum elsewhere. Property (5.7) is written coordinatewise.

Explicit constants replacing the book's O(⋅)O(\cdot)O(⋅): Theorem 5.3 writes K=O(n(log⁡(R/ξ2)+log⁡n))K=O(\sqrt n(\log(R/\xi^2)+\log n))K=O(n​(log(R/ξ2)+logn)) and appeals to the polynomial bound of the algorithms. The Lean statement makes that bound a hypothesis, (xk)Tsk≤R e−κk/n(x^k)^Ts^k\le R\,e^{-\kappa k/\sqrt n}(xk)Tsk≤Re−κk/n​ with the algorithm's constant κ>0\kappa>0κ>0; the per-step reduction (1−κ/n)kR(1-\kappa/\sqrt n)^kR(1−κ/n​)kR implies it. The threshold (xk)Tsk≤n−ηξ2(x^k)^Ts^k\le n^{-\eta}\xi^2(xk)Tsk≤n−ηξ2 from the proof then gives K=⌈(n/κ)(log⁡(R/ξ2)+ηlog⁡n)⌉K=\lceil(\sqrt n/\kappa)(\log(R/\xi^2)+\eta\log n)\rceilK=⌈(n​/κ)(log(R/ξ2)+ηlogn)⌉. The standing assumption (x0)Ts0≤R(x^0)^Ts^0\le R(x0)Ts0≤R (p. 147) and interior feasibility are explicit hypotheses. Because min⁡(Xs)≤xTs/n\min(Xs)\le x^Ts/nmin(Xs)≤xTs/n, property (5.7) can only hold when n−η<1/nn^{-\eta}<1/nn−η<1/n. It never holds at n=1n=1n=1, so the theorems are vacuous there, as in the book.

A trivializing formalization is ruled out: KKK is an explicit function of n,κ,η,R,ξn,\kappa,\eta,R,\xin,κ,η,R,ξ, not an existential "for some KKK", and ξ\xiξ is computed from (A,b,c)(A,b,c)(A,b,c), not a free parameter.

The update set of §5.1 is printed with dtd^tdt in the numerator, which makes it empty for every ttt. The mission defines it with dt−1d^{t-1}dt−1, as the proof of Lemma 5.1 uses it (finding F2).

Needed infrastructure: LP weak duality and Goldman–Tucker strict complementarity (both proved elsewhere on the platform for other encodings), boundedness of optimal faces under interior feasibility, and attainment of linear maxima on compact polyhedra. The definitions module YeIPA.WorstCase.Termination (partition, faces, ξ\xiξ) is reusable for Chapter 7's asymptotic analysis.

Not in scope: Theorem 5.14 and Lemma 5.15 (the infeasible-starting algorithm; Lemma 5.15's proof is an exercise and overloads η\etaη), Theorem 5.9(i) (its uniqueness claim needs AAA of full row rank, finding F1), and the remaining §5.3 homogeneous self-dual results, which are posed on the platform for the paper's special starting point.

Selected references

  • Y. Ye, Interior Point Algorithms: Theory and Analysis, Wiley-Interscience, 1997, Chapter 5. doi:10.1002/9781118032701
  • Y. Ye, On the finite convergence of interior-point algorithms for linear programming, Mathematical Programming 57 (1992) 325–335. doi:10.1007/BF01581087
  • O. Güler and Y. Ye, Convergence behavior of interior-point algorithms, Mathematical Programming 60 (1993) 215–228. doi:10.1007/BF01580610
  • S. Mehrotra and Y. Ye, Finding an interior point in the optimal face of linear programs, Mathematical Programming 62 (1993) 497–515. doi:10.1007/BF01585180
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Interior Point Algorithms I: The Central Path Converges to the Analytic Centers of the Optimal FacesTextbook

Motivation

Primal–dual interior-point methods are the standard polynomial-time algorithms for linear programming. They do not walk along the vertices of the feasible polyhedron as the simplex method does. They follow a smooth curve through its interior, the central path, toward the optimal set. Every complexity bound for these methods is a statement about iterates kept close to that curve. Their practical value, recovering an optimal basis or the optimal partition of the variables, depends on where the curve ends.

Chapter 2 of Yinyu Ye's Interior Point Algorithms: Theory and Analysis (Wiley 1997, DOI 10.1002/9781118032701) develops the geometry behind these methods. It covers analytic centers of polytopes, potential functions, and, in §2.5, the central path of a linear program and its limit. The limit result is due to Güler and Ye and to McLinden (Güler and Ye, Mathematical Programming 60, 1993; McLinden, Pacific Journal of Mathematics 88, 1980). The central path converges to the analytic center of the optimal face, a strictly complementary optimal solution singled out among all optimal solutions. This mission formalizes that theorem (Theorem 2.17), with the boundedness and neighbourhood results (Theorems 2.17 (i), 2.18) that accompany it.

Setting

Let AAA be a real m×nm\times nm×n matrix of rank mmm with n>mn>mn>m, b∈Rmb\in\mathbb R^mb∈Rm and c∈Rnc\in\mathbb R^nc∈Rn. Ye's standard-form primal and dual linear programs are

(LP)min⁡ cTx  s.t. Ax=b, x≥0,(LD)max⁡ bTy  s.t. ATy+s=c, s≥0.(LP)\quad \min\ c^Tx\ \text{ s.t. } Ax=b,\ x\ge0,\qquad\qquad (LD)\quad \max\ b^Ty\ \text{ s.t. } A^Ty+s=c,\ s\ge0 .(LP)min cTx  s.t. Ax=b, x≥0,(LD)max bTy  s.t. ATy+s=c, s≥0.

Vector inequalities are componentwise. A point is interior feasible if, in addition, x>0x>0x>0 (resp. s>0s>0s>0). It is assumed throughout that both programs have interior feasible points. A feasible xxx is optimal if cTx≤cTx′c^Tx\le c^Tx'cTx≤cTx′ for every feasible x′x'x′; a feasible (y,s)(y,s)(y,s) is optimal if bTy′≤bTyb^Ty'\le b^TybTy′≤bTy for every feasible (y′,s′)(y',s')(y′,s′).

For μ>0\mu>0μ>0, a central path point is a triple (x(μ),y(μ),s(μ))(x(\mu),y(\mu),s(\mu))(x(μ),y(μ),s(μ)) of interior feasible points with

x(μ)j s(μ)j=μ(j=1,…,n).x(\mu)_j\,s(\mu)_j=\mu\qquad (j=1,\dots,n).x(μ)j​s(μ)j​=μ(j=1,…,n).

Theorem 2.16 says that it exists and is unique.

A pair of feasible xxx and (y,s)(y,s)(y,s) is strictly complementary if xjsj=0x_js_j=0xj​sj​=0 and xj+sj>0x_j+s_j>0xj​+sj​>0 for every jjj. Such pairs exist (Goldman–Tucker, Theorem 1.14 in the book), and the supports P∗={j:xj>0}P^*=\{j:x_j>0\}P∗={j:xj​>0} and Z∗={j:sj>0}Z^*=\{j:s_j>0\}Z∗={j:sj​>0} do not depend on the pair. (P∗,Z∗)(P^*,Z^*)(P∗,Z∗) is the strict complementarity partition. The primal optimal face is {x:AP∗xP∗=b, xP∗≥0, xZ∗=0}\{x: A_{P^*}x_{P^*}=b,\ x_{P^*}\ge0,\ x_{Z^*}=0\}{x:AP∗​xP∗​=b, xP∗​≥0, xZ∗​=0}, and the dual optimal face is {y:cZ∗−AZ∗Ty≥0, cP∗−AP∗Ty=0}\{y: c_{Z^*}-A^T_{Z^*}y\ge0,\ c_{P^*}-A^T_{P^*}y=0\}{y:cZ∗​−AZ∗T​y≥0, cP∗​−AP∗T​y=0}. The analytic center of the primal optimal face is the point xxx of the face with xP∗>0x_{P^*}>0xP∗​>0 that maximizes ∑j∈P∗log⁡xj\sum_{j\in P^*}\log x_j∑j∈P∗​logxj​. On the dual side, the slack s=c−ATys=c-A^Tys=c−ATy of the dual optimal face maximizes ∑j∈Z∗log⁡sj\sum_{j\in Z^*}\log s_j∑j∈Z∗​logsj​ over the face.

With μ=xTs/n\mu=x^Ts/nμ=xTs/n, the neighbourhood of the central path is

N(η)={(x,y,s) interior feasible: ∥Xs−μe∥≤ημ},0<η<1,\mathcal N(\eta)=\big\{(x,y,s)\text{ interior feasible}:\ \|Xs-\mu e\|\le\eta\mu\big\},\qquad 0<\eta<1,N(η)={(x,y,s) interior feasible: ∥Xs−μe∥≤ημ},0<η<1,

where X=diag(x)X=\mathrm{diag}(x)X=diag(x), eee is the all-ones vector, and ∥⋅∥\|\cdot\|∥⋅∥ is any norm, or the one-sided "norm" ∥v∥−∞=∣min⁡(0,min⁡jvj)∣\|v\|_{-\infty}=|\min(0,\min_j v_j)|∥v∥−∞​=∣min(0,minj​vj​)∣, that dominates ∥⋅∥−∞\|\cdot\|_{-\infty}∥⋅∥−∞​ (every ℓp\ell_pℓp​ norm does).

Formalization targets

Goal: Theorem 2.17 (iii)

For any choice of central path points μ↦(x(μ),y(μ),s(μ))\mu\mapsto(x(\mu),y(\mu),s(\mu))μ↦(x(μ),y(μ),s(μ)), μ>0\mu>0μ>0, there are x(0)x(0)x(0) and an optimal (y(0),s(0))(y(0),s(0))(y(0),s(0)) with

lim⁡μ→0+x(μ)=x(0),lim⁡μ→0+s(μ)=s(0),\lim_{\mu\to0^+}x(\mu)=x(0),\qquad \lim_{\mu\to0^+}s(\mu)=s(0),μ→0+lim​x(μ)=x(0),μ→0+lim​s(μ)=s(0),

x(0)x(0)x(0) optimal for (LP), x(0)P∗x(0)_{P^*}x(0)P∗​ the analytic center of the primal optimal face, and s(0)Z∗s(0)_{Z^*}s(0)Z∗​ the analytic center of the dual optimal face.

Milestones

  1. Theorem 2.16 (existence and uniqueness of the central path point), referenced from the platform.
  2. Theorem 2.17 (i): for every μ0>0\mu^0>0μ0>0, {(x(μ),s(μ)):0<μ≤μ0}\{(x(\mu),s(\mu)): 0<\mu\le\mu^0\}{(x(μ),s(μ)):0<μ≤μ0} is bounded.
  3. Theorem 2.18 (i): N(η)∩{xTs≤nμ0}\mathcal N(\eta)\cap\{x^Ts\le n\mu^0\}N(η)∩{xTs≤nμ0} is bounded.
  4. Theorem 2.18 (ii): every limit of points of N(η)\mathcal N(\eta)N(η) with μ→0\mu\to0μ→0 is an optimal pair. For every (x,y,s)∈N(η)(x,y,s)\in\mathcal N(\eta)(x,y,s)∈N(η), every optimal x∗x^*x∗ and every optimal (y∗,s∗)(y^*,s^*)(y∗,s∗),
xj≥(1−η)xj∗n (j∈P∗),sj≥(1−η)sj∗n (j∈Z∗).x_j\ge\frac{(1-\eta)x^*_j}{n}\ (j\in P^*),\qquad s_j\ge\frac{(1-\eta)s^*_j}{n}\ (j\in Z^*).xj​≥n(1−η)xj∗​​ (j∈P∗),sj​≥n(1−η)sj∗​​ (j∈Z∗).
  1. Theorem 2.17 (ii), as printed: for 0<μ′<μ0<\mu'<\mu0<μ′<μ, cTx(μ′)<cTx(μ)c^Tx(\mu')<c^Tx(\mu)cTx(μ′)<cTx(μ) and bTy(μ′)>bTy(μ)b^Ty(\mu')>b^Ty(\mu)bTy(μ′)>bTy(μ).

Significance

The goal identifies the end point of the central path: not an arbitrary optimal solution, but the unique strictly complementary one at the center of the optimal faces. This yields the optimal partition (P∗,Z∗)(P^*,Z^*)(P∗,Z∗) in the limit. It underlies finite termination and basis-identification procedures and the asymptotic analysis of later chapters, where predictor directions are measured on P∗P^*P∗ and Z∗Z^*Z∗. Theorem 2.18 extends the picture from the path to the neighbourhood that path-following algorithms actually maintain, with an explicit rate, (1−η)/n(1-\eta)/n(1−η)/n, at which coordinates in the optimal partition stay away from zero.

The results are classical and proved in the literature. None is formalized on Prove2Me. Theorem 2.16 is already there, as a proved statement for Matoušek and Gärtner's equivalent max-form LP. The formalization adds machine-checked statements of the limit theorem, which so far exists only in prose, together with a precise record of which hypotheses each part needs. Reading the chapter turned up three: Theorem 2.17 (ii) is false as printed when an objective is constant on its feasible region; boundedness of the yyy-component in Theorem 2.18 (i) needs AAA of full row rank; and the "any norm" in the definition of N(η)\mathcal N(\eta)N(η) is too permissive for Theorem 2.18 (ii).

Difficulty

The limit is taken along a curve defined only implicitly, as the solution of a nonlinear system for each μ\muμ. The obvious argument, compactness of the bounded path, only produces limit points. It says nothing about uniqueness of the limit or about which optimal solution is reached. The difficulty is that the claim pins down a single point among the typically infinitely many optimal solutions, and it must do so for any selection of path points, with no continuity of μ↦x(μ)\mu\mapsto x(\mu)μ↦x(μ) assumed. The book leaves the proof of Theorem 2.17 (ii) as an exercise and gives no proof of Theorem 2.18.

Formalization scope

Vectors are Fin n → ℝ and Fin m → ℝ; AAA is Matrix (Fin m) (Fin n) ℝ; indices run over 0,…,n−10,\dots,n-10,…,n−1. Every theorem carries the chapter's standing assumptions explicitly: rank⁡A=m\operatorname{rank}A=mrankA=m and n>mn>mn>m (p. 48), and interior feasible points for both programs (pp. 63, 70). The central path enters the goal as an arbitrary selection of central path points for μ>0\mu>0μ>0; no continuity is assumed, and limits are taken along μ→0+\mu\to0^+μ→0+. P∗P^*P∗ and Z∗Z^*Z∗ are constructed from the data, as the indices positive in some strictly complementary pair. The optimal faces are written for full vectors in Rn\mathbb R^nRn, and analytic centers are attained maximizers of ∑log⁡\sum\log∑log, never a supremum. N(η)\mathcal N(\eta)N(η) takes the size function ∥⋅∥\|\cdot\|∥⋅∥ as a parameter, and Theorem 2.18 is stated for every ∥⋅∥\|\cdot\|∥⋅∥ with ∥v∥≥∥v∥−∞\|v\|\ge\|v\|_{-\infty}∥v∥≥∥v∥−∞​; the book allows "any norm, or even a one-sided norm", and with an arbitrary norm (say 0.1∥⋅∥∞0.1\|\cdot\|_\infty0.1∥⋅∥∞​) the lower bounds of 2.18 (ii) fail. There are no O(⋅)O(\cdot)O(⋅) constants in these statements; the bound (1−η)/n(1-\eta)/n(1−η)/n of Theorem 2.18 (ii) is the book's exact constant.

A trivializing formalization would take P∗P^*P∗, Z∗Z^*Z∗ or the limit points as free parameters constrained by hypotheses, or define the analytic center through a real supremum that defaults to 000. Both are ruled out: the partition and the faces are computed from (A,b,c)(A,b,c)(A,b,c), and the analytic center is an attained maximizer over points with positive coordinates.

Beyond the paper. Two variant items are posed beside the faithful ones. [Corrected] Theorem 2.17 (ii) replaces both strict inequalities by weak ones, because the strict ones fail when cTxc^TxcTx or bTyb^TybTy is constant on its feasible region, e.g. A=(1,1)A=(1,1)A=(1,1), b=2b=2b=2, c=(1,1)c=(1,1)c=(1,1) (findings F1, F6, F8). [Sharpness probe] Theorem 2.18 (i) drops rank⁡A=m\operatorname{rank}A=mrankA=m: with a zero row in AAA a coordinate of yyy is free and the set is unbounded (finding F7); a disproof is the sought outcome.

A complete development needs strong LP duality and the Goldman–Tucker strict complementarity theorem for standard-form LPs, strict concavity of ∑log⁡xj\sum\log x_j∑logxj​ on a polyhedron, and compactness arguments in Rn\mathbb R^nRn. The duality and complementarity layers are reusable across the whole series; contributions of these as standalone lemmas are welcome.

Selected references

  • Y. Ye, Interior Point Algorithms: Theory and Analysis, Wiley-Interscience, 1997, Chapter 2, §2.5. https://doi.org/10.1002/9781118032701
  • O. Güler and Y. Ye, Convergence behavior of interior-point algorithms, Mathematical Programming 60 (1993) 215–228.
  • L. McLinden, An analogue of Moreau's proximation theorem, with application to the nonlinear complementarity problem, Pacific Journal of Mathematics 88 (1980) 101–161.
  • A. J. Goldman and A. W. Tucker, Theory of linear programming, in Linear Inequalities and Related Systems, Annals of Mathematics Studies 38, Princeton University Press, 1956, 53–97.
  • J. Matoušek and B. Gärtner, Understanding and Using Linear Programming, Springer, 2007, §7.2. https://doi.org/10.1007/978-3-540-30717-4
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Bandit AlgorithmsOperations ResearchOptimization+2·Captain: Shuze Chen

Multi-armed Bandit Allocation Indices X: Jobs and Targets, Location–Scale Invariance and Semi-Markov Sampling ProcessesTextbook

Motivation

A bandit sampling process models a population from which values are drawn one at a time: the values are independent with a distribution f(⋅∣θ)f(\cdot \mid \theta)f(⋅∣θ) whose parameter θ\thetaθ is unknown, the decision maker holds a prior on θ\thetaθ and updates it by Bayes' theorem, and each draw earns a reward. When several such populations compete for the same sampling effort, the Gittins index theorem reduces the allocation problem to computing one index per population (Gittins, J. R. Stat. Soc. B 1979). The obstacle is computation: the state is a posterior distribution, so the index is a function of every parameter of the posterior.

Chapter 7 of Gittins, Glazebrook and Weber, Multi-armed Bandit Allocation Indices (2nd ed., Wiley 2011, doi:10.1002/9780470980033), shows that location and scale structure removes most of that dependence. For a normal population with unknown mean and variance, Theorem 7.15 says that the index in the state (xˉ,s,n)(\bar x, s, n)(xˉ,s,n) is xˉ+s ν(0,1,n)\bar x + s\,\nu(0, 1, n)xˉ+sν(0,1,n), so a single function of nnn suffices; the tables of Chapter 8 rest on this. The same reduction holds for target processes, where the aim is to observe a value above a target TTT as soon as possible (Theorems 7.19–7.23).

This mission continues the public series Multi-armed Bandit Allocation Indices I–VI in the namespace AllocationIndices. Mission VI formalized the location and scale halves of the theory (Theorems 7.9 and 7.11) and the location invariance of target processes (Theorem 7.17), all now proved; this mission states the joint location–scale results on the same published definitions.

Setting

A sampling model SamplingModel Θ Q (published, AllocationIndices_Sampling) consists of a likelihood f(⋅∣θ)f(\cdot \mid \theta)f(⋅∣θ), a family of priors π(⋅∣p)\pi(\cdot \mid p)π(⋅∣p) on θ∈Θ\theta \in \Thetaθ∈Θ indexed by the parameters p∈Qp \in Qp∈Q of a conjugate family, and the update p↦pxp \mapsto p_xp↦px​ of those parameters when xxx is the next value sampled; the family is conjugate on a set of parameters if the update computes the Bayesian posterior there. The reward process has state ppp, draws xxx from the predictive distribution f(⋅∣p)=∫f(⋅∣θ) π(dθ∣p)f(\cdot \mid p) = \int f(\cdot \mid \theta)\,\pi(d\theta \mid p)f(⋅∣p)=∫f(⋅∣θ)π(dθ∣p), moves to pxp_xpx​, and earns the predictive mean r(p)r(p)r(p). Rewards are discounted by ata^tat, 0<a<10 < a < 10<a<1; for a stopping time τ\tauτ, Rτ(p)R_\tau(p)Rτ​(p) is the expected discounted reward before τ\tauτ, and ν(p)\nu(p)ν(p) is the Gittins index (2.6). The target process with target TTT stops as soon as a sampled value is ≥T\ge T≥T.

Two calibration quantities compare a process with a known one. The calibration payoff against a standard bandit process paying λ\lambdaλ per period is

R(λ,p)=sup⁡τ{Rτ(p)+λ(1−a)−1E(aτ∣p)},R(\lambda, p) = \sup_\tau \big\{ R_\tau(p) + \lambda (1 - a)^{-1} E(a^\tau \mid p) \big\},R(λ,p)=τsup​{Rτ​(p)+λ(1−a)−1E(aτ∣p)},

the supremum over all stopping times, τ\tauτ being the time at which the standard process is first selected (calibrationPayoff). The target cost against a standard target process with known success probability φ\varphiφ is

M(φ,p,T)=inf⁡τ{Cτ(p,T)+φ−1Qτ(p,T)},M(\varphi, p, T) = \inf_\tau \big\{ C_\tau(p, T) + \varphi^{-1} Q_\tau(p, T) \big\},M(φ,p,T)=τinf​{Cτ​(p,T)+φ−1Qτ​(p,T)},

where CτC_\tauCτ​ is the expected number of samples drawn before τ\tauτ or before the target is reached, and QτQ_\tauQτ​ the probability that τ\tauτ comes first (targetCost, undiscounted, valued in [0,∞][0, \infty][0,∞]).

Parameters μ\muμ and σ>0\sigma > 0σ>0 are joint location and scale parameters if f(⋅∣bμ+c,bσ)f(\cdot \mid b\mu + c, b\sigma)f(⋅∣bμ+c,bσ) is the image of f(⋅∣μ,σ)f(\cdot \mid \mu, \sigma)f(⋅∣μ,σ) under x↦bx+cx \mapsto bx + cx↦bx+c for b>0b > 0b>0, c∈Rc \in \mathbb Rc∈R. With σ\sigmaσ unknown the conjugate prior on (μ,σ)(\mu, \sigma)(μ,σ) has parameters (xˉ,s,n)(\bar x, s, n)(xˉ,s,n), which change by the rules of the sample mean, the sample standard deviation and the number of observations, and xˉ,s\bar x, sxˉ,s are joint location and scale parameters of the prior family: the prior with parameters (bxˉ+c,bs,n)(b\bar x + c, bs, n)(bxˉ+c,bs,n) is the image of that with parameters (xˉ,s,n)(\bar x, s, n)(xˉ,s,n) under (μ,σ)↦(bμ+c,bσ)(\mu, \sigma) \mapsto (b\mu + c, b\sigma)(μ,σ)↦(bμ+c,bσ). With σ\sigmaσ known the parameters are (xˉ,n,σ)(\bar x, n, \sigma)(xˉ,n,σ) and only xˉ,n\bar x, nxˉ,n change.

Formalization targets

Goal: Theorem 7.15 (p. 193)

For the reward process with σ\sigmaσ unknown, in a state with s>0s > 0s>0, n>1n > 1n>1, for all λ\lambdaλ, b>0b > 0b>0 and ccc,

R(bλ+c, bxˉ+c, bs, n)=c(1−a)−1+b R(λ,xˉ,s,n),ν(xˉ,s,n)=xˉ+s ν(0,1,n).R(b\lambda + c,\ b\bar x + c,\ bs,\ n) = c(1 - a)^{-1} + b\,R(\lambda, \bar x, s, n), \qquad \nu(\bar x, s, n) = \bar x + s\,\nu(0, 1, n).R(bλ+c, bxˉ+c, bs, n)=c(1−a)−1+bR(λ,xˉ,s,n),ν(xˉ,s,n)=xˉ+sν(0,1,n).

Both conclusions are part of the goal (AllocationIndices.Targets.location_scale_invariance).

Milestones

  • Theorem 7.13 (p. 192), σ\sigmaσ known: R(bλ+c,bxˉ+c,n,bσ)=c(1−a)−1+bR(λ,xˉ,n,σ)R(b\lambda + c, b\bar x + c, n, b\sigma) = c(1 - a)^{-1} + bR(\lambda, \bar x, n, \sigma)R(bλ+c,bxˉ+c,n,bσ)=c(1−a)−1+bR(λ,xˉ,n,σ) and ν(xˉ,n,σ)=xˉ+σν(0,n,1)\nu(\bar x, n, \sigma) = \bar x + \sigma\nu(0, n, 1)ν(xˉ,n,σ)=xˉ+σν(0,n,1).
  • Theorem 7.19 (p. 194), target process with a scale parameter: M(φ,xˉ,n,T)=M(φ,bxˉ,n,bT)M(\varphi, \bar x, n, T) = M(\varphi, b\bar x, n, bT)M(φ,xˉ,n,T)=M(φ,bxˉ,n,bT) and, for T>0T > 0T>0, ν(xˉ,n,T)=ν(xˉ/T,n,1)\nu(\bar x, n, T) = \nu(\bar x / T, n, 1)ν(xˉ,n,T)=ν(xˉ/T,n,1).
  • Theorem 7.21 (p. 194), target process, σ\sigmaσ known, as printed: M(φ,xˉ,n,σ,T)=M(φ,xˉ+c,n,bσ,bT+c)M(\varphi, \bar x, n, \sigma, T) = M(\varphi, \bar x + c, n, b\sigma, bT + c)M(φ,xˉ,n,σ,T)=M(φ,xˉ+c,n,bσ,bT+c) and ν(xˉ,n,σ,T)=ν((xˉ−T)/σ,n,1,0)\nu(\bar x, n, \sigma, T) = \nu((\bar x - T)/\sigma, n, 1, 0)ν(xˉ,n,σ,T)=ν((xˉ−T)/σ,n,1,0).
  • Theorem 7.23 (p. 194), target process, σ\sigmaσ unknown: M(φ,xˉ,s,n,T)=M(φ,bxˉ+c,bs,n,bT+c)M(\varphi, \bar x, s, n, T) = M(\varphi, b\bar x + c, bs, n, bT + c)M(φ,xˉ,s,n,T)=M(φ,bxˉ+c,bs,n,bT+c) and ν(xˉ,s,n,T)=ν((xˉ−T)/s,1,n,0)\nu(\bar x, s, n, T) = \nu((\bar x - T)/s, 1, n, 0)ν(xˉ,s,n,T)=ν((xˉ−T)/s,1,n,0).

Significance

The result reduces the index of a two-parameter family of posteriors to a function of one variable and makes the normal reward process with unknown variance computable at all; the Chapter 8 tables of ν(0,1,n)\nu(0, 1, n)ν(0,1,n) and the corresponding target-process tables are only meaningful because of it. The identities for RRR and MMM are what the calibration method of computing those tables uses, so they are stated too.

The theorems are proved in the book only in outline: the proofs of Theorems 7.13 and 7.15 are "left as exercises", and those of 7.19–7.23 are said to be similar to their reward-process counterparts. A formal proof supplies the arguments the book omits. Mission VI proved the one-parameter cases on the platform; the joint cases, the calibration payoff RRR and the target cost MMM have no machine-checked version.

Difficulty

The book reasons with densities and improper priors. In the formal model the state is a parameter vector, the posterior is Mathlib's Bayesian inverse, defined only almost everywhere with respect to the predictive distribution, and stopping times are measurable functions of an entire trajectory of states. Relating the processes started at (xˉ,s,n)(\bar x, s, n)(xˉ,s,n) and at (bxˉ+c,bs,n)(b\bar x + c, bs, n)(bxˉ+c,bs,n) requires relating two Markov chains on an uncountable state space, together with their stopping times, rather than two densities. The two index identities are also not formal consequences of the identities for RRR and MMM in the published model, whose index is defined as a supremum of reward rates rather than by calibration.

Formalization scope

Discrete time throughout; RRR uses the factor (1−a)−1(1 - a)^{-1}(1−a)−1 exactly as printed in (7.15), so no unit conversion is involved; the index is gittinsIndex (2.6) of the reward or target chain with 0<a<10 < a < 10<a<1, and MMM is undiscounted as in (7.16). The book's improper priors (π0(μ)\pi_0(\mu)π0​(μ) uniform, π0(μ,σ)∝σ−d\pi_0(\mu, \sigma) \propto \sigma^{-d}π0​(μ,σ)∝σ−d) are used only through the proper posteriors they generate; as in Corollaries 7.14, 7.16 and mission VI, the state is the parameter vector of a proper conjugate family, required to be conjugate on n>0n > 0n>0 (σ known) or on s>0s > 0s>0, n>1n > 1n>1 (σ unknown), the domain on which the sample-standard-deviation update is defined and keeps s>0s > 0s>0. "σ known" means the prior is concentrated on the scale coordinate of the state. The prior family's location–scale property is an image of measures; the printed density form (7.25) has a Jacobian bbb where b2b^2b2 is needed and lacks the shift +c+c+c in the conditioning argument, so as printed no probability density satisfies it. The reward theorems assume integrable observations and finite expected discounted absolute rewards from every state, which makes RRR a finite supremum over a nonempty set; this rules out the trivializing reading in which a real supremum of an unbounded set defaults to 000, and the goal states both the identity for RRR and the index identity, not the reward shift r(bxˉ+c,bs,n)=b r(xˉ,s,n)+cr(b\bar x + c, bs, n) = b\,r(\bar x, s, n) + cr(bxˉ+c,bs,n)=br(xˉ,s,n)+c alone. In Theorem 7.19 the index identity carries T>0T > 0T>0, which the book leaves implicit; in Theorem 7.23 the stray argument σ\sigmaσ of ν(xˉ,s,n,σ,T)\nu(\bar x, s, n, \sigma, T)ν(xˉ,s,n,σ,T) is dropped.

Beyond the paper. The first identity of Theorem 7.21 scales σ\sigmaσ and TTT by bbb but shifts xˉ\bar xxˉ without scaling it; with normal observations, φ=1/2\varphi = 1/2φ=1/2, n=1n = 1n=1, T=0T = 0T=0, xˉ=3\bar x = 3xˉ=3, b=2b = 2b=2, the two sides are at most 1.0341.0341.034 and at least 1.1441.1441.144. The faithful item states it as printed; a corrected variant with bxˉ+cb\bar x + cbxˉ+c is posed beside it.

Definitions are in AllocationIndices.Targets.Model; the model, conjugacy, reward and target chains, HasScaleParameter, PriorHasScaleParameter and meanUpdate are the published AllocationIndices_Sampling. Lemmas on transporting a Markov chain's path measure and its stopping times along a measurable bijection of the state space are reusable beyond this mission; proofs of single milestones are welcome.

Selected references

  • J. C. Gittins, K. D. Glazebrook and R. R. Weber, Multi-armed Bandit Allocation Indices, 2nd ed., Wiley, 2011, §7.4 and §8. doi:10.1002/9780470980033
  • J. C. Gittins, Bandit processes and dynamic allocation indices, J. R. Stat. Soc. B 41 (1979), 148–177. doi:10.1111/j.2517-6161.1979.tb01068.x
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CombinatoricsComplexity Theory·Captain: Abhishek Anand

Block Sensitivity vs. Sensitivity: Reach 2.127294Open Problem

Prove a separation exponent of 2.127294, building on Robin Kothari’s 2.075 construction and yousofy’s 2.105 proof with twelve nested predicates and sharper joint boundary bounds.

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Complexity TheoryTheoretical Computer Science·Captain: marwahaha

Integer multiplication: κ = 1/2^154 (OpenAI construction, frozen-154 constants)Open Problem

Motivation

Multiplying two nnn-bit integers on a multitape Turing machine takes O(nlog⁡n)O(n\log n)O(nlogn) steps by the algorithm of Harvey and van der Hoeven (2021), and nlog⁡nn\log nnlogn was long conjectured to be optimal. The OpenAI manuscript Integer multiplication below nlog⁡nn\log nnlogn (September 2026) gives a machine running in time O(n L(n)1−κ)O(n\,L(n)^{1-\kappa})O(nL(n)1−κ) with κ=2−182\kappa = 2^{-182}κ=2−182, which beats nlog⁡nn\log nnlogn by a factor that grows without bound. That theorem is now fully formalized on this platform: IntMul.Kappa.campaign_bound_inv_two_pow_182 is Proved, through the published development NLogN.KFTop.kappa_bound.

The manuscript calls its constants "deliberately conservative; no optimization is claimed." The community repository CrocSwap/integer-mult-bounds records which constants the same construction tolerates. Its patch frozen-154 keeps the original swap networks and recurrence exponents and changes only four constants of the final assembly, which raises the saving to κ=2−154\kappa = 2^{-154}κ=2−154. This mission formalizes that retuning.

Timeline of the saving κ\kappaκ for this construction:

  • 2026, OpenAI manuscript: κ=2−182\kappa = 2^{-182}κ=2−182, with ε=2−75\varepsilon = 2^{-75}ε=2−75, c=2−56c = 2^{-56}c=2−56, λ′=1−2−54\lambda' = 1 - 2^{-54}λ′=1−2−54, τ=1−2−50\tau = 1 - 2^{-50}τ=1−2−50. Formalized on Prove2me in October 2026.
  • 2026, frozen-154 patch: κ=2−154\kappa = 2^{-154}κ=2−154, with ε=c=2−51\varepsilon = c = 2^{-51}ε=c=2−51, λ=1−2−101\lambda = 1 - 2^{-101}λ=1−2−101, λ′=1−2−102\lambda' = 1 - 2^{-102}λ′=1−2−102, and the same networks. Not yet formalized.
  • Later community rounds (new networks, Jain's rounds six to eight) reach κ≈10−4\kappa \approx 10^{-4}κ≈10−4. They are separate entries in this campaign, and their machine-level theorems are still Open.

Setting

A multitape Turing machine has a finite alphabet, finitely many states, a read-only input tape, an output tape and finitely many work tapes. On input x#yx\#yx#y with x,y∈{0,1}nx, y \in \{0,1\}^nx,y∈{0,1}n it must halt with the 2n2n2n-bit binary expansion of val(x)⋅val(y)\mathrm{val}(x)\cdot\mathrm{val}(y)val(x)⋅val(y) on the output tape. Write L(n)=max⁡(⌈log⁡2n⌉,1)L(n) = \max(\lceil \log_2 n\rceil, 1)L(n)=max(⌈log2​n⌉,1). The proposition KappaBound(κ)\mathrm{KappaBound}(\kappa)KappaBound(κ) (from IntMul_MultitapeModel) says that one such machine is correct for every n≥1n \ge 1n≥1 and runs in at most C n L(n)1−κC\,n\,L(n)^{1-\kappa}CnL(n)1−κ steps for all large nnn.

The OpenAI machine processes inputs of length nnn using the parameters b=L(n)b = L(n)b=L(n), p=6bp = 6bp=6b, d=⌊bε⌋d = \lfloor b^{\varepsilon}\rfloord=⌊bε⌋ (the number of axes of the transform), K=⌊dc⌋K = \lfloor d^{c}\rfloorK=⌊dc⌋ (the chunk width of the transform layout), ℓ=⌈L/d⌉\ell = \lceil L/d\rceilℓ=⌈L/d⌉ and α=⌈(12d2b)1/4⌉\alpha = \lceil (12 d^2 b)^{1/4}\rceilα=⌈(12d2b)1/4⌉, where LLL is least with 4n≤2Lb4n \le 2^L b4n≤2Lb and V=2LpV = 2^L pV=2Lp is the bit volume. Its running time divided by VVV is bounded by the normalized cost table (Table 1 of the manuscript)

N(p,d,K,ℓ,α)=dK+pKτ−1+ℓdλ′+d2(1+ℓτ)+d p1/2+δα+d pδ+(ℓ+log⁡2p)+pδ+1.N(p,d,K,\ell,\alpha) = dK + pK^{\tau-1} + \ell d^{\lambda'} + d^2(1+\ell^{\tau}) + d\,p^{1/2+\delta}\alpha + d\,p^{\delta} + (\ell + \log_2 p) + p^{\delta} + 1.N(p,d,K,ℓ,α)=dK+pKτ−1+ℓdλ′+d2(1+ℓτ)+dp1/2+δα+dpδ+(ℓ+log2​p)+pδ+1.

Each row is at most ppp to a power below one. The seven margins below one are

g1=1−ε(1+c), g2=εc(1−τ), g3=ε(1−λ′), g4=1−τ−ε(2−τ), g5=14−δ−3ε2, g6=1−δ−ε, g7=ε,g_1 = 1-\varepsilon(1+c),\ g_2 = \varepsilon c(1-\tau),\ g_3 = \varepsilon(1-\lambda'),\ g_4 = 1-\tau-\varepsilon(2-\tau),\ g_5 = \tfrac14-\delta-\tfrac{3\varepsilon}{2},\ g_6 = 1-\delta-\varepsilon,\ g_7 = \varepsilon,g1​=1−ε(1+c), g2​=εc(1−τ), g3​=ε(1−λ′), g4​=1−τ−ε(2−τ), g5​=41​−δ−23ε​, g6​=1−δ−ε, g7​=ε,

and the saving is κ=12min⁡igi\kappa = \tfrac12\min_i g_iκ=21​mini​gi​. At the manuscript's constants the minimum is g2=2−181g_2 = 2^{-181}g2​=2−181. At the frozen-154 constants (τ=1−2−50\tau = 1-2^{-50}τ=1−2−50 and δ=1/16\delta = 1/16δ=1/16 unchanged) the minimum is g3=2−153g_3 = 2^{-153}g3​=2−153, so κ=2−154\kappa = 2^{-154}κ=2−154.

The definition file IntMul_OpenAI_R154 fixes these constants, the table NNN (named Ncost) and the parameter map dP, KP, ℓP, αP. It reuses bbb, LLL, TTT, ppp and VVV from the published IntMul.OpenAI.Glue, since they do not depend on the constants.

Formalization targets

Goal

KappaBound ⁣(2−154)\mathrm{KappaBound}\!\left(2^{-154}\right)KappaBound(2−154)

This is the campaign template with value 1/21541/2^{154}1/2154, stated over the campaign's foundation definitions.

Milestones

  1. Margins: at the new constants, 2κ≤gi2\kappa \le g_i2κ≤gi​ for all seven margins, together with the layer conditions τ(1+c/β)<λ′<1\tau(1 + c/\beta) < \lambda' < 1τ(1+c/β)<λ′<1 (with β=1/2\beta = 1/2β=1/2) and λ′−τ−c>0\lambda' - \tau - c > 0λ′−τ−c>0.
  2. Cost table: under the pointwise bounds pε/12≤d≤pεp^{\varepsilon}/12 \le d \le p^{\varepsilon}pε/12≤d≤pε, pεc/24≤K≤pεcp^{\varepsilon c}/24 \le K \le p^{\varepsilon c}pεc/24≤K≤pεc, 0≤ℓ≤p/(3d)0 \le \ell \le p/(3d)0≤ℓ≤p/(3d), 0≤α≤4p1/4+ε/20 \le \alpha \le 4p^{1/4+\varepsilon/2}0≤α≤4p1/4+ε/2, one has N(p,d,K,ℓ,α)≤50 p1−2κN(p,d,K,\ell,\alpha) \le 50\,p^{1-2\kappa}N(p,d,K,ℓ,α)≤50p1−2κ.
  3. Parameters: for all large nnn, the concrete parameters satisfy those pointwise bounds with p=6L(n)p = 6L(n)p=6L(n), and 0≤V≤48n0 \le V \le 48n0≤V≤48n.
  4. Reduction: a correct machine whose time is at most C0(V⋅N⋅(log⁡L(n)+1)A+n)C_0\big(V\cdot N \cdot (\log L(n) + 1)^A + n\big)C0​(V⋅N⋅(logL(n)+1)A+n) for all large nnn, with any parameter sequences obeying the pointwise bounds, satisfies KappaBound(2−154)\mathrm{KappaBound}(2^{-154})KappaBound(2−154).
  5. Machine: there is a correct multitape machine whose time is at most C0(V⋅N(6L(n),d,K,ℓ,α)⋅(log⁡L(n)+1)A+n)C_0\big(V\cdot N(6L(n), d, K, \ell, \alpha)\cdot(\log L(n)+1)^A + n\big)C0​(V⋅N(6L(n),d,K,ℓ,α)⋅(logL(n)+1)A+n) for all large nnn, at the concrete frozen-154 parameters.

The goal follows from milestones 3, 4 and 5 by a short argument.

Significance

The result itself. The bound improves the formally verified saving for exact integer multiplication on multitape machines from 2−1822^{-182}2−182 to 2−1542^{-154}2−154, a factor of 2282^{28}228, without new mathematics in the networks. It also checks that the manuscript's construction is robust to its constants, which the manuscript asserts but does not exercise.

Formalizing it. The 2−1822^{-182}2−182 development hard-codes ε\varepsilonε and ccc in its parameter map (IntMul.OpenAI.Glue.dP, KP) and in the statements built on them. A development written against general constants, or a second instantiation, makes every later retuning cheap and separates what depends on the constants from what does not. Milestones 1 to 4 are short and mirror proved lemmas of the 2−1822^{-182}2−182 development. Milestone 5 is the substance.

Difficulty

The cost analysis is not where the difficulty lies; it is finite arithmetic with real powers. The difficulty is milestone 5: re-establishing the machine's time bound at the new ddd and KKK. A larger ε\varepsilonε makes ddd grow much faster with bbb, and a larger ccc makes the chunk width KKK grow faster with ddd. Every lemma whose proof used the old exponents numerically must be rechecked. These include the depth guard for the recursive layers, the bound on the simultaneous-layer exponent λ′\lambda'λ′, and the requirement that the auxiliary gate counts fit in p+3p + 3p+3 bits. Reusing the 2−1822^{-182}2−182 proofs verbatim fails wherever they rely on d≤b2−75d \le b^{2^{-75}}d≤b2−75 or K≤d2−56K \le d^{2^{-56}}K≤d2−56 specifically.

Formalization scope

All statements use the Mathlib environment of the campaign (0df444a, Lean v4.33.1) and the machine model IntMul_MultitapeModel: a fixed finite alphabet and state set, k≥2k \ge 2k≥2 one-way infinite tapes, a read-only input tape, and exact output bin2n(val(x)val(y))\mathrm{bin}_{2n}(\mathrm{val}(x)\mathrm{val}(y))bin2n​(val(x)val(y)). Real powers are Real.rpow. L(n)=max⁡(⌈log⁡2n⌉,1)L(n) = \max(\lceil\log_2 n\rceil, 1)L(n)=max(⌈log2​n⌉,1) is IntMul.lg.

The machine milestone quantifies over one machine for all lengths. A machine that hard-codes answers for finitely many lengths still has to be correct everywhere and to meet the time bound for all large nnn, so no finite table trivializes it. The polylogarithmic factor (log⁡L(n)+1)A(\log L(n)+1)^A(logL(n)+1)A in milestones 4 and 5 matches the manuscript's statement that the slack 2κ2\kappa2κ "covers any remaining fixed power of log⁡p\log plogp". It does not weaken the goal.

Contributions are welcome at every level: proofs of milestones 1 to 4, a parametric version of the Glue, KFM and KFV parameter lemmas, and sketches that split milestone 5 into the phases of the 2−1822^{-182}2−182 machine.

Selected references

  • D. Harvey and J. van der Hoeven, Integer multiplication in time O(nlog⁡n)O(n\log n)O(nlogn), Annals of Mathematics 193 (2021). https://doi.org/10.4007/annals.2021.193.2.4
  • OpenAI, Integer multiplication below nlog⁡nn\log nnlogn, preprint, September 2026, §8 (Table 1, equation (fixed-parameters), margin list). https://github.com/openai/math/tree/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Integer-multiplication-below-n-log-n-September-23-2026
  • D. Colkitt et al., integer-mult-bounds, patch frozen-154. https://github.com/CrocSwap/integer-mult-bounds/blob/main/patches/frozen-154.patch
  • Prove2me, NLogN.KFTop.kappa_bound and IntMul.OpenAI.Glue.kappaBound_of_machine (the formalized 2−1822^{-182}2−182 development).
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Algorithmic Game TheoryOperations ResearchProbability·Captain: mikedeng1

Better to Bend than to Break: Sharing Supply Risk Using the Supply-Flexibility Contract: With Log-Concave Demand, Both Supplier and Buyer Are Better Off than under the Price-Only ContractResearch Paper

Motivation

A supplier whose regular production can be disrupted must decide who bears the risk of a shortfall. Under a price-only contract the supplier promises the full order and covers any shortfall from a costlier, reliable expedited source; the buyer bears no supply risk but pays for the supplier's insurance through the wholesale price. Farahani, Dawande, Gurnani and Janakiraman (SSRN 3143238) study the supply-flexibility contract, under which the supplier may deliver less than the order, down to a guaranteed fraction of it that she chooses together with the price. The paper documents contracts of this kind in practice: coal supply in India with a commitment to deliver at least 80% of the agreed quantity, corn supply agreements with no penalty as long as 75% of the order is delivered, and minimum-volume provisions in printed circuit boards and fresh foods (§1, pp. 2–3).

The question is who gains. The supplier leads the game and can always offer zero flexibility, so she cannot lose. The buyer, by contrast, hands the supplier the power to pass disruption risk to him, and it is not evident that he is not hurt. The paper's main result says that, for log-concave demand, he is not: both parties are weakly better off. The price-only benchmark with supply risk extends the analysis of Lariviere and Porteus (2001); the disruption model with an expedited backup follows Tomlin (2006).

Setting

A buyer faces random demand DDD with density fff, positive on an interval [0,aˉ)[0, \bar a)[0,aˉ) (aˉ=∞\bar a = \inftyaˉ=∞ allowed) and zero elsewhere, with survival function Fˉ(x)=∫x∞f\bar F(x) = \int_x^\infty fFˉ(x)=∫x∞​f and finite mean. He sells at a fixed retail price rrr; unmet demand is lost. A supplier's regular production costs c>0c > 0c>0 per unit of input, and an input yyy yields αy\alpha yαy, where α∼Bernoulli(p)\alpha \sim \mathrm{Bernoulli}(p)α∼Bernoulli(p) with 0<p≤10 < p \le 10<p≤1. An expedited source delivers any quantity at cost sss per unit. Assumption 1 is min⁡{s,r}>c/p\min\{s, r\} > c/pmin{s,r}>c/p. Assumption 2 is that the generalized failure rate g(ξ)=ξf(ξ)/Fˉ(ξ)g(\xi) = \xi f(\xi)/\bar F(\xi)g(ξ)=ξf(ξ)/Fˉ(ξ) is non-decreasing on [0,aˉ)[0, \bar a)[0,aˉ).

Write b=βˉ=1−βb = \bar\beta = 1 - \betab=βˉ​=1−β for the guaranteed fraction. A contract (w,b)(w, b)(w,b) obliges the supplier to deliver at least bqbqbq of an order qqq. The game runs:

  1. the supplier offers (w,b)(w, b)(w,b), with b=1b = 1b=1 in the price-only contract and b∈[0,1]b \in [0, 1]b∈[0,1] in the supply-flexibility contract;
  2. the buyer orders q≥0q \ge 0q≥0;
  3. the supplier chooses an input y≥0y \ge 0y≥0, and α\alphaα is realized;
  4. the supplier delivers z∈[bq,q]z \in [bq, q]z∈[bq,q], expediting any shortfall, and the buyer pays wzwzwz.

The supplier earns wz−cy−s(z−αy)+wz - cy - s(z - \alpha y)^+wz−cy−s(z−αy)+; the buyer earns r Emin⁡(z,D)−wzr\,\mathbb E\min(z, D) - wzrEmin(z,D)−wz. Assumption 3: an indifferent supplier delivers the least quantity. With G(q)=Fˉ(q)−qf(q)G(q) = \bar F(q) - q f(q)G(q)=Fˉ(q)−qf(q), the equilibrium is expressed through the solutions q~\tilde qq~​, qoq^oqo, q^∗\hat q^*q^​∗, qˇ\check qqˇ​ of

r G(q~)=c+(1−p)s,rp G(qo)=c,r G(q^∗)=s,r(pqˇFˉ(qˇ)+(1−p)q^∗Fˉ(q^∗))pqˇ+(1−p)q^∗=s,r\,G(\tilde q) = c + (1-p)s, \qquad rp\,G(q^o) = c, \qquad r\,G(\hat q^*) = s, \qquad \frac{r\bigl(p\check q\bar F(\check q) + (1-p)\hat q^*\bar F(\hat q^*)\bigr)}{p\check q + (1-p)\hat q^*} = s,rG(q~​)=c+(1−p)s,rpG(qo)=c,rG(q^​∗)=s,pqˇ​+(1−p)q^​∗r(pqˇ​Fˉ(qˇ​)+(1−p)q^​∗Fˉ(q^​∗))​=s,

equations (1)–(4) of the paper.

Formalization targets

Goal: Theorem 6

For every model satisfying Assumptions 1–3 with a log-concave density, both games have a subgame-perfect equilibrium, and for every equilibrium σX\sigma_XσX​ of the flexibility game and every equilibrium σP\sigma_PσP​ of the price-only game,

ΠB(σP)≤ΠB(σX),ΠS(σP)≤ΠS(σX),\Pi^B(\sigma_P) \le \Pi^B(\sigma_X), \qquad \Pi^S(\sigma_P) \le \Pi^S(\sigma_X),ΠB(σP​)≤ΠB(σX​),ΠS(σP​)≤ΠS(σX​),

where ΠB\Pi^BΠB, ΠS\Pi^SΠS are the buyer's and supplier's expected equilibrium profits. The goal fixes no distribution and no parameter values; it asserts only the direction of the comparison.

Milestones

  • Theorem 2: the price-only equilibrium, w=rFˉ(q∗)w = r\bar F(q^*)w=rFˉ(q∗) and q=y=q∗q = y = q^*q=y=q∗, where q∗=q~q^* = \tilde qq∗=q~​ if c+(1−p)s≤rc + (1-p)s \le rc+(1−p)s≤r and q∗=0q^* = 0q∗=0 otherwise.
  • Lemma A2.1: every equilibrium of the flexibility game has w>c/pw > c/pw>c/p.
  • Lemmas A2.3 and A2.2: the supplier's recast problem (A2.8) over (q,q^)(q, \hat q)(q,q^​) has an optimal solution, and it is (qo,0)(q^o, 0)(qo,0), (qo,q^∗)(q^o, \hat q^*)(qo,q^​∗) or (qˇ,q^∗)(\check q, \hat q^*)(qˇ​,q^​∗) according to the sign of s−rs - rs−r and of wo−sw^o - swo−s.
  • (A1.3): for s≤rs \le rs≤r, wo≤rFˉ(q~)w^o \le r\bar F(\tilde q)wo≤rFˉ(q~​).
  • Theorem 3: the flexibility equilibrium, with order κ∗\kappa^*κ∗, guaranteed fraction βˉ∗\bar\beta^*βˉ​∗ and price w∗=r[pFˉ(κ∗)+(1−p)βˉ∗Fˉ(βˉ∗κ∗)]/(p+(1−p)βˉ∗)w^* = r[p\bar F(\kappa^*) + (1-p)\bar\beta^*\bar F(\bar\beta^*\kappa^*)]/(p + (1-p)\bar\beta^*)w∗=r[pFˉ(κ∗)+(1−p)βˉ​∗Fˉ(βˉ​∗κ∗)]/(p+(1−p)βˉ​∗).
  • Theorem 4: in every pair of equilibria, the flexibility order is at least the price-only order, while the guaranteed delivery under flexibility is at most the price-only order.
  • (A1.16) and (A1.18): for log-concave fff, p∫0qoxf+(1−p)∫0q^∗xf≥∫0q~xfp\int_0^{q^o}xf + (1-p)\int_0^{\hat q^*}xf \ge \int_0^{\tilde q}xfp∫0qo​xf+(1−p)∫0q^​∗​xf≥∫0q~​​xf when s≤rs \le rs≤r, and p∫0qoxf≥∫0q~xfp\int_0^{q^o}xf \ge \int_0^{\tilde q}xfp∫0qo​xf≥∫0q~​​xf when s>r≥c+(1−p)ss > r \ge c + (1-p)ss>r≥c+(1−p)s.

Significance

The result separates two effects of flexibility. Lowering the guarantee lets the supplier cut the wholesale price, which raises the order and the total profit of the chain; the theorem says the buyer's share of that gain at least offsets the risk he takes on. Corollary 1 of the paper, that supply-chain efficiency is higher under the flexibility contract, follows directly. The paper's remark after Theorem 6 notes that the conclusion holds for uniform, normal, exponential, and Gamma and Weibull demand with shape at least one, which covers the distributions used in most newsvendor studies.

The result is proved in the paper; nothing here is open. To our knowledge none of it has a machine-checked proof. A formalization adds three things. It fixes the equilibrium concept: the paper solves a "Stackelberg equilibrium" by backward induction and states it as unique, which fails in three edge cases (a zero price-only order, an irrelevant guaranteed fraction when the price exceeds sss or when p=1p = 1p=1, and a tie between two supplier strategies); the milestones state the corrected versions. It supplies the existence argument for (A2.8), whose proof the paper omits. And it checks a proof that differentiates the roots of (1)–(3) in the parameter sss, while the statement needs no differentiability of fff.

Difficulty

The supplier's half is a deviation argument. The buyer's half is not: the buyer's equilibrium profit depends on which of three regimes the supplier chooses (κ∗=qo\kappa^* = q^oκ∗=qo, qˇ\check qqˇ​ or q~\tilde qq~​), and in two of them he receives a smaller quantity with probability 1−p1 - p1−p. Comparing truncated means ∫0qxf\int_0^q xf∫0q​xf at the roots of three different equations has no pointwise argument: the roots move with sss at different rates, and the comparison needs a shape condition on fff beyond Assumption 2. The paper uses log-concavity, and remarks that monotonicity of 2/ξ+f′(ξ)/f(ξ)2/\xi + f'(\xi)/f(\xi)2/ξ+f′(ξ)/f(ξ) suffices. A second difficulty is the equilibrium itself: the supplier's problem in (w,βˉ)(w, \bar\beta)(w,βˉ​) is not concave, and its recast form (A2.8) has a non-convex feasible set. Reading off the equilibrium requires solving every subgame, including off-path ones at prices below c/pc/pc/p, where the supplier's production choice changes.

Formalization scope

The model is a structure of reals (r,c,s,p)(r, c, s, p)(r,c,s,p), a density f:R→Rf : \mathbb R \to \mathbb Rf:R→R, and aˉ∈[0,∞]\bar a \in [0, \infty]aˉ∈[0,∞]; demand is Lebesgue measure with density fff, and Emin⁡(z,D)\mathbb E\min(z, D)Emin(z,D) is the published SupplyChainTheory.expSales. Fˉ(x)=∫(x,∞)f\bar F(x) = \int_{(x,\infty)} fFˉ(x)=∫(x,∞)​f, and ∫0q\int_0^q∫0q​ is the integral over (0,q](0, q](0,q]. The disruption is a Boolean, with expectation p h(1)+(1−p) h(0)p\,h(1) + (1-p)\,h(0)ph(1)+(1−p)h(0). Log-concavity is the published ConvexOptimization.LogConcaveOn on all of R\mathbb RR, which allows fff to vanish off its support. The roots of (1)–(4) are not defined by choice; every theorem takes them as arguments with hypotheses stating that they solve the equations.

The equilibrium is subgame perfect: delivery is the least maximiser of the supplier's ex-post profit (Assumption 3), and production, order and offer are optimal at every admissible history, not only on the equilibrium path. The price-only game fixes b=1b = 1b=1. Two hypotheses are added to the paper's and disclosed: fff continuous on [0,aˉ)[0, \bar a)[0,aˉ), so that (1)–(4) have solutions, and offers restricted to w>0w > 0w>0, without which the buyer's problem has no maximiser and no equilibrium exists (Lemma A2.1 shows the restriction changes no equilibrium).

A formalization in which the comparison holds trivially is ruled out: optimality is required off the equilibrium path, so threats cannot sustain arbitrary outcomes; the price-only game cannot choose a guaranteed fraction; delivery follows the least-quantity rule; and the goal asserts that equilibria exist, so the comparison is not vacuous. "Better off" is the weak inequality, since in some cases the two contracts give the same outcome.

A complete development needs truncated-mean and survival-function calculus for densities, uniqueness and continuity of the roots of G(q)=G(q) = G(q)= const under IGFR, and comparative statics of those roots in sss. The IGFR root lemmas and the expected-sales identity Emin⁡(z,D)=zFˉ(z)+∫0zxf\mathbb E\min(z, D) = z\bar F(z) + \int_0^z xfEmin(z,D)=zFˉ(z)+∫0z​xf are reusable across newsvendor-contract missions. Contributions to any milestone, and to these supporting lemmas, are welcome.

Selected references

  • M. H. Farahani, M. Dawande, H. Gurnani, G. Janakiraman, Better to Bend than to Break: Sharing Supply Risk Using the Supply-Flexibility Contract, SSRN working paper 3143238; published in Manufacturing & Service Operations Management, 2021. https://ssrn.com/abstract=3143238
  • M. A. Lariviere, E. L. Porteus, Selling to the Newsvendor: An Analysis of Price-Only Contracts, Manufacturing & Service Operations Management 3(4), 2001. https://doi.org/10.1287/msom.3.4.293.9971
  • B. Tomlin, On the Value of Mitigation and Contingency Strategies for Managing Supply Chain Disruption Risks, Management Science 52(5), 2006. https://doi.org/10.1287/mnsc.1060.0515
  • M. Bagnoli, T. Bergstrom, Log-Concave Probability and Its Applications, Economic Theory 26, 2005. https://doi.org/10.1007/s00199-004-0514-4
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Operations ResearchProbabilityStatistics·Captain: mikedeng1

Regularized Aggregation of One-Off Probability Predictions: The Jeffreys-Type Priors π(θ; a, b) Give a Proper Posterior When the Probit Predictions Disagree and Their Mean Is Not μ0Research Paper

Motivation

A decision maker who asks several experts for the probability of a one-off event (an election result, a geopolitical outcome, a product launch) has to turn KKK reported probabilities into one. Simple averages are known to be under-confident when the experts hold different information, and over-confident when they share noise. Model-based aggregators correct for this. The event is a one-off, however, so there is no history from which to estimate the model's parameters, and the aggregate has to come from a single cross-section of KKK predictions. Satopää (SSRN 3769945, 2021; Operations Research 70(6), 2022, doi:10.1287/opre.2021.2224) answers this with a Bayesian aggregator whose prior carries no tuning parameters. That only makes sense if the resulting posterior is a genuine probability distribution. This mission formalizes the theorem that guarantees it.

Setting

A binary event is Y=1(I0>0)Y = \mathbf 1(I_0 > 0)Y=1(I0​>0), where I0I_0I0​ is a latent Gaussian variable. The common prior is p0=P(Y=1)=Φ(μ0)p_0 = \mathbb P(Y=1) = \Phi(\mu_0)p0​=P(Y=1)=Φ(μ0​), where Φ\PhiΦ is the standard normal distribution function and μ0∈R\mu_0 \in \mathbb Rμ0​∈R. There are K≥2K \ge 2K≥2 forecasters. Forecaster kkk holds evidence IkI_kIk​, and in addition irrational noise NkN_kNk​. They report pk=Φ(Pk)p_k = \Phi(P_k)pk​=Φ(Pk​); the real number PkP_kPk​ is the probit prediction, and P=(P1,…,PK)∈RK\mathbf P = (P_1,\dots,P_K) \in \mathbb R^KP=(P1​,…,PK​)∈RK.

Under exchangeability and Gaussianity, the model has three parameters θ=(δ,γ,ρ)\theta = (\delta,\gamma,\rho)θ=(δ,γ,ρ): γ=Var⁡(Ik)\gamma = \operatorname{Var}(I_k)γ=Var(Ik​) is the information each forecaster holds, ρ=Cov⁡(Ij,Ik)\rho = \operatorname{Cov}(I_j,I_k)ρ=Cov(Ij​,Ik​) the information two forecasters share, and δ−γ=Var⁡(Nk)\delta - \gamma = \operatorname{Var}(N_k)δ−γ=Var(Nk​) the noise. The evidence (I0,I1,…,IK)(I_0, I_1,\dots,I_K)(I0​,I1​,…,IK​) has covariance matrix

Σ=(1γ1K′γ1K(γ−ρ)IK+ρJK),\Sigma = \begin{pmatrix} 1 & \gamma \mathbf 1_K' \\ \gamma\mathbf 1_K & (\gamma-\rho)I_K + \rho J_K\end{pmatrix},Σ=(1γ1K​​γ1K′​(γ−ρ)IK​+ρJK​​),

where IKI_KIK​ is the identity and JKJ_KJK​ the all-ones matrix. The parameter space is

P(K)={(δ,γ,ρ):max⁡{0,Kγ2−γK−1}≤ρ<γ≤δ}.\mathcal P(K) = \Big\{(\delta,\gamma,\rho) : \max\Big\{0,\tfrac{K\gamma^2-\gamma}{K-1}\Big\} \le \rho < \gamma \le \delta\Big\}.P(K)={(δ,γ,ρ):max{0,K−1Kγ2−γ​}≤ρ<γ≤δ}.

The probit predictions are Gaussian, P∼NK(1Kμ0/1−γ, Λ22)\mathbf P \sim \mathcal N_K\big(\mathbf 1_K \mu_0/\sqrt{1-\gamma},\ \Lambda_{22}\big)P∼NK​(1K​μ0​/1−γ​, Λ22​) with Λ22=[(δ−ρ)IK+ρJK]/(1−γ)\Lambda_{22} = [(\delta-\rho)I_K + \rho J_K]/(1-\gamma)Λ22​=[(δ−ρ)IK​+ρJK​]/(1−γ). The likelihood π(P∣p0,θ)\pi(\mathbf P\mid p_0,\theta)π(P∣p0​,θ) is this density. The two eigenvalues of Λ22\Lambda_{22}Λ22​ are

η1=δ+(K−1)ρ1−γ,η2=δ−ρ1−γ,\eta_1 = \frac{\delta+(K-1)\rho}{1-\gamma},\qquad \eta_2 = \frac{\delta-\rho}{1-\gamma},η1​=1−γδ+(K−1)ρ​,η2​=1−γδ−ρ​,

and the sufficient statistics are Pˉ=1K∑kPk\bar P = \frac1K\sum_k P_kPˉ=K1​∑k​Pk​ and SP=1K∑kPk2−Pˉ2S_P = \frac1K\sum_k P_k^2 - \bar P^2SP​=K1​∑k​Pk2​−Pˉ2.

The prior family is

π(θ;a,b)∝η1−(a+1/2) η2−(b+1/2) (1−γ)−(a+5/2),a,b>0.\pi(\theta;a,b) \propto \eta_1^{-(a+1/2)}\,\eta_2^{-(b+1/2)}\,(1-\gamma)^{-(a+5/2)},\qquad a,b>0.π(θ;a,b)∝η1−(a+1/2)​η2−(b+1/2)​(1−γ)−(a+5/2),a,b>0.

It contains the Jeffreys prior π(θ;1,1/2)\pi(\theta;1,1/2)π(θ;1,1/2), which is proportional to the square root of the determinant of the Fisher information I(θ)\mathcal I(\theta)I(θ), and the independence Jeffreys prior π(θ;1/2,1/2)\pi(\theta;1/2,1/2)π(θ;1/2,1/2).

Formalization targets

Goal: Theorem 3.3 (iii), propriety of the posterior

For every K≥2K\ge2K≥2, μ0∈R\mu_0\in\mathbb Rμ0​∈R, a,b>0a,b>0a,b>0 and P∈RK\mathbf P\in\mathbb R^KP∈RK with Pj≠PkP_j \ne P_kPj​=Pk​ for some j≠kj\ne kj=k and Pˉ≠μ0\bar P\ne\mu_0Pˉ=μ0​,

0<∫P(K)π(P∣p0,θ) π(θ;a,b) dθ<∞.0 < \int_{\mathcal P(K)} \pi(\mathbf P\mid p_0,\theta)\,\pi(\theta;a,b)\,d\theta < \infty .0<∫P(K)​π(P∣p0​,θ)π(θ;a,b)dθ<∞.

The statement holds for the whole family, not only for the two Jeffreys priors.

Milestones, in attack order

  1. The proof of Theorem 2.1: Σ≻0\Sigma \succ 0Σ≻0 if and only if (Kγ2−γ)/(K−1)<ρ<γ(K\gamma^2-\gamma)/(K-1) < \rho < \gamma(Kγ2−γ)/(K−1)<ρ<γ.
  2. Theorem 2.1: Σ≻0\Sigma\succ0Σ≻0, ρ≥0\rho\ge0ρ≥0 and δ≥γ\delta\ge\gammaδ≥γ imply θ∈P(K)\theta\in\mathcal P(K)θ∈P(K).
  3. det⁡Λ22=η1η2K−1\det\Lambda_{22} = \eta_1\eta_2^{K-1}detΛ22​=η1​η2K−1​.
  4. (P−m)′Λ22−1(P−m)=K [SP/η2+(Pˉ−μ0/1−γ)2/η1](\mathbf P - m)'\Lambda_{22}^{-1}(\mathbf P - m) = K\,[S_P/\eta_2 + (\bar P - \mu_0/\sqrt{1-\gamma})^2/\eta_1](P−m)′Λ22−1​(P−m)=K[SP​/η2​+(Pˉ−μ0​/1−γ​)2/η1​], where m=1Kμ0/1−γm = \mathbf 1_K\mu_0/\sqrt{1-\gamma}m=1K​μ0​/1−γ​.
  5. Theorem 3.2: the spectrum of Λ22\Lambda_{22}Λ22​ is {η1,η2}\{\eta_1,\eta_2\}{η1​,η2​}, and
π(P∣p0,θ)=1(2π)Kη1η2K−1exp⁡{−K2[SPη2+(Pˉ−μ0/1−γ)2η1]}.\pi(\mathbf P\mid p_0,\theta) = \frac{1}{\sqrt{(2\pi)^K\eta_1\eta_2^{K-1}}}\exp\Big\{-\frac K2\Big[\frac{S_P}{\eta_2} + \frac{(\bar P - \mu_0/\sqrt{1-\gamma})^2}{\eta_1}\Big]\Big\}.π(P∣p0​,θ)=(2π)Kη1​η2K−1​​1​exp{−2K​[η2​SP​​+η1​(Pˉ−μ0​/1−γ​)2​]}.
  1. ∣I(θ)∣=μ02(K−1)K3/(16(1−γ)7η13η22)|\mathcal I(\theta)| = \mu_0^2(K-1)K^3 / \big(16(1-\gamma)^7\eta_1^3\eta_2^2\big)∣I(θ)∣=μ02​(K−1)K3/(16(1−γ)7η13​η22​).
  2. Theorem 3.3 (i): the Jeffreys prior exists if and only if p0≠0.5p_0\ne 0.5p0​=0.5, and then it equals π(θ;1,1/2)\pi(\theta;1,1/2)π(θ;1,1/2) up to a constant.
  3. With S1=∑k(Pk−μ0)2S_1 = \sum_k (P_k-\mu_0)^2S1​=∑k​(Pk​−μ0​)2 and S2=∑i,k(Pk−μ0)(Pi−μ0)S_2 = \sum_{i,k}(P_k-\mu_0)(P_i-\mu_0)S2​=∑i,k​(Pk​−μ0​)(Pi​−μ0​): KS1≥S2KS_1 \ge S_2KS1​≥S2​, and KS1>S2KS_1 > S_2KS1​>S2​ as soon as two PkP_kPk​ differ.
  4. The inverse gamma normalizer ∫0∞x−(s+1)e−c/x dx=Γ(s)c−s\int_0^\infty x^{-(s+1)}e^{-c/x}\,dx = \Gamma(s)c^{-s}∫0∞​x−(s+1)e−c/xdx=Γ(s)c−s for s,c>0s,c>0s,c>0.

Significance

The result. An objective prior "may not have a finite integral and hence may not represent an actual probability distribution. Inference, however, is valid as long as the resulting posterior distribution is proper" (p. 16). Theorem 3.3 (iii) gives conditions on the data under which the likelihood tames the prior's mass near the boundary of P(K)\mathcal P(K)P(K): the forecasters do not all agree, and their mean probit differs from μ0\mu_0μ0​. The revealed aggregator of the paper is defined through this posterior, so its MCMC implementation and every application in §4 rest on this theorem.

Formalizing it. The result has a published, informal proof. No part of it has been machine-checked. The mission adds a machine-checked statement of the model (parameter space, likelihood as a Gaussian density, the prior family, the Fisher information) and of the steps the proof relies on. A complete solution also corrects a slip in the printed proof: the posterior display on p. 40 centres the predictions at μ0\mu_0μ0​, while the likelihood (6) centres them at μ0/1−γ\mu_0/\sqrt{1-\gamma}μ0​/1−γ​. The formal statement uses the likelihood as defined.

Difficulty

The integral is over a three-dimensional region whose boundary is curved, ρ=(Kγ2−γ)/(K−1)\rho = (K\gamma^2-\gamma)/(K-1)ρ=(Kγ2−γ)/(K−1), and the integrand degenerates in several directions at once: γ↑1\gamma \uparrow 1γ↑1, δ−ρ↓0\delta-\rho\downarrow0δ−ρ↓0, δ+(K−1)ρ↓0\delta+(K-1)\rho\downarrow0δ+(K−1)ρ↓0, and δ→∞\delta\to\inftyδ→∞. A bound that treats the parameters one at a time fails, because the prior's singularity in η1\eta_1η1​ is integrable only after the exponential factor in (Pˉ−μ0/1−γ)2/η1(\bar P - \mu_0/\sqrt{1-\gamma})^2/\eta_1(Pˉ−μ0​/1−γ​)2/η1​ is used. That factor depends on γ\gammaγ through the mean, and the printed argument handles the dependence with a mis-centred posterior. Showing that the likelihood written with det⁡Λ22\det\Lambda_{22}detΛ22​ and Λ22−1\Lambda_{22}^{-1}Λ22−1​ coincides with its closed form needs the spectral structure of compound-symmetric matrices, which Mathlib does not package.

Formalization scope

  • θ\thetaθ is a function Fin 3→R\mathrm{Fin}\,3\to\mathbb RFin3→R with θ0=δ\theta_0 = \deltaθ0​=δ, θ1=γ\theta_1 = \gammaθ1​=γ, θ2=ρ\theta_2 = \rhoθ2​=ρ, so dθd\thetadθ is Lebesgue measure on R3\mathbb R^3R3.
  • P(K)\mathcal P(K)P(K) is as printed, with ≤\le≤ at the lower bound on ρ\rhoρ. The boundary is a null set.
  • K≥2K \ge 2K≥2 is a hypothesis of every theorem.
  • The data are the probits P∈RK\mathbf P\in\mathbb R^KP∈RK and μ0∈R\mu_0\in\mathbb Rμ0​∈R, not the probabilities, and p0=Φ(μ0)p_0 = \Phi(\mu_0)p0​=Φ(μ0​).
  • The likelihood is the Gaussian density with determinant and matrix inverse, through the published definition DKFAsymptotics.gaussianPDF.
  • "Proper" means that the Lebesgue integral in [0,∞][0,\infty][0,∞] of likelihood times prior over P(K)\mathcal P(K)P(K) is strictly positive and finite.
  • The Fisher information is the expectation of score products, computed with derivatives and Bochner integrals. These operations return 000 on degenerate inputs, and such inputs do not occur on P(K)\mathcal P(K)P(K).

A formalization in which the likelihood is defined by the closed form (6), or in which the integral ranges over a bounded box, would make the goal a different and easier statement. The likelihood here is the Gaussian density, and the domain is all of P(K)\mathcal P(K)P(K).

A complete development needs:

  • compound-symmetric matrices: determinant, inverse, spectrum;
  • Gaussian Fisher information;
  • Gamma-function integrals;
  • a change of variables to (λ1,λ2,z)(\lambda_1, \lambda_2, z)(λ1​,λ2​,z) on P(K)\mathcal P(K)P(K).

The compound-symmetric matrix lemmas and the inverse gamma integral are reusable well beyond this paper. Contributions to either are welcome, as are alternative proofs of the goal.

Not formalized: Theorem 3.3 (ii), the independence Jeffreys prior, whose derivation drops cross-block factors inside its proportionalities. Its prior is still covered by the goal at (a,b)=(1/2,1/2)(a,b) = (1/2,1/2)(a,b)=(1/2,1/2). Also not formalized: Propositions 2.2 and 3.1, and the empirical §4.

Selected references

  • V. A. Satopää, Regularized Aggregation of One-off Probability Predictions, SSRN working paper 3769945 (version of 2021-08-10); published in Operations Research 70(6), 2022. https://ssrn.com/abstract=3769945, https://doi.org/10.1287/opre.2021.2224
  • H. Jeffreys, An invariant form for the prior probability in estimation problems, Proceedings of the Royal Society A 186, 1946. https://doi.org/10.1098/rspa.1946.0056
  • L. Malagò and G. Pistone, Information geometry of the Gaussian distribution in view of stochastic optimization, Proceedings of the 2015 ACM Conference on Foundations of Genetic Algorithms XIII, pp. 150–162, 2015. https://doi.org/10.1145/2725494.2725510
  • K. Dobbin and R. Simon, Sample size determination in microarray experiments for class comparison and prognostic classification, Biostatistics 6(1):27–38, 2005 (supplementary material, Theorem 2: inverse of a compound-symmetric matrix). https://doi.org/10.1093/biostatistics/kxh015
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Algorithmic Game TheoryOperations ResearchProbability·Captain: mikedeng1

Joint vs. Separate Crowdsourcing Contests: The Separate Contest Has the Higher Expected Best Random Factor, and the Joint Contest Induces Higher Equilibrium EffortResearch Paper

Motivation

Firms increasingly outsource innovation to crowdsourcing contests: a firm posts a design or software problem, many independent solvers submit solutions, and the best one wins a prize. Platforms such as Topcoder, 99designs and Kaggle run thousands of such contests, and a recurring design question is whether a project with several attributes (say, a logo's shape and its colour scheme, or an algorithm's speed and its accuracy) should be run as one joint contest judged on the aggregate quality, or split into separate sub-contests, one per attribute, each with its own prize.

M. Hu and L. Wang, Joint vs. Separate Crowdsourcing Contests (Management Science 67(5), 2021, doi:10.1287/mnsc.2020.3683; accepted manuscript SSRN 2892683), answer this in a rank-order tournament model in the tradition of Lazear and Rosen (1981). Their Proposition 1 isolates two opposing forces. Separating the contests lets the firm combine the best realization of luck in each attribute, possibly from different solvers (the combination effect). Joining them concentrates the whole prize in one competition, which raises the effort solvers exert (the pooling effect). The rest of the paper (the luck-versus-effort thresholds of Propositions 2–3, the optimal prize, heterogeneous solvers) builds on this decomposition.

Setting

There are n≥2n\ge 2n≥2 ex ante identical contestants. Contestant iii chooses an effort eil≥0e^l_i\ge 0eil​≥0 in each attribute l∈{1,2}l\in\{1,2\}l∈{1,2}, and her performance in attribute lll is Vil=eil+ξilV^l_i=e^l_i+\xi^l_iVil​=eil​+ξil​, where the random factors ξil\xi^l_iξil​ are independent across attributes and contestants with a common density ψ\psiψ and cdf Ψ(x)=∫(−∞,x]ψ\Psi(x)=\int_{(-\infty,x]}\psiΨ(x)=∫(−∞,x]​ψ. The density is symmetric (ψ(−x)=ψ(x)\psi(-x)=\psi(x)ψ(−x)=ψ(x)) and log-concave (ψ(x)aψ(y)b≤ψ(ax+by)\psi(x)^a\psi(y)^b\le\psi(ax+by)ψ(x)aψ(y)b≤ψ(ax+by) for a,b≥0a,b\ge 0a,b≥0, a+b=1a+b=1a+b=1). Effort in attribute lll costs Cl(e)C_l(e)Cl​(e), with Cl′>0C_l'>0Cl′​>0 and Cl′′>0C_l''>0Cl′′​>0 for e>0e>0e>0.

Write ψ∘(x)=∫ψ(t)ψ(x−t) dt\psi^\circ(x)=\int\psi(t)\psi(x-t)\,dtψ∘(x)=∫ψ(t)ψ(x−t)dt for the density of ξ∘=ξ1+ξ2\xi^\circ=\xi^1+\xi^2ξ∘=ξ1+ξ2, Ψ∘\Psi^\circΨ∘ for its cdf, and Ψ−1(u)=inf⁡{x:u≤Ψ(x)}\Psi^{-1}(u)=\inf\{x:u\le\Psi(x)\}Ψ−1(u)=inf{x:u≤Ψ(x)} for a quantile function. A contestant whose effort exceeds the common effort of the other n−1n-1n−1 by xxx wins with probability

Wψ(x)=∫−∞+∞Ψ(x+ξ)n−1ψ(ξ) dξ,W_\psi(x)=\int_{-\infty}^{+\infty}\Psi(x+\xi)^{n-1}\psi(\xi)\,d\xi ,Wψ​(x)=∫−∞+∞​Ψ(x+ξ)n−1ψ(ξ)dξ,

and the paper's key quantity is h(ξ;n)=∫(n−1)Ψ(ξ)n−2ψ(ξ)2 dξh(\xi;n)=\int(n-1)\Psi(\xi)^{n-2}\psi(\xi)^2\,d\xih(ξ;n)=∫(n−1)Ψ(ξ)n−2ψ(ξ)2dξ, with h∘(ξ∘;n)h^\circ(\xi^\circ;n)h∘(ξ∘;n) the same expression for ψ∘\psi^\circψ∘.

  • Separate contest. Two winner-take-all sub-contests with prizes A1=wAA^1=wAA1=wA and A2=(1−w)AA^2=(1-w)AA2=(1−w)A, w∈(0,1)w\in(0,1)w∈(0,1). In sub-contest lll a contestant earns AlWψ(e−s)−Cl(e)A^lW_\psi(e-s)-C_l(e)AlWψ​(e−s)−Cl​(e) when the others exert sss. An effort el∗≥0e^{l*}\ge0el∗≥0 is a symmetric equilibrium if no effort e≥0e\ge0e≥0 does better against it.
  • Joint contest. One winner-take-all contest with prize AAA on the aggregate performance Vi1+Vi2V^1_i+V^2_iVi1​+Vi2​. A contestant choosing (e1,e2)(e_1,e_2)(e1​,e2​) against (s1,s2)(s_1,s_2)(s1​,s2​) earns A Wψ∘((e1+e2)−(s1+s2))−C1(e1)−C2(e2)A\,W_{\psi^\circ}\big((e_1+e_2)-(s_1+s_2)\big)-C_1(e_1)-C_2(e_2)AWψ∘​((e1​+e2​)−(s1​+s2​))−C1​(e1​)−C2​(e2​); a symmetric equilibrium is a pair from which no nonnegative deviation pays.
  • Aggregate cost. C∘(e)=min⁡{C1(e1)+C2(e2):e1,e2≥0, e1+e2=e}C^\circ(e)=\min\{C_1(e_1)+C_2(e_2):e_1,e_2\ge0,\ e_1+e_2=e\}C∘(e)=min{C1​(e1​)+C2​(e2​):e1​,e2​≥0, e1​+e2​=e}.

With ξ(n)\xi_{(n)}ξ(n)​ the maximum of nnn independent copies, the difference of expected best performances splits as Δn=Δne+Δnξ\Delta_n=\Delta^e_n+\Delta^\xi_nΔn​=Δne​+Δnξ​, where

Δne=e1∗+e2∗−e∘∗,Δnξ=E(ξ(n)1)+E(ξ(n)2)−E((ξ1+ξ2)(n)),\Delta^e_n=e^{1*}+e^{2*}-e^{\circ*},\qquad \Delta^\xi_n=\mathsf E(\xi^1_{(n)})+\mathsf E(\xi^2_{(n)})-\mathsf E\big((\xi^1+\xi^2)_{(n)}\big),Δne​=e1∗+e2∗−e∘∗,Δnξ​=E(ξ(n)1​)+E(ξ(n)2​)−E((ξ1+ξ2)(n)​),

and e∘∗=s1+s2e^{\circ*}=s_1+s_2e∘∗=s1​+s2​ is the aggregate equilibrium effort of the joint contest. Assumption (R) asks for a u0u_0u0​ with 2Ψ−1(u)−Ψ∘−1(u)<02\Psi^{-1}(u)-\Psi^{\circ-1}(u)<02Ψ−1(u)−Ψ∘−1(u)<0 on (0,u0)(0,u_0)(0,u0​) and >0>0>0 on (u0,1)(u_0,1)(u0​,1).

Formalization targets

Goal: Proposition 1 (p. 17)

(i) Under Assumption (R),

Δnξ>0.\Delta^\xi_n>0 .Δnξ​>0.

(ii) For interior symmetric equilibria e1∗,e2∗>0e^{1*},e^{2*}>0e1∗,e2∗>0 of the sub-contests and (s1,s2)(s_1,s_2)(s1​,s2​), s1,s2>0s_1,s_2>0s1​,s2​>0, of the joint contest,

h∘(ξ∘;n)>max⁡{w h(ξ;n),(1−w) h(ξ;n)} ⟹ Δne<0,h^\circ(\xi^\circ;n)>\max\{w\,h(\xi;n),(1-w)\,h(\xi;n)\}\ \Longrightarrow\ \Delta^e_n<0,h∘(ξ∘;n)>max{wh(ξ;n),(1−w)h(ξ;n)} ⟹ Δne​<0,

and the condition may be replaced by h∘(ξ∘;n)>h(ξ;n)/2h^\circ(\xi^\circ;n)>h(\xi;n)/2h∘(ξ∘;n)>h(ξ;n)/2 when (a) w=1/2w=1/2w=1/2, or (b) C1=C2C_1=C_2C1​=C2​ with convex derivative.

Milestones

  1. (A.4): E(ξ(n))=∫01Ψ−1(u) n un−1 du\mathsf E(\xi_{(n)})=\int_0^1\Psi^{-1}(u)\,n\,u^{n-1}\,duE(ξ(n)​)=∫01​Ψ−1(u)nun−1du for any density with a finite mean.
  2. Lemma 4: E(ξ(n)1)+E(ξ(n)2)>E((ξ1+ξ2)(n))\mathsf E(\xi^1_{(n)})+\mathsf E(\xi^2_{(n)})>\mathsf E((\xi^1+\xi^2)_{(n)})E(ξ(n)1​)+E(ξ(n)2​)>E((ξ1+ξ2)(n)​) under (R).
  3. The first-order condition of Lemma 1: WφW_\varphiWφ​ is differentiable for any bounded density φ\varphiφ, and Wφ′(0)=hW_\varphi'(0)=hWφ′​(0)=h.
  4. Lemma 1: Cl′(el∗)=Alh(ξ;n)C_l'(e^{l*})=A^l h(\xi;n)Cl′​(el∗)=Alh(ξ;n).
  5. Lemma 2: C∘C^\circC∘ is strictly increasing and strictly convex, and C∘′(e∘)=C1′(e~1)=C2′(e~2)C^{\circ\prime}(e^\circ)=C_1'(\tilde e^1)=C_2'(\tilde e^2)C∘′(e∘)=C1′​(e~1)=C2′​(e~2) at an interior optimal allocation.
  6. Lemma 3: C∘′(e∘∗)=A h∘(ξ∘;n)C^{\circ\prime}(e^{\circ*})=A\,h^\circ(\xi^\circ;n)C∘′(e∘∗)=Ah∘(ξ∘;n).
  7. (A.6): C1′(s1)=C2′(s2)=A h∘(ξ∘;n)C_1'(s_1)=C_2'(s_2)=A\,h^\circ(\xi^\circ;n)C1′​(s1​)=C2′​(s2​)=Ah∘(ξ∘;n).
  8. Part (ii)(b): a convex increasing marginal cost has a concave inverse.

Significance

Proposition 1 is the structural result of the paper: every later comparison of the two mechanisms weighs Δnξ\Delta^\xi_nΔnξ​ against Δne\Delta^e_nΔne​. Propositions 2 and 3 find thresholds on the noise scale and on the number of contestants at which the sign of Δn\Delta_nΔn​ flips, and Corollary 1 shows that for normal noise h∘/h=1/2h^\circ/h=1/\sqrt2h∘/h=1/2​, so the joint contest elicits more effort whenever w∈(1−2/2,2/2)w\in(1-\sqrt2/2,\sqrt2/2)w∈(1−2​/2,2​/2). The combination effect is also a statement about order statistics of independent sums that holds outside contests: the sum of the maxima of two samples exceeds, in expectation, the maximum of the sums.

The result is proved on paper; nothing in it has been machine-checked. The formalization adds a precise account of the equilibrium concept (global best responses against the expected payoff rather than first-order conditions), of the joint contest's two-dimensional strategies, and of the regularity condition the strict inequality needs. Reusable by-products are the quantile representation of the expected maximum and the differentiability of the rank-order winning probability, which recur throughout the tournament literature.

Difficulty

The weak combination inequality Δnξ≥0\Delta^\xi_n\ge0Δnξ​≥0 is pathwise and easy; the content of part (i) is strictness, which fails for degenerate noise and needs the quantile representation together with Assumption (R). Part (ii) rests on first-order conditions for equilibria that are only assumed to be global best responses: one must differentiate the winning probability, an integral of a power of the cdf, without assuming the density continuous (a uniform density jumps at the end of its support). In the joint contest the deviations are two-dimensional, and one has to show that an equilibrium pair is an optimal allocation of its own sum before the one-dimensional argument applies; the paper's Lagrangian derivation of C∘′C^{\circ\prime}C∘′ differentiates an allocation map whose differentiability it never establishes.

Formalization scope

Everything lives in the namespace CrowdContest.Pooling, in two definition files: Density (densities, symmetric log-concave densities, cdf, convolution, quantile, expected maximum) and Setting (winning probability, hhh, costs, payoffs, equilibria, C∘C^\circC∘, Δnξ\Delta^\xi_nΔnξ​, Assumption (R)). Log-concavity is the published platform definition ConvexOptimization.LogConcaveOn.

Committed conventions:

  • The winning probability is the paper's displayed integral; its probabilistic derivation from the order of performances is not formalized.
  • One density ψ\psiψ serves both attributes (they are identically distributed), so Δnξ=2 E(ξ(n))−E(ξ(n)∘)\Delta^\xi_n=2\,\mathsf E(\xi_{(n)})-\mathsf E(\xi^\circ_{(n)})Δnξ​=2E(ξ(n)​)−E(ξ(n)∘​) and (R) uses Ψ1−1=Ψ2−1=Ψ−1\Psi^{1-1}=\Psi^{2-1}=\Psi^{-1}Ψ1−1=Ψ2−1=Ψ−1. The costs C1,C2C_1,C_2C1​,C2​ may differ.
  • Expected maxima are ∫ξ nΨ(ξ)n−1ψ(ξ) dξ\int\xi\,n\Psi(\xi)^{n-1}\psi(\xi)\,d\xi∫ξnΨ(ξ)n−1ψ(ξ)dξ, the first expression of (A.4).
  • "Mean 0, standard deviation σ>0\sigma>0σ>0" are implied by a symmetric log-concave density and are not separate hypotheses.
  • Costs: CCC continuous on [0,∞)[0,\infty)[0,∞), C2C^2C2 on (0,∞)(0,\infty)(0,∞) with C′>0C'>0C′>0, C′′>0C''>0C′′>0 there.
  • Equilibria are pure symmetric Nash equilibria over nonnegative efforts and are required interior (the paper's footnote 8); joint strategies are pairs. Lemmas 1 and 3 are necessary conditions; existence of an equilibrium is not claimed.
  • Inverse marginal costs C′−1C'^{-1}C′−1 are replaced by equivalent inverse-free derivative identities.

The goal is not trivialized by its encoding. The equilibrium efforts are characterized as global best responses against the expected winner-take-all payoff, not by first-order conditions. The first-order conditions (Lemmas 1 and 3) are milestones to be proved, not definitions. Part (i) is the strict inequality under (R), not the pathwise weak inequality of p. 16. The hypotheses of part (ii) can all hold: for n=2n=2n=2, ψ\psiψ uniform on [−1,1][-1,1][−1,1], C1=C2=e2C_1=C_2=e^2C1​=C2​=e2, A=2A=2A=2 and w=1/2w=1/2w=1/2, the efforts e1∗=e2∗=h/2=1/4e^{1*}=e^{2*}=h/2=1/4e1∗=e2∗=h/2=1/4 and s1=s2=Ah∘/2=1/3s_1=s_2=Ah^\circ/2=1/3s1​=s2​=Ah∘/2=1/3 are interior symmetric equilibria (both payoffs are strictly concave), with h=1/2h=1/2h=1/2, h∘=1/3h^\circ=1/3h∘=1/3 and Δ2e=−1/6\Delta^e_2=-1/6Δ2e​=−1/6.

Needed infrastructure: differentiation under the integral sign for a convolution of an integrable function with a bounded one, the quantile transform for an atomless distribution, the boundedness and moments of log-concave densities, and infimal convolution of strictly convex functions on a half-line. All of it is reusable beyond this mission, and contributions of any of these pieces are welcome, as are proofs that a given distribution satisfies Assumption (R).

Selected references

  • M. Hu and L. Wang, Joint vs. Separate Crowdsourcing Contests, Management Science 67(5):2711–2728, 2021. https://doi.org/10.1287/mnsc.2020.3683 (accepted manuscript: https://ssrn.com/abstract=2892683)
  • E. P. Lazear and S. Rosen, Rank-Order Tournaments as Optimum Labor Contracts, Journal of Political Economy 89(5):841–864, 1981. https://doi.org/10.1086/261010
  • C. Terwiesch and Y. Xu, Innovation Contests, Open Innovation, and Multiagent Problem Solving, Management Science 54(9):1529–1543, 2008. https://doi.org/10.1287/mnsc.1080.0884
  • M. Bagnoli and T. Bergstrom, Log-concave Probability and Its Applications, Economic Theory 26(2):445–469, 2005. https://doi.org/10.1007/s00199-004-0514-4
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CombinatoricsComplexity Theory·Captain: Robin Kothari

Block Sensitivity vs. Sensitivity: Reach 2.10Open Problem

How far apart can the two sensitivities be?

Sensitivity and block sensitivity measure two ways that a Boolean function can react to changes in its input. Both are basic measures in query complexity, where the input is accessed one coordinate at a time. Their relationship asks how much a function's response to changes involving several coordinates can exceed its response to individual coordinate changes.

Hao Huang's proof of the Sensitivity Conjecture established a polynomial relationship between sensitivity and polynomial degree in 2019, resolving the qualitative polynomial-relation question. The quantitative problem of obtaining the largest possible separation exponent remains the focus of this campaign. This mission asks for the specific exponent 2.10=21/102.10=21/102.10=21/10.

The relevant progression is:

  • The classical benchmark is a quadratic separation, included among the campaign's proved entries.
  • In 2026, OpenAI problem 132 supplied a superquadratic construction and a Lean formalization establishing an exponent strictly above 222.
  • On 16 October 2026, the campaign had accepted proofs at exponents 2.03912.03912.0391 and 2.052.052.05. The 2.05 entry is the proved benchmark when this proposal is drafted.
  • The present mission proposes 2.102.102.10 as the next research target. It does not assert that a construction achieving this exponent is already known.

Boolean functions and sensitive changes

A total Boolean function assigns an output bit to every input consisting of nnn bits:

f:{0,1}n⟶{0,1}.f:\{0,1\}^n\longrightarrow\{0,1\}.f:{0,1}n⟶{0,1}.

For an input xxx and a coordinate set BBB, write xBx^BxB for the input obtained by flipping exactly the coordinates in BBB. The sensitivity at an input counts the individual coordinates whose flip changes the output:

s(f,x)=∣{i:f(x{i})≠f(x)}∣.s(f,x)=\bigl|\{i:f(x^{\{i\}})\ne f(x)\}\bigr|.s(f,x)=​{i:f(x{i})=f(x)}​.

The block sensitivity at an input is the largest number of pairwise disjoint nonempty coordinate sets whose separate flips each change the output:

bs(f,x)=max⁡{m:there are disjoint nonempty B1,…,Bm with f(xBj)≠f(x) for all j}.bs(f,x)=\max\bigl\{m:\text{there are disjoint nonempty }B_1,\ldots,B_m \text{ with }f(x^{B_j})\ne f(x)\text{ for all }j\bigr\}.bs(f,x)=max{m:there are disjoint nonempty B1​,…,Bm​ with f(xBj​)=f(x) for all j}.

The two global measures maximize over all inputs:

s(f)=max⁡xs(f,x),bs(f)=max⁡xbs(f,x).s(f)=\max_x s(f,x),\qquad bs(f)=\max_x bs(f,x).s(f)=xmax​s(f,x),bs(f)=xmax​bs(f,x).

There is no restriction to monotone functions, symmetric functions, or any particular construction. The number of variables may vary with the desired sensitivity threshold and approximation to the exponent.

Target: separation exponent at least 2.10

Prove that for every real ε>0\varepsilon>0ε>0 and every integer S≥2S\ge2S≥2, there are a dimension nnn and a total Boolean function fff such that

s(f)≥S,bs(f)≥s(f)21/10−ε.s(f)\ge S,\qquad bs(f)\ge s(f)^{21/10-\varepsilon}.s(f)≥S,bs(f)≥s(f)21/10−ε.

The shared campaign predicate SensitivityCampaign.AchievesExponent (2.10 : ℝ) expresses exactly this statement. The decimal denotes the exact rational number 21/1021/1021/10. The witnesses may depend on both ε\varepsilonε and SSS; no fixed function is required to work for every threshold. The unbounded-threshold requirement is essential to the asymptotic separation being asked for.

What reaching 2.10 would establish

A solution would strengthen the campaign's proved lower bound on the possible separation exponent from 2.052.052.05 to 2.102.102.10. It would provide Boolean functions with arbitrarily large sensitivity and block sensitivity growing with the specified larger power, with an arbitrarily small loss in the exponent.

This is an open research target, rather than a request to transcribe an existing proof of 2.102.102.10. A complete contribution must establish the mathematical claim and provide a Lean proof using the shared definitions. Improvements to constructions, sharper bounds for existing constructions, and reusable supporting results are all relevant contributions. Acceptance of a proposal merely opens the target; a proof is needed to establish the new bound.

The main difficulty

A successful construction must support many disjoint sensitive blocks while controlling sensitivity at every input. A large collection of block witnesses at one input supplies only part of the required information: the upper bound on sensitivity is global. Bounds that lose too much in this global analysis can erase the desired exponent improvement.

The available campaign infrastructure already includes proved theorems converting suitable finite certificates into the asymptotic conclusion. The unresolved work is to obtain stronger certified bounds on a construction, or to establish the asymptotic target directly. A numerical estimate of a separation exponent does not replace a proof of the inequalities on which that estimate depends.

Formalization scope and existing foundations

Functions are represented as (Fin n → Bool) → Bool. Both complexity measures are natural-number maxima over finite sets; the comparison involving an exponent casts them to real numbers and uses real exponentiation. Since every requested witness satisfies s(f)≥S≥2s(f)\ge S\ge2s(f)≥S≥2, its power has a positive base. Zero-dimensional and constant functions cannot satisfy the sensitivity requirement.

The proposal retains the foundation definitions SensitivitySeparation and SensitivityCampaign. It also references two already-proved supporting theorems, rather than introducing alternative definitions or assuming any particular family of functions:

  • SensitivityCampaign.finite_certificate: bounds on sensitivity and block sensitivity at a chosen input, together with an exact power inequality, imply the campaign conclusion at the stated nonnegative exponent.
  • SensitivityCampaign.finite_certificate_log: the same finite bounds certify the exponent given by the ratio of their logarithms.

These statements are included as reusable foundation milestones. Their hypotheses require integer bounds greater than one, so the logarithmic denominator is positive. Solvers may use either criterion or prove the quantified target directly. The environment is Lean 4.33.1 with the campaign's pinned Mathlib revision.

Selected references

  • Hao Huang, Induced subgraphs of hypercubes and a proof of the Sensitivity Conjecture, Annals of Mathematics 190 (2019), 949–955. Article.
  • OpenAI, A superquadratic separation between sensitivity and block sensitivity, problem 132, 2026. Formalization scope and source links.
  • Prove2Me, Block Sensitivity vs. Sensitivity, 2026. Campaign, shared foundations, and verified entries.
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CombinatoricsComplexity Theory·Captain: marwahaha

Block Sensitivity vs. Sensitivity: Reach 2.05Open Problem

Establish a separation exponent of at least 2.052.052.05 between block sensitivity and sensitivity of total Boolean functions.

The target is an infinite family fk:{0,1}nk→{0,1}f_k:\{0,1\}^{n_k}\to\{0,1\}fk​:{0,1}nk​→{0,1} such that

s(fk)→∞,bs(fk)≥s(fk)2.05−o(1)as k→∞.s(f_k)\to\infty,\qquad bs(f_k)\ge s(f_k)^{2.05-o(1)}\quad\text{as }k\to\infty.s(fk​)→∞,bs(fk​)≥s(fk​)2.05−o(1)as k→∞.

Here o(1)o(1)o(1) tends to zero with kkk. Sensitivity is the maximum number of individual coordinate flips that change the output at a common input; block sensitivity allows pairwise disjoint nonempty sets of coordinates instead. Both maxima range over all inputs.

The Lean goal uses the campaign’s shared definition: for every ε>0\varepsilon>0ε>0 and every integer S≥2S\ge2S≥2, there must be a total Boolean function fff with s(f)≥Ss(f)\ge Ss(f)≥S and bs(f)≥s(f)2.05−εbs(f)\ge s(f)^{2.05-\varepsilon}bs(f)≥s(f)2.05−ε. The decimal 2.052.052.05 means exactly 41/2041/2041/20.

One sufficient route is a finite function fff, an input xxx, and integers A,B>1A,B>1A,B>1 satisfying

s(f)≤A,bs(f,x)≥B,A2.05≤B.s(f)\le A,\qquad bs(f,x)\ge B,\qquad A^{2.05}\le B.s(f)≤A,bs(f,x)≥B,A2.05≤B.

The proved theorem SensitivityCampaign.finite_certificate then gives the asymptotic conclusion. Direct family constructions are equally welcome.

The starting milestone is the campaign’s proved exponent 2.02052.02052.0205. The target 2.052.052.05 is a challenge to prove, not an established campaign record. Further background and construction parameters appear in the campaign proposal.

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Algorithmic Game TheoryEconomicsOperations Research+1·Captain: mikedeng1

Quantum Economic Advantage: A Quantum Computing Firm Can Out-Invest a Cheaper-to-Scale Classical Rival in Subgame-Perfect EquilibriumResearch Paper

Why investment can reverse a cost advantage

Quantum algorithms can reduce the work needed for some computations, but a provider also has to build hardware capable of serving a market. Bova, Goldfarb, and Melko model these two costs separately in Quantum Economic Advantage. Their question is whether a quantum provider can choose more market-creating investment than a classical rival even when building that additional quantum capacity is more expensive. The answer matters to their economic comparison: a lower variable cost does not, by itself, order the firms' investment decisions.

The working paper was circulated as NBER Working Paper No. 29724 in February 2022 and appeared in Management Science in 2023. This mission cites the NBER version throughout. It addresses the paper's Proposition 2, its explicit numerical witness, and the model results used around that proposition. The paper proves these results analytically; the remaining task here is a machine-checked formalization of their statements and proofs.

The two-stage duopoly

There are two firms. Firm 1 supplies quantum computing and has constant unit cost ccc; firm 2 supplies classical computing and has unit cost c2c^2c2. A common demand intercept aaa measures the initial market size. The paper assumes a>c2>c>1a>c^2>c>1a>c2>c>1. The firms sell differentiated computing services, with substitution parameter γ∈[0,1]\gamma\in[0,1]γ∈[0,1]: at γ=0\gamma=0γ=0 their products do not compete through demand, while at γ=1\gamma=1γ=1 they are identical in the model. This is an economic representation of quantum advantage, rather than a formal model of a quantum algorithm. See §2 of the working paper.

In stage 1, firms simultaneously choose investments x1,x2≥0x_1,x_2\ge0x1​,x2​≥0. Firm iii pays Bixi2/2B_i x_i^2/2Bi​xi2​/2, where Bi>0B_i>0Bi​>0, and its investment raises its own demand intercept to a+xia+x_ia+xi​. In stage 2, after observing both investments, firms simultaneously choose quantities q1,q2≥0q_1,q_2\ge0q1​,q2​≥0. Their inverse-demand prices and profits are

p1=a+x1−q1−γq2,p2=a+x2−q2−γq1,p_1=a+x_1-q_1-\gamma q_2,\qquad p_2=a+x_2-q_2-\gamma q_1,p1​=a+x1​−q1​−γq2​,p2​=a+x2​−q2​−γq1​, π1=q1p1−cq1−B1x122,π2=q2p2−c2q2−B2x222.\pi_1=q_1p_1-cq_1-\frac{B_1x_1^2}{2},\qquad \pi_2=q_2p_2-c^2q_2-\frac{B_2x_2^2}{2}.π1​=q1​p1​−cq1​−2B1​x12​​,π2​=q2​p2​−c2q2​−2B2​x22​​.

A subgame-perfect equilibrium consists of an investment pair and a quantity strategy assigning a Cournot Nash equilibrium to every feasible investment pair, including pairs reached after a unilateral deviation. At the chosen investments, neither firm can improve its profit by changing its own investment, anticipating the stage-2 strategy. The stage-2 payoff excludes investment cost because that cost is already sunk when quantities are chosen.

Formalization targets

Proposition 2: investment reversal

The goal is the paper's existence claim, over the game itself:

∃ (a,c,γ,B1,B2) satisfying the model and Lemma 1 conditions,B2<B1,∃ an SPE,∀ SPEs,  x2<x1.\exists\,(a,c,\gamma,B_1,B_2)\text{ satisfying the model and Lemma 1 conditions},\quad B_2<B_1,\quad \exists\,\text{an SPE},\quad \forall\,\text{SPEs},\;x_2<x_1.∃(a,c,γ,B1​,B2​) satisfying the model and Lemma 1 conditions,B2​<B1​,∃an SPE,∀SPEs,x2​<x1​.

The classical firm's cost coefficient is smaller, yet the quantum firm invests more. The proof gives a=20a=20a=20, c=2c=2c=2, γ=1\gamma=1γ=1, B1=10B_1=10B1​=10, B2=8B_2=8B2​=8; its investments are x1∗=102/109x_1^*=102/109x1∗​=102/109 and x2∗=89/109x_2^*=89/109x2∗​=89/109. The goal concerns the actual two-stage equilibrium, so the closed forms are supporting milestones rather than the definition of success. The paper's Proposition 2 and its proof appear on PDF pages 14 and 27–28.

Supporting results

Equations (3)–(4) give the interior Cournot quantities; (14)–(15) give the second derivatives of reduced profit; Lemma 1 gives sufficient parameter thresholds for positive investments and concavity; and (5)–(6) give equilibrium investments. Section 7 derives an exact threshold for the inequality x1∗>x2∗x_1^*>x_2^*x1∗​>x2∗​ and evaluates it at the numerical witness. Additional milestones record the displayed optimal profits, Proposition 1 on positive quantum profit, the no-investment comparative static of (11)–(12), and Corollary 1's monopoly case. These targets follow the working paper's equations and proofs.

What the result establishes

The result separates a firm's marginal cost of supplying computations from its cost of expanding the market. In this model, the quantum firm can justify a larger investment even with a larger coefficient on investment cost. The exact threshold identifies which combination of demand, variable cost, competition, and investment costs creates that ordering. Proposition 1 and the comparative static make related claims about profitability and the value of additional market size.

A complete formalization would connect the printed algebraic formulas to best responses over nonnegative actions, including possible corner outcomes after off-path investments. The reusable component is the published linear differentiated Cournot game; this mission adds the investment stage and source-specific parameters. The working paper supplies proofs on paper, while the Lean theorem files here are open statements awaiting machine-checked proofs.

Where the argument is delicate

Equations (3)–(4) solve interior first-order conditions, but stage-2 deviations can drive one firm's quantity to zero. A proof about a genuine subgame-perfect equilibrium must handle those corners throughout the strategy, not only at the final investment pair. Likewise, the second derivatives of the algebraic interior profit do not automatically settle every stage-1 deviation in the constrained game. The mission's equilibrium milestone must bridge those two readings. Lemma 1's thresholds also contain quotients whose denominators require checking under the stated parameter conditions.

Formalization scope and conventions

All parameters, investments, quantities, profits, and thresholds are real. The formalization requires xi,qi≥0x_i,q_i\ge0xi​,qi​≥0 in the equilibrium predicates. Standing records 0≤γ≤10\le\gamma\le10≤γ≤1, a>c2>c>1a>c^2>c>1a>c2>c>1, and positive BiB_iBi​. Lemma1Cond records the strict thresholds at the end of the proof of Lemma 1, with the paper's Max⁡\operatorname{Max}Max represented by real max. Firm 1 is quantum throughout; firm 2's unit cost is defined as c2c^2c2, not an independent parameter. The closed-form quantities and investments are used in milestones; the main goal quantifies over the subgame-perfect equilibrium predicate.

Several printed or implicit conventions affect the statements. Lemma 1 is phrased loosely on PDF page 11; its proof's exact sufficient conditions on page 26 are the milestone. The proof's strict claims about differences of thresholds become equalities when γ=0\gamma=0γ=0, without changing the final sufficient condition. Corollary 1 uses a different regime, a<c2a<c^2a<c2, and is stated without the main model's Standing condition; c<ac<ac<a ensures the asserted quantum monopoly has positive output. The comparative static concerns the separate model with x1=x2=0x_1=x_2=0x1​=x2​=0. A printed reference to optimal profits in “(11)” in the proof of Proposition 1 points to the unnumbered optimal-profit display on PDF page 12. The repeated x1∗x_1^*x1∗​ in the proof of Proposition 2 is read as x1∗,x2∗x_1^*,x_2^*x1∗​,x2∗​.

Useful contributions include proofs about nonnegative Cournot best responses and their uniqueness, the boundary behavior of stage-1 reduced profits, the exact sign conditions on the paper's denominators, and proofs of the source-indexed statements. The definition layer is meant to be shared by all results in this one paper.

Selected references

  • Francesco Bova, Avi Goldfarb, and Roger G. Melko, Quantum Economic Advantage, NBER Working Paper No. 29724, 2022. Working paper.
  • Francesco Bova, Avi Goldfarb, and Roger G. Melko, Quantum Economic Advantage, Management Science, 2023. DOI: 10.1287/mnsc.2022.4578. The mission's theorem numbering follows the NBER version above.
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EconomicsOperations ResearchOptimization·Captain: mikedeng1

Tokenomics: When Tokens Beat Equity I: Debt Financing Has a Unique Break-Even Repayment Between the Set-Up Cost and the Maximal Monopoly Profit, and the Entrepreneur Earns the Venture's NPVResearch Paper

Motivation

Since 2017, billions of dollars have been raised through the issuance of crypto-assets, many of them tokens: digital claims on a future product or service, issued before the product exists. Malinova and Park, Tokenomics: When Tokens Beat Equity (SSRN 3286825; Management Science, 2023, doi:10.1287/mnsc.2023.4882), ask when such a pre-sale is a better way to finance a venture than the two classical instruments, equity and debt. To answer, they first work out how equity and debt perform in a simple monopoly model in which demand is uncertain when the money is raised. This mission formalizes the debt half of that benchmark (Proposition 2), together with the equity half (Proposition 1). The other three missions of the series treat the optimal token contract (Proposition 3), its comparative statics (Proposition 4) and financing under moral hazard (Proposition 8); all of them compare against the benchmark proved here.

Setting

An entrepreneur must pay a set-up cost C0>0C_0 > 0C0​>0 before she learns demand. Afterwards she is a monopolist with constant marginal cost ccc, facing the linear inverse demand

p(q)=x−q,p(q) = x - q,p(q)=x−q,

where the demand intercept xxx is uniformly distributed on (0,θ)(0,\theta)(0,θ), with 0<c<θ0 < c < \theta0<c<θ. Investors require a zero expected return. For a payoff ggg of the demand realization write

Eθ[g]=1θ∫0θg(x) dx.\mathsf E_\theta[g] = \frac1\theta \int_0^\theta g(x)\,dx .Eθ​[g]=θ1​∫0θ​g(x)dx.

At demand xxx the monopolist produces qm(x)=max⁡{(x−c)/2,0}q^m(x) = \max\{(x-c)/2, 0\}qm(x)=max{(x−c)/2,0} and earns the monopoly profit

πm(x)=max⁡{x−c, 0}2/4,\pi^m(x) = \max\{x-c,\,0\}^2/4 ,πm(x)=max{x−c,0}2/4,

that is (x−c)2/4(x-c)^2/4(x−c)2/4 if x≥cx \ge cx≥c and 000 otherwise. The project's net present value is NPV=Eθ[πm]−C0\mathrm{NPV} = \mathsf E_\theta[\pi^m] - C_0NPV=Eθ​[πm]−C0​.

Under equity, investors receive a fraction αs\alpha_sαs​ of profits; break-even is αs Eθ[πm]=C0\alpha_s\,\mathsf E_\theta[\pi^m] = C_0αs​Eθ​[πm]=C0​ (5). Under debt with promised repayment D≥0D \ge 0D≥0, investors receive min⁡{πm(x),D}\min\{\pi^m(x), D\}min{πm(x),D}: the full DDD when the venture is solvent (x>c+2Dx > c + 2\sqrt Dx>c+2D​), the whole monopoly profit under the debtor-in-possession arrangement when c≤x≤c+2Dc \le x \le c + 2\sqrt Dc≤x≤c+2D​, and nothing when x<cx < cx<c. The entrepreneur keeps max⁡{πm(x)−D,0}\max\{\pi^m(x) - D, 0\}max{πm(x)−D,0}. The repayment breaks even when

Eθ[min⁡{πm(x),D}]=C0.(7)\mathsf E_\theta\big[\min\{\pi^m(x), D\}\big] = C_0. \qquad (7)Eθ​[min{πm(x),D}]=C0​.(7)

In Lean these are expect, pim, npv, equityShare, debtInv and debtEnt in the namespace TokenFinance.Debt.

Formalization targets

Goal: Proposition 2 (Debt Financing)

If NPV>0\mathrm{NPV} > 0NPV>0, then

∃! D≥0: Eθ[min⁡{πm,D}]=C0,\exists!\, D \ge 0:\ \mathsf E_\theta\big[\min\{\pi^m, D\}\big] = C_0,∃!D≥0: Eθ​[min{πm,D}]=C0​,

and every such DDD satisfies

C0<D<(θ−c)24,Eθ[max⁡{πm−D,0}]=NPV.C_0 < D < \frac{(\theta-c)^2}{4}, \qquad \mathsf E_\theta\big[\max\{\pi^m - D, 0\}\big] = \mathrm{NPV}.C0​<D<4(θ−c)2​,Eθ​[max{πm−D,0}]=NPV.

Uniqueness is asserted among all nonnegative repayments, which implies the paper's uniqueness in (C0,(θ−c)2/4)(C_0, (\theta-c)^2/4)(C0​,(θ−c)2/4).

Milestones

  1. (3): NPV=(θ−c)3/(12θ)−C0\mathrm{NPV} = (\theta-c)^3/(12\theta) - C_0NPV=(θ−c)3/(12θ)−C0​.
  2. (32)–(33): with D=(θ−c)2δ2/4D = (\theta-c)^2\delta^2/4D=(θ−c)2δ2/4 and 0≤δ≤10 \le \delta \le 10≤δ≤1, the left side of (7) minus C0C_0C0​ equals the split integral (32) and the cubic (θ−c)312θ(−2δ3+3δ2)−C0\frac{(\theta-c)^3}{12\theta}(-2\delta^3 + 3\delta^2) - C_012θ(θ−c)3​(−2δ3+3δ2)−C0​ of (33).
  3. Monotonicity of (33): the cubic is −C0-C_0−C0​ at δ=0\delta = 0δ=0, equals NPV at δ=1\delta = 1δ=1, has positive derivative and is strictly increasing on [0,1][0,1][0,1]; it has a unique root in (0,1)(0,1)(0,1) when NPV >0> 0>0.
  4. (34): at a root δ∈(0,1)\delta \in (0,1)δ∈(0,1), D=C0⋅θθ−c⋅33−2δ>C0D = C_0 \cdot \frac{\theta}{\theta-c}\cdot\frac{3}{3-2\delta} > C_0D=C0​⋅θ−cθ​⋅3−2δ3​>C0​.
  5. (8): at any break-even D≥0D \ge 0D≥0 the entrepreneur's expected payoff is the NPV.
  6. Proposition 1 (Equity Financing): if NPV >0> 0>0, then αs=12θC0/(θ−c)3∈(0,1)\alpha_s = 12\theta C_0/(\theta-c)^3 \in (0,1)αs​=12θC0​/(θ−c)3∈(0,1), investors break even and the entrepreneur earns (1−αs)Eθ[πm]=NPV(1-\alpha_s)\mathsf E_\theta[\pi^m] = \mathrm{NPV}(1−αs​)Eθ​[πm]=NPV.

Significance

Propositions 1 and 2 establish that, absent agency problems, equity and debt finance exactly the positive-NPV projects and leave the entrepreneur the entire surplus. This is the benchmark of the paper: Proposition 3 shows that a carefully designed token pre-sale matches it, while naive token contracts (revenue sharing, plain output pre-sales) distort output and fail to finance some profitable projects. Corollary 1 of the paper is the conjunction of Propositions 1–3. The debt repayment characterized here also reappears in the moral-hazard analysis (§IV), where the ranking of debt, tokens and equity depends on the size of DDD relative to the low-demand state.

On the formal side, the results are proved in the paper with short calculus arguments, and nothing about them is machine-checked. The mission produces a checked model of uniform-demand monopoly financing in which expectations are genuine integrals of realized payoffs, the cubic reduction of the break-even condition, and the uniqueness argument for the repayment. These are the pieces the token missions of the series build on.

Difficulty

The central step is the passage from (7) to the cubic (33). The investors' payoff min⁡{πm(x),D}\min\{\pi^m(x), D\}min{πm(x),D} changes form at x=cx = cx=c and at the solvency threshold c+2Dc + 2\sqrt Dc+2D​, so the expectation must be split at points that depend on DDD and may fall outside (0,θ)(0,\theta)(0,θ) for large DDD; only for D≤(θ−c)2/4D \le (\theta-c)^2/4D≤(θ−c)2/4 does the threshold stay inside the demand range. Uniqueness over all D≥0D \ge 0D≥0 also needs the regime D≥(θ−c)2/4D \ge (\theta-c)^2/4D≥(θ−c)2/4, where the investors receive the whole profit and the break-even condition reduces to NPV=0\mathrm{NPV} = 0NPV=0. A naive argument that solves the cubic in δ\deltaδ and stops gives uniqueness only inside [0,1][0,1][0,1].

Formalization scope

All objects are plain functions of real parameters; there is no probability space. Demand enters only through Eθ[g]=1θ∫0θg\mathsf E_\theta[g] = \frac1\theta\int_0^\theta gEθ​[g]=θ1​∫0θ​g, the expectation under U(0,θ)U(0,\theta)U(0,θ) (open or closed endpoints make no difference). Case distinctions of the paper are encoded with max⁡\maxmax and min⁡\minmin, so the break-even condition (7) is a single integral of the realized repayment rather than the paper's split integral with D\sqrt DD​ limits; the split form is a theorem (milestones 2 and 5). The standing assumptions are 0<c<θ0 < c < \theta0<c<θ and C0>0C_0 > 0C0​>0; 0<c0 < c0<c is the paper's "positive marginal cost" (p. 22) and is kept throughout the series although Proposition 2 itself needs only c≥0c \ge 0c≥0. "All positive NPV projects" is the hypothesis 0<NPV0 < \mathrm{NPV}0<NPV on the integral-defined NPV.

A trivializing formalization is ruled out: the NPV, the investors' break-even condition and the entrepreneur's payoff are expectations of realized payoffs, never their closed forms, so neither (3) nor the reduction to (33) is true by definition.

The definitions file also declares the token objects of Proposition 3 (the revenue share t/(t+c)t/(t+c)t/(t+c), the realized token payoffs and condition (16)), identical across the four missions of this series so that they can be merged later; they are not used here. Out of scope: the secondary token market, bankruptcy costs, consumer welfare and the institutional discussion of the paper. Useful infrastructure includes lemmas for integrals of piecewise polynomials on intervals and a reusable "strictly increasing continuous function with a sign change has a unique root" argument.

Selected references

  • K. Malinova and A. Park, Tokenomics: When Tokens Beat Equity, SSRN 3286825, version of June 1, 2023. https://ssrn.com/abstract=3286825
  • K. Malinova and A. Park, Tokenomics: When Tokens Beat Equity, Management Science, 2023. https://doi.org/10.1287/mnsc.2023.4882
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Linear OptimizationOperations ResearchOptimization·Captain: mikedeng1

On-Demand Delivery from Stores: Dynamic Dispatching and Routing with Random Demand II: A Route Whose Reduced Cost Exceeds ub − φ(RF1) Is in No Optimal Solution of the Routing Subproblem SF1Research Paper

Motivation

Grocery chains and restaurants that promise delivery within an hour or less must decide, at each dispatch epoch, which drivers to send out and along which routes. Liu and Luo (arXiv:2107.13058v3; Manufacturing & Service Operations Management, 2023) model this as a finite-horizon dynamic program and solve its per-period approximation with a logic-based Benders decomposition: a master problem chooses how many drivers to commit to future periods, and a routing subproblem then picks the routes that serve the current orders.

The routing subproblem is a set-partitioning integer program over an exponentially large route set. The paper solves it with a route enumeration algorithm, which generates only the routes that can still appear in an optimal solution. The pruning rule that makes this work is Lemma 2 (p. 19): a route whose LP reduced cost exceeds the gap between an upper bound and the LP bound cannot appear in any optimal solution. Rules of this kind, reduced-cost fixing for set-partitioning formulations, are a standard component of exact vehicle-routing algorithms (see, e.g., Baldacci, Christofides, Mingozzi 2008). This mission formalizes Lemma 2 for the paper's own subproblem.

Setting

Fix a period nnn and a solution (xˉ,zˉ)(\bar{\mathbf x},\bar{\mathbf z})(xˉ,zˉ) of the master problem. The data are:

  • a finite set Rn\mathcal R^nRn of feasible routes, a finite set In\mathcal I^nIn of current customer locations, and the future periods n′∈{n+1,…,N}n'\in\{n+1,\dots,N\}n′∈{n+1,…,N};
  • a route cost crc_rcr​ for every r∈Rnr\in\mathcal R^nr∈Rn;
  • coverage coefficients αi,r∈{0,1}\alpha_{i,r}\in\{0,1\}αi,r​∈{0,1} (route rrr serves location iii) and occupancy coefficients βn′,r∈{0,1}\beta_{n',r}\in\{0,1\}βn′,r​∈{0,1} (route rrr is still running in period n′n'n′);
  • the fleet size Kˉ\bar KKˉ, the number ζnn\zeta^n_nζnn​ of drivers still en route in period nnn, and master values zˉkn′∈{0,1}\bar z^{n'}_k\in\{0,1\}zˉkn′​∈{0,1} with ∑k=0Kˉzˉkn′=1\sum_{k=0}^{\bar K}\bar z^{n'}_k=1∑k=0Kˉ​zˉkn′​=1.

Write bn′=∑k=0Kˉk zˉkn′b_{n'}=\sum_{k=0}^{\bar K}k\,\bar z^{n'}_kbn′​=∑k=0Kˉ​kzˉkn′​, the number of drivers the master solution allows to remain occupied in period n′n'n′.

The routing subproblem SF1 (pp. 16–17) is

min⁡ ∑r∈Rnθrcrs.t.∑rβn′,rθr≤bn′ ∀n′,∑rθr≤Kˉ−ζnn,∑rαi,rθr=1 ∀i∈In,θr∈{0,1}.\min\ \sum_{r\in\mathcal R^n}\theta_r c_r\quad\text{s.t.}\quad \sum_r\beta_{n',r}\theta_r\le b_{n'}\ \forall n',\qquad \sum_r\theta_r\le\bar K-\zeta^n_n,\qquad \sum_r\alpha_{i,r}\theta_r=1\ \forall i\in\mathcal I^n,\qquad \theta_r\in\{0,1\}.min r∈Rn∑​θr​cr​s.t.r∑​βn′,r​θr​≤bn′​ ∀n′,r∑​θr​≤Kˉ−ζnn​,r∑​αi,r​θr​=1 ∀i∈In,θr​∈{0,1}.

Its LP relaxation RF1 replaces θr∈{0,1}\theta_r\in\{0,1\}θr​∈{0,1} by θr≥0\theta_r\ge0θr​≥0 and the partitioning rows by covering rows ∑rαi,rθr≥1\sum_r\alpha_{i,r}\theta_r\ge1∑r​αi,r​θr​≥1; ϕ(RF1)\phi(\mathrm{RF1})ϕ(RF1) denotes its optimal cost. The dual variables are μn′\mu_{n'}μn′​ for the occupancy rows, μn\mu_nμn​ for the fleet row and νi\nu_iνi​ for the covering rows. The reduced cost of a route rrr with respect to a dual solution (μ,μn,ν)(\mu,\mu_n,\nu)(μ,μn​,ν) is

cˉr=cr−∑i∈Inαi,rνi−∑n′=n+1Nβn′,rμn′−μn.\bar c_r=c_r-\sum_{i\in\mathcal I^n}\alpha_{i,r}\nu_i-\sum_{n'=n+1}^N\beta_{n',r}\mu_{n'}-\mu_n .cˉr​=cr​−i∈In∑​αi,r​νi​−n′=n+1∑N​βn′,r​μn′​−μn​.

An upper bound ububub of SF1 is a number at least as large as the optimal cost of SF1.

Formalization targets

Goal: Lemma 2 (p. 19)

Let ububub be an upper bound of SF1, ϕ(RF1)\phi(\mathrm{RF1})ϕ(RF1) the optimal cost of RF1, (μ,μn,ν)(\mu,\mu_n,\nu)(μ,μn​,ν) a dual optimal solution of RF1, and r∈Rnr\in\mathcal R^nr∈Rn. If

cr−∑i∈Inαi,rνi−∑n′=n+1Nβn′,rμn′−μn>ub−ϕ(RF1),c_r-\sum_{i\in\mathcal I^n}\alpha_{i,r}\nu_i-\sum_{n'=n+1}^N\beta_{n',r}\mu_{n'}-\mu_n>ub-\phi(\mathrm{RF1}),cr​−i∈In∑​αi,r​νi​−n′=n+1∑N​βn′,r​μn′​−μn​>ub−ϕ(RF1),

then θr=0\theta_r=0θr​=0 in every optimal solution θ\thetaθ of SF1.

Milestones (Appendix G, p. 42)

For a route rrr, let Irn={i∣αi,r=0}\mathcal I^n_r=\{i\mid\alpha_{i,r}=0\}Irn​={i∣αi,r​=0}, let Rrn\mathcal R^n_rRrn​ be the routes that cover only locations in Irn\mathcal I^n_rIrn​, and let SF1r_rr​ be SF1 on Rrn\mathcal R^n_rRrn​ and Irn\mathcal I^n_rIrn​ with right-hand sides bn′−βn′,rb_{n'}-\beta_{n',r}bn′​−βn′,r​ and Kˉ−ζnn−1\bar K-\zeta^n_n-1Kˉ−ζnn​−1; RF1r_rr​ (75)–(79) is its LP relaxation, and ϕ(SF1r)∈R∪{+∞}\phi(\mathrm{SF1}_r)\in\mathbb R\cup\{+\infty\}ϕ(SF1r​)∈R∪{+∞} its optimal cost.

  1. (74) If cr+ϕ(SF1r)>ubc_r+\phi(\mathrm{SF1}_r)>ubcr​+ϕ(SF1r​)>ub, then rrr is in no optimal solution of SF1.
  2. Dual bound. For any dual feasible (μˉ,μˉn,νˉ)(\bar\mu,\bar\mu_n,\bar\nu)(μˉ​,μˉ​n​,νˉ) of RF1, the restriction (μˉ,μˉn,{νˉi}i∈Irn)(\bar\mu,\bar\mu_n,\{\bar\nu_i\}_{i\in\mathcal I^n_r})(μˉ​,μˉ​n​,{νˉi​}i∈Irn​​) is dual feasible for RF1r_rr​, and
∑n′μˉn′bn′−∑n′βn′,rμˉn′+μˉn(Kˉ−ζnn−1)+∑i∈Irnνˉi≤ϕ(SF1r).\sum_{n'}\bar\mu_{n'}b_{n'}-\sum_{n'}\beta_{n',r}\bar\mu_{n'}+\bar\mu_n(\bar K-\zeta^n_n-1)+\sum_{i\in\mathcal I^n_r}\bar\nu_i\le\phi(\mathrm{SF1}_r).n′∑​μˉ​n′​bn′​−n′∑​βn′,r​μˉ​n′​+μˉ​n​(Kˉ−ζnn​−1)+i∈Irn​∑​νˉi​≤ϕ(SF1r​).
  1. (80) ⇔ (81) For a dual optimal solution of RF1, crc_rcr​ plus the bound of milestone 2 exceeds ububub if and only if the reduced-cost condition of Lemma 2 holds.

Significance

The result. Lemma 2 turns one LP solve into an elimination test for every route at once. The route enumeration algorithm of §5.3 generates only routes whose reduced cost is at most a gap δ\deltaδ, raises δ\deltaδ until it reaches ub−ϕ(RF1)ub-\phi(\mathrm{RF1})ub−ϕ(RF1), and at that point the enumerated route set is guaranteed to contain every optimal solution of SF1. Without the lemma the algorithm would not certify optimality. The same algorithm also solves the single-period problems in the offline estimation stage of the paper's policy, so its correctness underlies all the computational results.

Formalizing it. The lemma is proved in the paper's Online Appendix (Appendix G, p. 42) in a few lines that rest on unstated conventions: the signs of the dual variables, the right-hand sides of SF1r_rr​, and the equality of ϕ(RF1)\phi(\mathrm{RF1})ϕ(RF1) with the dual objective of a dual optimal solution, which is LP strong duality. The formalization pins each of these down. The strong-duality step is available on the platform as LinearOptimization.lp_strong_duality (proved, for general-form LPs indexed by Fin), included as a reference item. No part of this mission is formalized elsewhere.

Difficulty

The elimination test (74) and the dual bound are short combinatorial and weak-duality arguments. The step that does not go through by algebra alone is (80) ⇔ (81): it requires that the dual objective of the dual optimal solution equals ϕ(RF1)\phi(\mathrm{RF1})ϕ(RF1). Treating this equality as a hypothesis would make the step trivial and is excluded; the hypothesis is only that the dual solution maximizes the dual objective over the dual feasible set. Deriving the equality means applying LP strong duality to RF1, whose data are indexed by arbitrary finite types rather than by Fin, so a transport to the platform's general-form LP is needed. A second point is the passage from SF1 to SF1r_rr​: removing a route from an optimal solution must yield a feasible point of SF1r_rr​, which depends on the reduced right-hand sides and on the partitioning rows of SF1 forcing the other routes to avoid rrr's customers.

Formalization scope

All statements live in the namespace OnDemandDelivery.RouteElim. Routes, locations and future periods are arbitrary Fintypes; route vectors are functions to ℝ; Kˉ\bar KKˉ and ζnn\zeta^n_nζnn​ are natural numbers and Kˉ−ζnn\bar K-\zeta^n_nKˉ−ζnn​ is computed in ℝ. The standing assumptions are αi,r,βn′,r∈{0,1}\alpha_{i,r},\beta_{n',r}\in\{0,1\}αi,r​,βn′,r​∈{0,1}, zˉkn′∈{0,1}\bar z^{n'}_k\in\{0,1\}zˉkn′​∈{0,1} and ∑kzˉkn′=1\sum_k\bar z^{n'}_k=1∑k​zˉkn′​=1 (pp. 15–16, (17), (21)).

Conventions committed to:

  • ϕ(RF1)\phi(\mathrm{RF1})ϕ(RF1) is the attained minimum of the cost over the RF1 feasible set (IsLeast), not an arbitrary real.
  • The RF1 dual uses the standard signs for a minimization, which the paper does not print: μn′≤0\mu_{n'}\le0μn′​≤0, μn≤0\mu_n\le0μn​≤0, νi≥0\nu_i\ge0νi​≥0. "Dual optimal" means dual feasible and maximal for the dual objective.
  • "An upper bound ububub of SF1" is the weakest reading: ububub is at least the cost of every optimal solution of SF1.
  • "rrr cannot be in any optimal solution" is θr=0\theta_r=0θr​=0 for every optimal solution of the binary program SF1, not of RF1.
  • SF1r_rr​ has the reduced right-hand sides of (76)–(77); (76)'s unbarred zkn′z^{n'}_kzkn′​ is read as zˉkn′\bar z^{n'}_kzˉkn′​. ϕ(SF1r)\phi(\mathrm{SF1}_r)ϕ(SF1r​) is an EReal, +∞+\infty+∞ when SF1r_rr​ is infeasible, and (74) is stated in EReal.
  • The double sum ∑n′∑kμˉn′kzˉkn′\sum_{n'}\sum_k\bar\mu_{n'}k\bar z^{n'}_k∑n′​∑k​μˉ​n′​kzˉkn′​ is written ∑n′μˉn′bn′\sum_{n'}\bar\mu_{n'}b_{n'}∑n′​μˉ​n′​bn′​.
  • Milestone 2 assumes only dual feasibility, a strengthening of the page's dual optimality.

Trivializing formalizations are ruled out: ϕ(RF1)\phi(\mathrm{RF1})ϕ(RF1) is not a free real, the dual solution is optimal and not merely feasible, no hypothesis states ϕ(RF1)\phi(\mathrm{RF1})ϕ(RF1) equals the dual objective, and the conclusion concerns optimal solutions of SF1.

Needed infrastructure: weak duality for the two LPs (elementary), and a bridge from RF1 to LinearOptimization.GeneralFormLP for strong duality, which is reusable for any LP stated over finite index types. Contributions of such a transport lemma are welcome.

Selected references

  • S. Liu, Z. Luo, On-Demand Delivery from Stores: Dynamic Dispatching and Routing with Random Demand, arXiv:2107.13058v3, 2022; Manufacturing & Service Operations Management, 2023. https://arxiv.org/abs/2107.13058
  • R. Baldacci, N. Christofides, A. Mingozzi, An exact algorithm for the vehicle routing problem based on the set partitioning formulation with additional cuts, Mathematical Programming 115 (2008) 351–385. https://doi.org/10.1007/s10107-007-0178-5
  • D. Bertsimas, J. N. Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997 (Theorem 4.4, strong duality).
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CombinatoricsComplexity Theory·Captain: marwahaha

Block Sensitivity vs. Sensitivity: Reach 2.007Open Problem

Establish the separation exponent α≥2.007\alpha\ge2.007α≥2.007 for total Boolean functions, improving on the depth-20 specialization of OpenAI's construction.

Precisely, for every ε>0\varepsilon>0ε>0 and every integer S≥2S\ge2S≥2, construct a function fff with s(f)≥Ss(f)\ge Ss(f)≥S and bs(f)≥s(f)2.007−εbs(f)\ge s(f)^{2.007-\varepsilon}bs(f)≥s(f)2.007−ε.

A finite certificate is sufficient: supply a function and an input xxx with s(f)≤As(f)\le As(f)≤A, bs(f,x)≥Bbs(f,x)\ge Bbs(f,x)≥B, A,B>1A,B>1A,B>1, and A2.007≤BA^{2.007}\le BA2.007≤B, then apply the shared certificate theorem. Sharper estimates, improved parameters, and different constructions are all eligible; direct family proofs are also welcome.

This is an open research target. The preceding benchmarks are 222 classically and approximately 2.0064708282.0064708282.006470828 from the depth-20 seed. Numerical searches guide discovery but do not replace certified bounds. Intermediate improvements are welcome as separate campaign entries.

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Complexity TheoryNumber Theory·Captain: mikedeng1

Integer Factorization: Why Two-Item Joint Replenishment Is Hard 4: For Primes p_i Near 2^(λa_i), ∏p_i Has a Divisor in [⌈L⌉, ⌊U⌋] iff the a_i Split into Two Equal-Sum PartsResearch Paper

Motivation

The RangeDivisor problem asks whether an integer has a divisor in a specified short interval. It is the decision problem connecting number theory to the two item periodic joint replenishment model studied by Schulz and Telha. Their Appendix starts with Partition, the problem of splitting a list of positive integers into two groups of equal sum, and constructs a RangeDivisor instance from primes chosen near carefully scaled powers of two. The equivalence between the two yes instances is the mathematical target here. Schulz and Telha, Appendix, pp. 16–17

The route has a history. Karp included Partition among classical combinatorial decision problems in 1972. Shor discussed an NP complete variant of factoring in 2011, and Schulz and Telha adapted that connection to their joint replenishment setting. The paper cites a 2016 conditional short interval result of Dudek, Grenié, and Molteni to obtain primes that can be sampled near the requested powers. That prime existence claim motivates the reduction, while this mission starts with primes satisfying the specified windows. Karp, 1972 Shor, 2011 Schulz and Telha, p. 16

Setting

A Partition input is an indexed list a1,…,ana_1,\ldots,a_na1​,…,an​ of natural numbers. It is a yes instance if some index set SSS has 2∑i∈Sai=∑iai2\sum_{i\in S}a_i=\sum_i a_i2∑i∈S​ai​=∑i​ai​. Indices matter: equal entries may occur more than once and can be assigned separately. For this reduction, n≥1n\ge1n≥1, B≥1B\ge1B≥1, and each entry lies in [2B,2B+1)[2^B,2^{B+1})[2B,2B+1). The total is assumed even. Write A=12∑iaiA=\frac12\sum_i a_iA=21​∑i​ai​, so AAA is then an integer even though its Lean definition is real valued. Schulz and Telha, Appendix, p. 16

Set λ=3B/2B\lambda=3B/2^Bλ=3B/2B and bi=λaib_i=\lambda a_ibi​=λai​. The input also includes a real constant ccc and a prime pip_ipi​ for each index. Every prime lies in the open interval

2bi−cbi2bi/2<pi<2bi+cbi2bi/2,2^{b_i}-cb_i2^{b_i/2}<p_i<2^{b_i}+cb_i2^{b_i/2},2bi​−cbi​2bi​/2<pi​<2bi​+cbi​2bi​/2,

and the paper's quantitative small window condition cbi<λ2bi/2/(4n)cb_i<\lambda2^{b_i/2}/(4n)cbi​<λ2bi​/2/(4n) holds for every iii. Define M=∏ipiM=\prod_i p_iM=∏i​pi​, L=2λ(A−1/2)L=2^{\lambda(A-1/2)}L=2λ(A−1/2), and U=2λ(A+1/2)U=2^{\lambda(A+1/2)}U=2λ(A+1/2). The RangeDivisor instance uses the integer endpoints ⌈L⌉\lceil L\rceil⌈L⌉ and ⌊U⌋\lfloor U\rfloor⌊U⌋. A valid instance (M,L′,U′)(M,L',U')(M,L′,U′) has 0<L′≤U′≤M0<L'\le U'\le M0<L′≤U′≤M and L′+U′<22L′U′L'+U'<2\sqrt{2L'U'}L′+U′<22L′U′​; it is a yes instance if some divisor of MMM belongs to [L′,U′][L',U'][L′,U′]. These conditions are part of the target, not conventions left to the reader. Schulz and Telha, pp. 12, 15–17

Formalization targets

Appendix reduction

The goal states the full correctness of the rounded numerical construction. Under the prime windows above and the paper's condition 2λ/2+2−λ/2<222^{\lambda/2}+2^{-\lambda/2}<2\sqrt22λ/2+2−λ/2<22​, the triple (M,⌈L⌉,⌊U⌋)(M,\lceil L\rceil,\lfloor U\rfloor)(M,⌈L⌉,⌊U⌋) is a valid RangeDivisor instance and

M has a divisor in [⌈L⌉,⌊U⌋]⟺(ai)i=1n admits an equal sum partition.M\text{ has a divisor in }[\lceil L\rceil,\lfloor U\rfloor] \quad\Longleftrightarrow\quad (a_i)_{i=1}^n\text{ admits an equal sum partition}.M has a divisor in [⌈L⌉,⌊U⌋]⟺(ai​)i=1n​ admits an equal sum partition.

The milestones follow the Appendix's stated intermediate claims: the elementary power estimate, the chain of prime windows, the equivalence for a subset sum and its subproduct, the unrounded divisor equivalence, the numerical interval condition, and the paper's rounding assertion. The unrounded equivalence is a separate milestone because it isolates the number theoretic claim from the integer endpoint convention. Schulz and Telha, pp. 15–17

Significance

The result turns equal sum partitions into divisors in a controlled interval of a product of primes. This is the first mathematical half of the paper's route from Partition to the periodic joint replenishment decision problem; Lemma 3 supplies the second half. The present theorem identifies exactly which numerical statements that route needs, including validity of the rounded interval. Without the equivalence, the constructed integer might have a divisor in the interval for reasons unrelated to the original Partition input. Schulz and Telha, §3 and Appendix

The paper proves its reduction on paper. This mission asks for machine checked proofs of the reduction's arithmetic assertions, not a new complexity result. The reusable pieces are finite product bounds for real powers, the description of divisors of a finite prime product as subproducts, and a rounding result for the RangeDivisor side condition. Such pieces can support other reductions that encode additive choices by products of nearby primes.

Difficulty

The prime bounds are stated one index at a time, while a divisor of MMM may combine any number of factors. Controlling the product through a strict interval must account for every subset size, including the empty subset and repeated primes. The converse has an additional discrete issue: a product close to the target power should correspond to the exact integer half sum, not merely to a nearby real value. After that, changing real endpoints to integer endpoints must preserve both the divisor question and the numerical promise required by RangeDivisor. A statement only about divisors in the unrounded interval leaves the eventual decision instance incomplete.

Formalization scope

Lean represents inputs as functions Fin n → ℕ, index subsets as finite sets, primes with Nat.Prime, and exponents and interval endpoints in the real numbers. The real powers use real exponentiation; AAA uses real division, not truncated natural division. The general Partition and RangeDivisor predicates are separate definitions. The Appendix's λ\lambdaλ, bib_ibi​, LLL, and UUU are derived definitions of the particular input, so a theorem cannot choose convenient values for them. Strict window inequalities remain strict, and the goal retains the printed sampling window rather than assuming only the later multiplicative bound. It explicitly asserts the rounded instance condition as well as the yes instance equivalence.

The printed converse needs an even total: if the total is odd, AAA is half integral and a subset one half unit away can produce a product inside (L,U)(L,U)(L,U) without being a Partition solution. A computational reduction can send an odd total to a fixed no instance; this theorem covers the nontrivial even branch. The prose condition that BBB is sufficiently large is replaced by the paper's displayed inequality cbi<λ2bi/2/(4n)cb_i<\lambda2^{b_i/2}/(4n)cbi​<λ2bi​/2/(4n), and the printed endpoint condition is stated directly. The proof must not gain a vacuous equivalence by allowing zero indices, by selecting the primes existentially to fit the answer, or by dropping the sampled prime windows.

This mission formalizes the correctness of the reduction behind Theorem 2; polynomial running time, randomized prime sampling, the conditional prime count, the padding of arbitrary Partition inputs to a fixed bit range, and the NP hardness assertion are outside its Lean statement. The Riemann hypothesis is needed by the paper to justify finding suitable primes efficiently, not as an assumption of the arithmetic equivalence once those primes are given. Contributions that establish the product, divisor, or rounding milestones are welcome. Schulz and Telha, pp. 15–17

Selected references

  • A. S. Schulz and C. Telha, Integer Factorization: Why Two-Item Joint Replenishment Is Hard, Operations Research, 2024; the formalization uses arXiv:2007.09045v1 (2020), Appendix, pp. 16–17.
  • R. M. Karp, Reducibility Among Combinatorial Problems, in Complexity of Computer Computations, 1972. DOI.
  • P. W. Shor, An NP-complete variant of factoring, 2011. Original post cited by the paper.
  • A. W. Dudek, L. Grenié, and G. Molteni, Primes in explicit short intervals on RH, International Journal of Number Theory 12(5), 2016, 1391–1407; cited in Schulz and Telha, p. 16.
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Algorithmic Game TheoryMechanism Design·Captain: mikedeng1

Allocating Indivisible Goods to Strategic Agents: Pure Nash Equilibria and Fairness 3: Mod-Cut&Choose Always Has a Pure Nash Equilibrium and Every One Is MMS and EFXResearch Paper

Motivation

Fair division of indivisible goods asks how to split a set of items among agents with different tastes so that nobody has a strong reason to complain. Fairness notions such as envy-freeness up to any good (EFX) and the maximin share (MMS) have been studied extensively as algorithmic targets: given the agents' valuations, compute an allocation satisfying the notion. In practice the valuations are private, and an agent may misreport them to obtain a better bundle. Truthful mechanisms are too weak for this setting: for two agents, no truthful mechanism without payments produces EFX (or even EF1) allocations when there are more than four goods (Amanatidis, Birmpas, Christodoulou, Markakis, EC 2017).

Amanatidis, Birmpas, Fusco, Lazos, Leonardi and Reiffenhäuser (arXiv:2109.08644, Mathematics of Operations Research 2024) take a different route. They let agents bid strategically and ask how fair the pure Nash equilibria of a non-truthful mechanism are with respect to the agents' true valuations. For two agents they study a modified version of the classical cut-and-choose protocol, due in this form to Plaut and Roughgarden (SIAM J. Discrete Math. 2020). They show that it always has equilibria and that all of them are MMS, and hence EFX. As an algorithm run on truthful values, the same mechanism guarantees no more than a 5/65/65/6 fraction of the maximin share.

Setting

There are two agents N={1,2}N=\{1,2\}N={1,2} and a set M={g1,…,gm}M=\{g_1,\dots,g_m\}M={g1​,…,gm​} of mmm indivisible goods. Agent iii has a non-negative value vi(g)v_i(g)vi​(g) for each good and values a bundle S⊆MS\subseteq MS⊆M additively, vi(S)=∑g∈Svi(g)v_i(S)=\sum_{g\in S}v_i(g)vi​(S)=∑g∈S​vi​(g). There is no free disposal, so an allocation (A1,A2)(A_1,A_2)(A1​,A2​) is a partition of MMM.

  • EFX (Definition 2.1): for all i,ji,ji,j and every good g∈Ajg\in A_jg∈Aj​ with vi(g)>0v_i(g)>0vi​(g)>0, vi(Ai)≥vi(Aj∖{g})v_i(A_i)\ge v_i(A_j\setminus\{g\})vi​(Ai​)≥vi​(Aj​∖{g}).
  • Maximin share (Definition 2.3): μi=max⁡(X1,X2)min⁡{vi(X1),vi(X2)}\mu_i=\max_{(X_1,X_2)}\min\{v_i(X_1),v_i(X_2)\}μi​=max(X1​,X2​)​min{vi​(X1​),vi​(X2​)}, the maximum over partitions of MMM into two bundles. An allocation is MMS if vi(Ai)≥μiv_i(A_i)\ge\mu_ivi​(Ai​)≥μi​ for both agents.
  • Bids: each agent reports a bid vector bi∈R≥0m\mathbf b_i\in\mathbb R^m_{\ge0}bi​∈R≥0m​, and bi(S)=∑h∈Sbi(h)\mathbf b_i(S)=\sum_{h\in S}\mathbf b_i(h)bi​(S)=∑h∈S​bi​(h).
  • Pure Nash equilibrium (Definition 2.7): a bid profile b\mathbf bb is a PNE of a mechanism M\mathcal MM if no agent iii has a bid bi′∈R≥0m\mathbf b'_i\in\mathbb R^m_{\ge0}bi′​∈R≥0m​ with vi(M(bi′,b−i))>vi(M(b))v_i(\mathcal M(\mathbf b'_i,\mathbf b_{-i}))>v_i(\mathcal M(\mathbf b))vi​(M(bi′​,b−i​))>vi​(M(b)).

Mod-Cut&Choose (Mechanism 2) works as follows:

  1. It sorts the goods in non-increasing order of agent 1's bid, breaking ties by index.
  2. It builds two bundles E1,E2E_1,E_2E1​,E2​ greedily: each good goes to the bundle with the smaller b1\mathbf b_1b1​-value, ties to E1E_1E1​.
  3. Agent 2 receives the bundle with the larger b2\mathbf b_2b2​-value (ties to E1E_1E1​), and agent 1 receives the other.

In the Lean development these objects are val, IsBestResponse, IsPNE and rank (namespace StrategicAlloc.RRFair, shared with the sibling missions) and IsEFX, mu, IsApproxMMS, cut and modCutChoose (namespace StrategicAlloc.CutChoose).

Formalization targets

Goal: Theorem 4.3 (p. 18)

For every instance with two agents and non-negative additive valuations,

∃ b: b is a PNE of Mod-Cut&Choose,and∀ PNE b: M(b) is MMS and EFX w.r.t. v1,v2.\exists\,\mathbf b:\ \mathbf b\text{ is a PNE of Mod-Cut\&Choose},\qquad\text{and}\qquad \forall\,\text{PNE }\mathbf b:\ \mathcal M(\mathbf b)\text{ is MMS and EFX w.r.t. } v_1,v_2 .∃b: b is a PNE of Mod-Cut&Choose,and∀PNE b: M(b) is MMS and EFX w.r.t. v1​,v2​.

Both halves are part of the goal. Existence alone, or fairness of equilibria alone, is a weaker statement.

Milestones

  1. Theorem 2.5 (p. 5): for two agents every MMS allocation is EFX.
  2. §2.1, p. 5: n⋅μi(n,S)≤vi(S)n\cdot\mu_i(n,S)\le v_i(S)n⋅μi​(n,S)≤vi​(S). This is the published open statement LittleCharity.MMS.mms_le_average, used here as a reference.
  3. Lemma 4.1 (p. 17): for every partition (X1,X2)(X_1,X_2)(X1​,X2​) of MMM, agent 1 has a non-negative bid under which the cut is {E1,E2}={X1,X2}\{E_1,E_2\}=\{X_1,X_2\}{E1​,E2​}={X1​,X2​}.
  4. Corollary 4.2 (p. 18): agent 1 can force a μ1\mu_1μ1​-partition, i.e. a cut with min⁡{v1(E1),v1(E2)}=μ1\min\{v_1(E_1),v_1(E_2)\}=\mu_1min{v1​(E1​),v1​(E2​)}=μ1​.
  5. Proof of Theorem 4.3, p. 18: agent 2's truthful bid is a best response to every bid of agent 1.
  6. Proof of Theorem 4.3, p. 18: with her truthful bid, agent 2 receives at least v2(M)/2v_2(M)/2v2​(M)/2.

Significance

The theorem identifies a simple mechanism whose strategic outcomes are as fair as the best allocations that exist for two agents: every MMS allocation is EFX, and an MMS allocation always exists for two agents. The mechanism achieves this without any truthfulness requirement. It is the positive counterpart to the impossibility results for truthful mechanisms. It is also the starting point of §4.2 of the same paper, which asks how much of this guarantee survives for every mechanism whose equilibria are always EFX (Theorems 4.5 and 4.7).

The result is proved in the paper. As far as the platform's catalogue shows, none of it is formalized. This mission produces:

  • a machine-checked model of strategic fair division with bids, in which deviations range over all non-negative real bid vectors;
  • an executable definition of Mod-Cut&Choose with its exact tie-breaking;
  • formal proofs of the "agent 1 can force any cut" lemma and of MMS ⇒ EFX for two agents.

Difficulty

The fairness half is short once its ingredients are available. The weight lies in Lemma 4.1: the cut phase is a greedy procedure over a bid-sorted order, and showing that every partition of MMM can be produced requires explicit bids and an invariant along the greedy loop. The case where both sets have at least two goods needs carefully calibrated values. The tie-breaking rules (lexicographic sorting, ties to E1E_1E1​ in both phases) enter the argument, and the formalization fixes them exactly.

A natural shortcut is to restrict agent 1's strategies to orderings of the goods, or to assume that any cut is reachable. Either one turns Lemma 4.1 into an assumption. The existence half needs no compactness argument: the set of possible cuts is finite, so a best cut for agent 1 exists, but this has to be connected with deviations over the continuum of real bid vectors.

Formalization scope

  • Agents are Fin 2 (agent 1 is 0) and goods are Fin m, indexed in the order g1,…,gmg_1,\dots,g_mg1​,…,gm​ that lexicographic tie-breaking refers to.
  • Valuations and bids are functions Fin 2 → Fin m → ℝ. Non-negativity of vvv is a hypothesis of every theorem, and every bid in a profile or deviation is required to be non-negative.
  • mu v i reuses the published LittleCharity.MMS.mms with two bundles and S=MS=MS=M.
  • EFX is the paper's Definition 2.1, which removes only goods of positive value. The every-good variant LittleCharity.MMS.IsEFX is not used.
  • Disclosed correction: line 2 of Mechanism 2 on the page sorts "w.r.t. v1v_1v1​". A mechanism reads only bids, and the proof of Lemma 4.1 sorts by the declared bids, so the formal mechanism sorts by agent 1's bid b1\mathbf b_1b1​.

The statements rule out the trivializing formalizations. Deviations are not restricted to a subset of bids (rankings, truthful bids, a finite menu). MMS and EFX are measured with the true valuations, never with the bids. The mechanism's tie-breaking is fixed rather than arbitrary.

A complete development needs basic finite-sum and finite-supremum facts and a proof that the greedy cut covers MMM with disjoint bundles. The model layer (val, IsEFX, IsPNE over all non-negative bids) is shared with the four sibling missions on Round-Robin and on mechanisms with EFX equilibria. Proofs of any milestone, and of mms_le_average, are welcome.

Selected references

  • G. Amanatidis, G. Birmpas, F. Fusco, P. Lazos, S. Leonardi, R. Reiffenhäuser, Allocating Indivisible Goods to Strategic Agents: Pure Nash Equilibria and Fairness, Mathematics of Operations Research, 2024; arXiv:2109.08644v2. https://arxiv.org/abs/2109.08644
  • B. Plaut, T. Roughgarden, Almost Envy-Freeness with General Valuations, SIAM Journal on Discrete Mathematics 34(2), 2020. https://doi.org/10.1137/19M124397X
  • I. Caragiannis, D. Kurokawa, H. Moulin, A. D. Procaccia, N. Shah, J. Wang, The Unreasonable Fairness of Maximum Nash Welfare, ACM Transactions on Economics and Computation 7(3), 2019. https://doi.org/10.1145/3355902
  • G. Amanatidis, G. Birmpas, G. Christodoulou, E. Markakis, Truthful Allocation Mechanisms Without Payments: Characterization and Implications on Fairness, EC 2017. https://doi.org/10.1145/3033274.3085147
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Number TheoryOperations ResearchOptimization·Captain: mikedeng1

Integer Factorization: Why Two-Item Joint Replenishment Is Hard 3: M Has a Divisor in [L, U] iff an Explicit Two-Item Periodic JRP Instance Has a Plan of Cost at Most L + U + 2M²(M + 1)Research Paper

Why the two-item periodic JRP is hard

The joint replenishment problem (JRP) is the multi-item extension of the economic order quantity (EOQ) model. Each item is reordered periodically and pays its own ordering and holding costs, and a joint ordering cost is shared by items ordered at the same time. Before this work no hardness result was known for the periodic JRP (p. 10), even though no exact polynomial-time algorithm was known either (Schulz and Telha, arXiv:2007.09045; Operations Research, 2024, as Integer Factorization: Why Two-Item Joint Replenishment Is Hard).

The paper explains this through number theory. In the periodic JRP the joint cost is incurred every gcd⁡(q1,q2)\gcd(q_1, q_2)gcd(q1​,q2​) periods, so the objective contains a greatest common divisor of the decision variables. The paper's Theorem 2 states that, assuming the Riemann hypothesis, the two-item periodic JRP is NP-hard under randomized reductions. The proof composes two reductions:

  • Shor's reduction from Partition to RangeDivisor ("does MMM have a divisor in [L,U][L, U][L,U]?"), given in the paper's appendix and based on Shor (2011); this is where the Riemann hypothesis enters;
  • a reduction from RangeDivisor to the two-item periodic JRP, whose correctness is Lemma 3 (pp. 13–14).

This mission formalizes Lemma 3. Mission 4 of this series formalizes the Partition half; missions 1 and 2 formalize the integer-factorization reductions behind Theorem 1.

Setting

A period is a positive integer qqq. An item with ordering cost KKK and holding cost HHH costs

EOQK,H(q)=Kq+Hq\mathrm{EOQ}_{K,H}(q) = \frac{K}{q} + HqEOQK,H​(q)=qK​+Hq

per unit time. The two-item periodic JRP (objective (3), p. 10) minimizes, over q1,q2∈Z+q_1, q_2 \in \mathbb{Z}_+q1​,q2​∈Z+​,

JRP(q1,q2)=EOQK1,H1(q1)+EOQK2,H2(q2)+K0gcd⁡(q1,q2).\mathrm{JRP}(q_1, q_2) = \mathrm{EOQ}_{K_1,H_1}(q_1) + \mathrm{EOQ}_{K_2,H_2}(q_2) + \frac{K_0}{\gcd(q_1, q_2)}.JRP(q1​,q2​)=EOQK1​,H1​​(q1​)+EOQK2​,H2​​(q2​)+gcd(q1​,q2​)K0​​.

As a decision problem (p. 13), it asks whether some (q1,q2)(q_1, q_2)(q1​,q2​) has cost at most a threshold zzz.

An instance of RangeDivisor (p. 12) is a triple of integers M≥U≥L>0M \ge U \ge L > 0M≥U≥L>0 satisfying

L+U<22LU;L + U < 2\sqrt{2LU};L+U<22LU​;

it is a yes-instance when MMM has a divisor qqq with L≤q≤UL \le q \le UL≤q≤U.

Given such a triple, the instance JRPM,U,L\mathrm{JRP}_{M,U,L}JRPM,U,L​ sets

K0=LU,K1=0,H1=1,K2=M3(M+1),H2=M(M+1),K_0 = LU,\quad K_1 = 0,\quad H_1 = 1,\quad K_2 = M^3(M+1),\quad H_2 = M(M+1),K0​=LU,K1​=0,H1​=1,K2​=M3(M+1),H2​=M(M+1),

and the threshold is zM,L,U=L+U+2M2(M+1)z_{M,L,U} = L + U + 2M^2(M+1)zM,L,U​=L+U+2M2(M+1), where 2M2(M+1)=EOQK2,H2(M)2M^2(M+1) = \mathrm{EOQ}_{K_2,H_2}(M)2M2(M+1)=EOQK2​,H2​​(M). Once item 2 is fixed at q2=Mq_2 = Mq2​=M, item 1 solves problem (5):

min⁡q1∈Z+ LUgcd⁡(q1,M)+q1.\min_{q_1 \in \mathbb{Z}_+} \ \frac{LU}{\gcd(q_1, M)} + q_1 .q1​∈Z+​min​ gcd(q1​,M)LU​+q1​.

In Lean these objects are JRPHard.Aperiodic.eoq, JRPHard.Periodic.periodicCost, JRPHard.Periodic.coefK2, JRPHard.Periodic.coefH2 (shared with missions 1 and 2), and IsRangeDivisorInstance, HasDivisorIn, coefK0, rangeCost, threshold, obj5 and fConv in the namespace JRPHard.RangeDiv.

Formalization targets

Goal: Lemma 3

For every RangeDivisor instance (M,L,U)(M, L, U)(M,L,U),

K0, K2, H2≤2M4and(∃ q∣M, L≤q≤U)  ⟺  (∃ q1,q2∈Z+: JRPM,U,L(q1,q2)≤L+U+2M2(M+1)).K_0,\ K_2,\ H_2 \le 2M^4 \quad\text{and}\quad \Big(\exists\, q \mid M,\ L \le q \le U\Big) \iff \Big(\exists\, q_1, q_2 \in \mathbb{Z}_+:\ \mathrm{JRP}_{M,U,L}(q_1, q_2) \le L + U + 2M^2(M+1)\Big).K0​, K2​, H2​≤2M4and(∃q∣M, L≤q≤U)⟺(∃q1​,q2​∈Z+​: JRPM,U,L​(q1​,q2​)≤L+U+2M2(M+1)).

Milestones (the steps of the proof, pp. 14–15)

  1. Item 2 is pinned: every plan with q2≠Mq_2 \ne Mq2​=M costs more than zM,L,Uz_{M,L,U}zM,L,U​.
  2. f(q)=LU/q+qf(q) = LU/q + qf(q)=LU/q+q is a lower bound on problem (5)'s objective, f(L)=f(U)=L+Uf(L) = f(U) = L + Uf(L)=f(U)=L+U, and fff is minimized at LU\sqrt{LU}LU​.
  3. gcd⁡(q,M)≠q⇒gcd⁡(q,M)≤q/2\gcd(q, M) \ne q \Rightarrow \gcd(q, M) \le q/2gcd(q,M)=q⇒gcd(q,M)≤q/2.
  4. If gcd⁡(q,M)≠q\gcd(q, M) \ne qgcd(q,M)=q, the objective of (5) at qqq is at least 22LU>L+U2\sqrt{2LU} > L + U22LU​>L+U.
  5. A divisor q∈[L,U]q \in [L, U]q∈[L,U] of MMM has objective at most L+UL + UL+U.
  6. A period with objective at most L+UL + UL+U divides MMM and lies in [L,U][L, U][L,U].

Significance

Lemma 3 is the step that carries hardness from number theory to inventory theory. With Shor's result it shows that, under the Riemann hypothesis, no polynomial-time exact algorithm for the two-item periodic JRP exists unless NP problems can be solved in randomized polynomial time. The paper concludes (p. 15) that no algorithm for the two-item problem may be simultaneously exact and polynomial on all inputs, so some concession, such as heuristics, must be made.

The result is proved in the paper; it has not been machine-checked. The mission produces a checked statement of the reduction's correctness with every coefficient explicit, and it corrects two imprecisions in the printed lemma (the threshold and the unspecified "sufficiently large" coefficients of item 2; see below). The objects (eoq, periodicCost) are the same ones used in mission 2 of this series.

Difficulty

Each step is elementary, but the statement mixes integer and real reasoning. The objective of (5) is not monotone or convex in qqq: its value jumps between LU/q+qLU/q + qLU/q+q at divisors of MMM and at least 2LU/q+q2LU/q + q2LU/q+q elsewhere. The argument must show that the gap between these two curves exceeds the window around L+UL + UL+U, and this is exactly what RangeDivisor's condition L+U<22LUL + U < 2\sqrt{2LU}L+U<22LU​ provides. Without that condition a non-divisor can be cheaper than L+UL + UL+U (for L=1L = 1L=1, U=100U = 100U=100, M=7M = 7M=7, the period q=14q = 14q=14 has objective 100/7+14<101100/7 + 14 < 101100/7+14<101). The pinning of q2=Mq_2 = Mq2​=M also has to beat the slack M+2LUM + 2\sqrt{LU}M+2LU​ against L+UL + UL+U, which is where M≥UM \ge UM≥U is used.

Formalization scope

This mission formalizes the correctness of the reduction behind Theorem 2 (its JRP half, Lemma 3); polynomial running time is not formalized. Theorem 2 itself, Shor's NP-completeness of RangeDivisor under randomized reductions, and "one can construct in polynomial time" are not stated. What remains of the polynomial-time claim is the explicit coefficients and the bound K0,K2,H2≤2M4K_0, K_2, H_2 \le 2M^4K0​,K2​,H2​≤2M4 (bit length at most 4log⁡2M+24\log_2 M + 24log2​M+2).

Conventions:

  • periods are natural numbers, and every quantified period is assumed positive (Lean's K/0=0K/0 = 0K/0=0 and gcd⁡(0,M)=M\gcd(0, M) = Mgcd(0,M)=M would otherwise create spurious cheap plans);
  • costs are real numbers; LLL, UUU, MMM and the coefficients are natural numbers cast to R\mathbb{R}R;
  • RangeDivisor's condition is stated with Real.sqrt exactly as printed;
  • "the optimal value is at most zzz" is the decision form "some plan has cost at most zzz" (p. 13); the minimum is attained, so the two agree.

Two disclosed departures from the printed lemma:

  • The threshold. The page writes "the optimal value of JRPM,U,L≤L+U\mathrm{JRP}_{M,U,L} \le L + UJRPM,U,L​≤L+U". The two-item cost also contains item 2's term 2M2(M+1)2M^2(M+1)2M2(M+1), so the literal comparison never holds and would make the lemma false. The threshold is zM,L,U=L+U+2M2(M+1)z_{M,L,U} = L + U + 2M^2(M+1)zM,L,U​=L+U+2M2(M+1), the zM,L,Uz_{M,L,U}zM,L,U​ announced in §3.1.
  • The item-2 coefficients. The page chooses "sufficiently large values of K2K_2K2​ and H2H_2H2​, as in … Lemma 2". The statement fixes Lemma 2's values K2=M3(M+1)K_2 = M^3(M+1)K2​=M3(M+1), H2=M(M+1)H_2 = M(M+1)H2​=M(M+1) rather than quantifying existentially, which would let any instance satisfy the lemma.

A formalization that drops the positivity of periods, states the threshold as L+UL + UL+U on the full two-item cost, or leaves K2,H2K_2, H_2K2​,H2​ existential does not capture Lemma 3 and is ruled out.

No library beyond Mathlib (Nat.gcd, Real.sqrt) is needed. Proofs of the milestones, and alternative proofs of the goal, are welcome.

Selected references

  • A. S. Schulz and C. Telha, Integer factorization and Riemann's hypothesis: Why two-item joint replenishment is hard, arXiv:2007.09045v1, 2020; published as Integer Factorization: Why Two-Item Joint Replenishment Is Hard, Operations Research, 2024. https://arxiv.org/abs/2007.09045
  • P. W. Shor, An NP-complete variant of factoring, Theoretical Computer Science Stack Exchange, 2011 (version 2011-03-01, as cited by the paper). https://cstheory.stackexchange.com/q/4785
  • S. Arora and B. Barak, Computational Complexity: A Modern Approach, Cambridge University Press, 2009. https://doi.org/10.1017/CBO9780511804090
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EconomicsOperations Research·Captain: mikedeng1

Endogenous Multihoming and Network Effects: PlayStation, Xbox, or Both? III: Under Partial Multihoming, the Equilibrium Price and Profit Are Hump-Shaped in the Network EffectResearch Paper

Motivation

Video-game consoles, streaming services and messaging apps share two features: users value a platform more when more people use it (network effects), and some users buy access to more than one platform (multihoming). In the standard Hotelling model where every consumer buys exactly one good, network effects intensify competition: a stronger network effect makes demand more price-sensitive, and the equilibrium price t−μt-\mut−μ and profit (t−μ)/2(t-\mu)/2(t−μ)/2 fall in μ\muμ (the paper's single-homing benchmark, §3.1). Foros, Kind and Stähler (SNF Working Paper 16/21, NHH Bergen, 2021; published in Management Science, 2025, doi:10.1287/mnsc.2022.00613) show that this intuition reverses when consumers can multihome: firms then price the incremental value of their good (Kim and Serfes, 2006; Anderson, Foros and Kind, 2017), and the network benefit of the rival's users feeds back into that incremental value.

This mission formalizes the paper's Proposition 3, which describes how the symmetric multihoming equilibrium price and profit respond to the strength of network effects over the whole admissible range. It is the third of three missions on the paper; the first treats weak network effects with asymmetric firms (Proposition 1) and the second the comparison with the no-network-effect benchmark (Proposition 2).

Setting

Two firms i∈{0,1}i\in\{0,1\}i∈{0,1} sit at the ends of a Hotelling line of unit length, populated by a unit mass of consumers, uniformly distributed. A consumer at distance ddd from firm iii pays a mismatch cost t dt\,dtd with t>0t>0t>0. Each good carries eee exclusive features (the same number for both firms in this mission) plus features common to both goods, which cancel from every object below. Buying good iii gives a network benefit μzi\mu z_iμzi​, where μ≥0\mu\ge0μ≥0 is the network-effect strength and ziz_izi​ the expected number of users of good iii; the paper assumes μ<t\mu<tμ<t (Assumption 1(i)).

A consumer buys a second good when its incremental value exceeds its price. Under fulfilled expectations (zi=xiz_i=x_izi​=xi​), the multihoming demand for good iii at prices (pi,pj)(p_i,p_j)(pi​,pj​) is (14)

xiM(pi,pj)=μt+μ+t e−pit2−μ2−μ e−pjt2−μ2.x_i^M(p_i,p_j)=\frac{\mu}{t+\mu}+t\,\frac{e-p_i}{t^2-\mu^2}-\mu\,\frac{e-p_j}{t^2-\mu^2}.xiM​(pi​,pj​)=t+μμ​+tt2−μ2e−pi​​−μt2−μ2e−pj​​.

Maximizing pi xiMp_i\,x_i^Mpi​xiM​ gives the reaction function (15), piM(pj)=tμ−μ2+te2t+μpj−e2tp_i^M(p_j)=\frac{t\mu-\mu^2+te}{2t}+\mu\frac{p_j-e}{2t}piM​(pj​)=2ttμ−μ2+te​+μ2tpj​−e​, whose symmetric fixed point yields the price and profit (26)

pM(μ)=(t−μ)(μ+e)2t−μ,πM(μ)=t (t−μ) (e+μ)2(t+μ) (2t−μ)2.p^M(\mu)=\frac{(t-\mu)(\mu+e)}{2t-\mu},\qquad \pi^M(\mu)=\frac{t\,(t-\mu)\,(e+\mu)^2}{(t+\mu)\,(2t-\mu)^2}.pM(μ)=2t−μ(t−μ)(μ+e)​,πM(μ)=(t+μ)(2t−μ)2t(t−μ)(e+μ)2​.

In the Lean development these are demandM t μ e pi pj, reactM t μ e pj, pM t μ e and piM t μ e in the namespace Multihoming.Hump. Partial multihoming means that some consumers buy one good and some buy both.

Formalization targets

Goal: Proposition 3

Assume partial multihoming. Then pMp^MpM and πM\pi^MπM are hump-shaped in μ\muμ on [0,t][0,t][0,t]: there are peaks μ^p,μ^π∈(0,t)\hat\mu_p,\hat\mu_\pi\in(0,t)μ^​p​,μ^​π​∈(0,t) with

pM↗ strictly on [0,μ^p],pM↘ strictly on [μ^p,t],πM↗ strictly on [0,μ^π],πM↘ strictly on [μ^π,t].p^M \nearrow \text{ strictly on } [0,\hat\mu_p],\quad p^M\searrow \text{ strictly on } [\hat\mu_p,t],\qquad \pi^M \nearrow \text{ strictly on } [0,\hat\mu_\pi],\quad \pi^M\searrow \text{ strictly on } [\hat\mu_\pi,t].pM↗ strictly on [0,μ^​p​],pM↘ strictly on [μ^​p​,t],πM↗ strictly on [0,μ^​π​],πM↘ strictly on [μ^​π​,t].

The goal leaves the peaks unnamed; that is the paper's statement.

Milestones

  1. (15) maximizes p xiM(p,pj)p\,x_i^M(p,p_j)pxiM​(p,pj​) over all prices; pMp^MpM is a fixed point of (15), the demand at (pM,pM)(p^M,p^M)(pM,pM) is (25), and πM=pMxM\pi^M=p^M x^MπM=pMxM.
  2. The factorization dπMdμ=2t(e+μ)(e+t)(t+μ)2(2t−μ)3(r1−μ)(r2+μ)\frac{d\pi^M}{d\mu}=\frac{2t(e+\mu)(e+t)}{(t+\mu)^2(2t-\mu)^3}(r_1-\mu)(r_2+\mu)dμdπM​=(t+μ)2(2t−μ)32t(e+μ)(e+t)​(r1​−μ)(r2​+μ) with explicit roots r1,r2r_1,r_2r1​,r2​; their positivity; the identity for r1−tr_1-tr1​−t and the positivity of its numerator; the signs of dπM/dμd\pi^M/d\mudπM/dμ at μ=0\mu=0μ=0 and μ=t\mu=tμ=t.
  3. The profit hump with the peak identified as r1r_1r1​, and πM(0)>πM(t)\pi^M(0)>\pi^M(t)πM(0)>πM(t).
  4. The factorization dpMdμ=(2t+t(2t+e)−μ)(2t−t(2t+e)−μ)(2t−μ)2\frac{dp^M}{d\mu}=\frac{(2t+\sqrt{t(2t+e)}-\mu)(2t-\sqrt{t(2t+e)}-\mu)}{(2t-\mu)^2}dμdpM​=(2t−μ)2(2t+t(2t+e)​−μ)(2t−t(2t+e)​−μ)​ and its signs at μ=0\mu=0μ=0 and μ=t\mu=tμ=t.

Significance

The result. Proposition 3 says that firms benefit from weak network effects and are harmed by strong ones. As μ→t\mu\to tμ→t the goods become as if undifferentiated, competition for consumers becomes Bertrand-like, and pM→0p^M\to0pM→0; combined with πM(0)>πM(t)\pi^M(0)>\pi^M(t)πM(0)>πM(t) this means firms would prefer a market without network effects once these are strong enough. This non-monotone response is the paper's main qualitative message on pricing under multihoming, and the comparison of Proposition 2 (where the profit curve crosses its μ=0\mu=0μ=0 level) depends on the same shape.

Formalizing it. The result is proved in the paper by sign analysis of explicit derivatives; it has no machine-checked proof. A formal proof certifies the two derivative factorizations, the location of each peak strictly inside (0,t)(0,t)(0,t), and the passage from derivative signs to strict monotonicity on closed intervals that the appendix states in one sentence. It also makes explicit the parameter range on which the statement holds, which the printed proposition leaves to the phrase "partial multihoming".

Difficulty

The derivatives of pMp^MpM and πM\pi^MπM are rational functions whose numerators are quadratics in μ\muμ with square-root roots; showing that exactly one root lies in (0,t)(0,t)(0,t) requires inequalities between square roots and polynomials in t,et,et,e that hold only under 0≤e<2t0\le e<2t0≤e<2t. The appendix asserts "it is straightforward" and "it can be shown" at these steps. A second obstacle is the passage from "the derivative vanishes at one point, is positive at 000 and negative at ttt" to strict monotonicity on each closed piece: this needs the sign of the derivative on the whole open subinterval, not only at the endpoints. Showing only that a maximizer exists on [0,t][0,t][0,t] is trivial for any continuous function and is not the claim.

Formalization scope

  • All parameters are real numbers. Standing assumptions: t>0t>0t>0; μ≥0\mu\ge0μ≥0; for the demand and reaction function μ<t\mu<tμ<t (Assumption 1(i)). Assumption 1(ii)–(iii) (market coverage, positive market shares) are not needed by any statement and are not added.
  • "Assume partial multihoming" is pinned as 0≤e<2t0\le e<2t0≤e<2t, the condition the paper's proof uses ("2t−e>02t-e>02t−e>0, which is a necessary condition for partial multihoming"). For e∈(t,2t)e\in(t,2t)e∈(t,2t) the partial-multihoming range e≤(2t2−μ2)/te\le(2t^2-\mu^2)/te≤(2t2−μ2)/t fails for μ\muμ near ttt; like the proof, the statement concerns the closed forms (26) on all of μ∈[0,t]\mu\in[0,t]μ∈[0,t], closed at ttt as the proof evaluates there. Since both functions are continuous at ttt, the statement on [0,t)[0,t)[0,t) is equivalent.
  • The profit πM\pi^MπM is the printed closed form (26), because the demand (14) divides by t2−μ2=0t^2-\mu^2=0t2−μ2=0 at μ=t\mu=tμ=t; a milestone proves πM=pMxM\pi^M=p^M x^MπM=pMxM on [0,t)[0,t)[0,t).
  • The two signs at μ=0\mu=0μ=0 involving πM\pi^MπM need e>0e>0e>0 (at e=0e=0e=0 both dπM/dμ∣0d\pi^M/d\mu|_0dπM/dμ∣0​ and πM(0)−πM(t)\pi^M(0)-\pi^M(t)πM(0)−πM(t) vanish); those milestones carry e>0e>0e>0, the goal does not.
  • "Hump-shaped" is strict increase on [0,μ^][0,\hat\mu][0,μ^​] and strict decrease on [μ^,t][\hat\mu,t][μ^​,t] with μ^\hat\muμ^​ in the open interval (0,t)(0,t)(0,t). A peak at an endpoint, or the mere existence of a maximizer, would trivialize the claim and is ruled out by the statement.
  • Derivatives are two-sided HasDerivAt; all functions are smooth near [0,t][0,t][0,t] under the hypotheses, and every denominator (t+μt+\mut+μ, 2t−μ2t-\mu2t−μ, t2−μ2t^2-\mu^2t2−μ2, e+te+te+t) is positive where it is used, so no statement relies on Lean's convention x/0=0x/0=0x/0=0 or x=0\sqrt{x}=0x​=0 for x<0x<0x<0.
  • The derivation of (14) from consumer utilities and the full pricing game (regimes, deviations, equilibrium selection) are not formalized. Proposition 4 of the paper, the equilibrium characterization, is not posed because it is false as printed: a profitable deviation to the single-homing demand branch exists inside the stated range.
  • Only Mathlib calculus (HasDerivAt, strictMonoOn_of_deriv_pos) and real-closed-field arithmetic are needed. Contributions of any milestone, alternative proofs of the hump via the derivative factorizations, and proofs that identify the price peak 2t−t(2t+e)2t-\sqrt{t(2t+e)}2t−t(2t+e)​ explicitly are welcome.

Selected references

  • Ø. Foros, H. J. Kind, F. Stähler, Endogenous Multihoming and Network Effects: PlayStation, Xbox, or Both?, SNF Working Paper No. 16/21, NHH Bergen, 2021; Management Science, 2025. https://doi.org/10.1287/mnsc.2022.00613
  • H. Kim, K. Serfes, A Location Model with Preference for Variety, Journal of Industrial Economics 54(4), 569–595, 2006. https://doi.org/10.1111/j.1467-6451.2006.00300.x
  • S. P. Anderson, Ø. Foros, H. J. Kind, Product Functionality, Competition, and Multipurchasing, International Economic Review 58(1), 183–210, 2017. https://doi.org/10.1111/iere.12213
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