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CombinatoricsConvex OptimizationOperations Research·Captain: mikedeng1

Convexity and Steinitz's Exchange Property III: Fenchel-Type Min-Max Duality with Primal and Dual Integrality for M-Concave and M-Convex FunctionsResearch Paper

Motivation

Several classical min-max theorems of combinatorial optimization say that a discrete maximization problem and a continuous minimization problem have the same optimal value, and that both have integral optimal solutions when the data are integral. Edmonds' polymatroid intersection theorem (1970), Fujishige's Fenchel-type duality for submodular functions (1984), Frank's discrete separation theorem for a submodular/supermodular pair (1982), and the potential characterizations of weighted matroid intersection (Frank's weight splitting theorem, 1981; Iri and Tomizawa's criterion for the assignment problem, 1976) are instances. Murota's paper Convexity and Steinitz's exchange property, 1996 places all of them under one theorem: a Fenchel-type min-max formula for a pair of an M-concave and an M-convex function, with integrality on both sides.

Timeline:

  • 1970: Edmonds proves the polymatroid intersection theorem.
  • 1982: Frank proves the discrete separation theorem for submodular/supermodular set functions, with integrality.
  • 1984: Fujishige proves a Fenchel-type min-max theorem for submodular functions.
  • 1976–1981: Iri and Tomizawa characterize optimality for independent assignment by potentials; Frank proves the weight splitting theorem for weighted matroid intersection (1981).
  • Early 1990s: Dress and Wenzel introduce valuated matroids.
  • 1995–1996: Murota proves the valuated matroid intersection theorem (SIAM J. Discrete Math. 9, 1996) and the M-concave intersection theorem (Bonn report, 1995), and in the present paper the Fenchel-type duality (Theorem 6.4).
  • Later: the result becomes the central duality theorem of discrete convex analysis (Murota, Discrete Convex Analysis, SIAM, 2003).

Setting

Let VVV be a finite nonempty set. For u∈Vu\in Vu∈V, χu∈ZV\chi_u\in\mathbb Z^Vχu​∈ZV is its characteristic vector; for x∈RVx\in\mathbb R^Vx∈RV, supp⁡±(x)\operatorname{supp}^{\pm}(x)supp±(x) are the sets of coordinates where xxx is positive or negative, x(X)=∑v∈Xx(v)x(X)=\sum_{v\in X}x(v)x(X)=∑v∈X​x(v), and ⟨p,x⟩=∑vp(v)x(v)\langle p,x\rangle=\sum_v p(v)x(v)⟨p,x⟩=∑v​p(v)x(v).

A finite integral base set is a finite nonempty B⊆ZVB\subseteq\mathbb Z^VB⊆ZV such that for x,y∈Bx,y\in Bx,y∈B and u∈supp⁡+(x−y)u\in\operatorname{supp}^+(x-y)u∈supp+(x−y) some v∈supp⁡−(x−y)v\in\operatorname{supp}^-(x-y)v∈supp−(x−y) has x−χu+χv∈Bx-\chi_u+\chi_v\in Bx−χu​+χv​∈B. These are exactly the integer points of integral base polytopes of submodular systems. B‾\overline BB is the convex hull of BBB.

A function ω:B→R\omega:B\to\mathbb Rω:B→R has the exchange property (EXC), and is called M-concave, if for x,y∈Bx,y\in Bx,y∈B and u∈supp⁡+(x−y)u\in\operatorname{supp}^+(x-y)u∈supp+(x−y) some v∈supp⁡−(x−y)v\in\operatorname{supp}^-(x-y)v∈supp−(x−y) has x−χu+χv, y+χu−χv∈Bx-\chi_u+\chi_v,\ y+\chi_u-\chi_v\in Bx−χu​+χv​, y+χu​−χv​∈B and

ω(x)+ω(y)≤ω(x−χu+χv)+ω(y+χu−χv).\omega(x)+\omega(y)\le\omega(x-\chi_u+\chi_v)+\omega(y+\chi_u-\chi_v).ω(x)+ω(y)≤ω(x−χu​+χv​)+ω(y+χu​−χv​).

A function ζ\zetaζ is M-convex when −ζ-\zeta−ζ is M-concave.

For ω:B1→R\omega:B_1\to\mathbb Rω:B1​→R and ζ:B2→R\zeta:B_2\to\mathbb Rζ:B2​→R the concave conjugate and convex conjugate are

ω∘(p)=min⁡x∈B1(⟨p,x⟩−ω(x)),ζ∙(p)=max⁡x∈B2(⟨p,x⟩−ζ(x)),\omega^\circ(p)=\min_{x\in B_1}\big(\langle p,x\rangle-\omega(x)\big),\qquad \zeta^\bullet(p)=\max_{x\in B_2}\big(\langle p,x\rangle-\zeta(x)\big),ω∘(p)=x∈B1​min​(⟨p,x⟩−ω(x)),ζ∙(p)=x∈B2​max​(⟨p,x⟩−ζ(x)),

and the concave closure and convex closure are ω^(b)=inf⁡p(⟨p,b⟩−ω∘(p))\hat\omega(b)=\inf_p(\langle p,b\rangle-\omega^\circ(p))ω^(b)=infp​(⟨p,b⟩−ω∘(p)) and ζˇ(b)=sup⁡p(⟨p,b⟩−ζ∙(p))\check\zeta(b)=\sup_p(\langle p,b\rangle-\zeta^\bullet(p))ζˇ​(b)=supp​(⟨p,b⟩−ζ∙(p)); they are finite exactly on B1‾\overline{B_1}B1​​ and B2‾\overline{B_2}B2​​.

The primal problem maximizes ω(x)−ζ(x)\omega(x)-\zeta(x)ω(x)−ζ(x) over x∈B1∩B2x\in B_1\cap B_2x∈B1​∩B2​; the relaxed primal problem maximizes ω^(b)−ζˇ(b)\hat\omega(b)-\check\zeta(b)ω^(b)−ζˇ​(b) over b∈B1‾∩B2‾b\in\overline{B_1}\cap\overline{B_2}b∈B1​​∩B2​​; the dual problem minimizes ζ∙(p)−ω∘(p)\zeta^\bullet(p)-\omega^\circ(p)ζ∙(p)−ω∘(p) over p∈RVp\in\mathbb R^Vp∈RV. A maximum over an empty family is −∞-\infty−∞.

Formalization targets

Goal: Theorem 6.4

If ω\omegaω and −ζ-\zeta−ζ satisfy (EXC), then

max⁡x∈B1∩B2(ω(x)−ζ(x))=max⁡b∈B1‾∩B2‾(ω^(b)−ζˇ(b))=inf⁡p∈RV(ζ∙(p)−ω∘(p)),\max_{x\in B_1\cap B_2}\big(\omega(x)-\zeta(x)\big)=\max_{b\in\overline{B_1}\cap\overline{B_2}}\big(\hat\omega(b)-\check\zeta(b)\big)=\inf_{p\in\mathbb R^V}\big(\zeta^\bullet(p)-\omega^\circ(p)\big),x∈B1​∩B2​max​(ω(x)−ζ(x))=b∈B1​​∩B2​​max​(ω^(b)−ζˇ​(b))=p∈RVinf​(ζ∙(p)−ω∘(p)),

with (P1) a finite dual infimum forces B1∩B2≠∅B_1\cap B_2\neq\emptysetB1​∩B2​=∅, and (P2) if B1∩B2≠∅B_1\cap B_2\neq\emptysetB1​∩B2​=∅ all values are finite and equal and the infimum is attained. If ω,ζ\omega,\zetaω,ζ are integer-valued, the infimum may be taken over p∈ZVp\in\mathbb Z^Vp∈ZV and is attained there when finite.

Milestones

  1. Lemma 6.3 (weak duality): for arbitrary ω,ζ\omega,\zetaω,ζ on finite nonempty sets, primal ≤\le≤ relaxed === dual (the Fenchel identity (6.5)).
  2. Lemma 6.1: (−f)∘(p)=−f∙(−p)(-f)^\circ(p)=-f^\bullet(-p)(−f)∘(p)=−f∙(−p) and (−f)∧=−fˇ(-f)^\wedge=-\check f(−f)∧=−fˇ​ on B‾\overline BB.
  3. Lemma 4.5: an M-concave ω\omegaω satisfies ω^=ω\hat\omega=\omegaω^=ω on BBB.
  4. Theorem 2.1: (B1) is equivalent to being the integer points of an integral submodular (or supermodular) base polytope, with the describing functions max⁡x∈Bx(X)\max_{x\in B}x(X)maxx∈B​x(X) and min⁡x∈Bx(X)\min_{x\in B}x(X)minx∈B​x(X).
  5. Theorem 6.5 (Frank's discrete separation theorem, cited in the paper).
  6. Lemma 6.7: four equivalent forms of boundedness of the dual problem.
  7. Theorem 6.6 (the M-concave intersection theorem, cited in the paper): optimality of x∗x^*x∗ for ω1+ω2\omega_1+\omega_2ω1​+ω2​ is equivalent to a potential p∗p^*p∗ with x∗x^*x∗ maximizing both ω1[−p∗]\omega_1[-p^*]ω1​[−p∗] and ω2[p∗]\omega_2[p^*]ω2​[p∗], integral when the data are.

Significance

The formula gives, in one statement, the integrality of an optimal solution of the relaxed primal problem (the essential content of the first half, as the paper observes on p. 296) and of the dual problem. The paper presents it as a unification of two groups of theorems: Edmonds' polymatroid intersection theorem, Fujishige's Fenchel-type duality and Frank's discrete separation theorem on one side, and Iri and Tomizawa's potential characterization for independent assignment with its extensions by Fujishige and Frank (weight splitting) on the other. In the paper it yields the primal and dual separation theorems (Theorems 6.8, 6.9) and the convolution results (Theorems 6.10, 6.11), and it is the prototype of the Fenchel-type duality of discrete convex analysis.

All results here are proved in the literature; none is known to be formalized. Mathlib has no submodular base polytopes, no matroid intersection theorem and no discrete convex analysis. A formal proof of Theorem 6.4 would also require formal proofs of the two cited results, Frank's discrete separation theorem and the M-concave intersection theorem, which the paper uses without proof.

Difficulty

Lemma 6.3 is polyhedral convex duality and holds for any functions. The content is equality with the integral problem: the relaxed maximum over the polytope B1‾∩B2‾\overline{B_1}\cap\overline{B_2}B1​​∩B2​​ must be attained at an integer point. For general finite sets it is not, and the intersection of two integral polytopes generally has fractional vertices. Both the integrality of B1‾∩B2‾\overline{B_1}\cap\overline{B_2}B1​​∩B2​​ (Edmonds) and the existence of an integral optimal potential depend on the exchange structure; a direct argument from the definitions of conjugates does not see it. The dual integrality claim, that ppp can be taken integral, is again specific to (EXC) and fails for general concave extensions.

Formalization scope

Lean conventions, all in namespace SteinitzExchange.Duality:

  • VVV is a type with [Fintype V] [DecidableEq V] [Nonempty V]; integer vectors are V → ℤ, real vectors V → ℝ; finite sets of integer vectors are Finset (V → ℤ).
  • A function on BBB is a total (V → ℤ) → ℝ used only at points of BBB. M-convexity of ζ\zetaζ is (EXC) for fun x => -ζ x; ω\omegaω lives on B1B_1B1​ and ζ\zetaζ on B2B_2B2​, which are distinct sets in general.
  • Conjugates are real-valued min/max over the finite set. The closures are real ⨅/⨆ over p∈RVp\in\mathbb R^Vp∈RV and are evaluated only on the convex hulls, where they equal the paper's values; off the hulls they carry a junk value instead of ∓∞\mp\infty∓∞, which no statement uses.
  • The three optimal values are in EReal, as suprema and infima of coerced reals, so no ∞−∞\infty-\infty∞−∞ occurs. EReal's supremum of the empty family is −∞-\infty−∞, the paper's convention. The dual infimum is never a real ⨅ (which would return 000 when unbounded and make (P1) meaningless).
  • Every "max" of the page includes attainment: (P2) asserts points xxx, bbb, ppp at which the three values are achieved; the integral dual infimum is attained when it is not −∞-\infty−∞.
  • "Integer-valued" means ω(x)∈Z\omega(x)\in\mathbb Zω(x)∈Z on B1B_1B1​ and ζ(x)∈Z\zeta(x)\in\mathbb Zζ(x)∈Z on B2B_2B2​; integral potentials and separating vectors are V → ℤ.
  • Theorem 2.1's "∀X⊂V\forall X\subset V∀X⊂V" is read as all X⊆VX\subseteq VX⊆V.

Formalizations that would trivialize the goal are excluded: an unrestricted real infimum for the dual, a convex closure built from ζ∘\zeta^\circζ∘ instead of ζ∙\zeta^\bulletζ∙, a single base set for both functions, and a relaxed maximum taken over all of RV\mathbb R^VRV instead of B1‾∩B2‾\overline{B_1}\cap\overline{B_2}B1​​∩B2​​.

Needed infrastructure: finite convex hulls and polyhedral Fenchel duality, submodular base polytopes and their integrality, Frank's separation theorem, and the valuated intersection theorem. The submodular-system layer (Theorem 2.1, Theorem 6.5) is reusable beyond this mission. Contributions to any milestone, including proofs of the two cited theorems, are welcome.

Selected references

  • K. Murota, Convexity and Steinitz's exchange property, Advances in Mathematics 124 (1996) 272–311. https://doi.org/10.1006/aima.1996.0084
  • K. Murota, Valuated matroid intersection I: optimality criteria, SIAM J. Discrete Math. 9 (1996) 545–561.
  • K. Murota, Submodular flow problem with a nonseparable cost function, Report 95843-OR, Forschungsinstitut für Diskrete Mathematik, Universität Bonn, 1995 (source of Theorem 6.6).
  • A. Frank, An algorithm for submodular functions on graphs, Annals of Discrete Mathematics 16 (1982) 97–120 (source of Theorem 6.5).
  • A. Frank, A weighted matroid intersection algorithm, J. Algorithms 2 (1981) 328–336.
  • J. Edmonds, Submodular functions, matroids and certain polyhedra, in: Combinatorial Structures and Their Applications, Gordon and Breach, New York, 1970, 69–87.
  • S. Fujishige, Theory of submodular programs: a Fenchel-type min-max theorem and subgradients of submodular functions, Mathematical Programming 29 (1984) 142–155.
  • M. Iri and N. Tomizawa, An algorithm for finding an optimal "independent assignment", J. Oper. Res. Soc. Japan 19 (1976) 32–57.
  • K. Murota, Discrete Convex Analysis, SIAM, 2003. https://doi.org/10.1137/1.9780898718508
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CombinatoricsConvex OptimizationOperations Research·Captain: mikedeng1

Convexity and Steinitz's Exchange Property II: The Local Supermodularity Theorem for the Concave ConjugateResearch Paper

Motivation

Matroids and their integral generalizations, integral base polytopes, are the combinatorial structures on which the greedy algorithm is exact. Edmonds' theory relates them to submodular and supermodular set functions: a polytope is a base polytope exactly when its support function, restricted to 0/10/10/1 vectors, is supermodular and the greedy formula evaluates it everywhere. Dress and Wenzel's valuated matroids (1990) and Murota's M-concave functions carry the exchange axiom from sets to functions on sets. This paper (Adv. Math. 124, 1996) sets up the resulting theory of discrete concave functions on base sets, later developed into discrete convex analysis (Murota, Discrete Convex Analysis, SIAM 2003).

The question behind this mission is how the set-level correspondence between exchange and supermodularity extends to functions. Section 5 of the paper answers it with the Local Supermodularity Theorem: the exchange property of a function is a supermodularity property of its concave conjugate, holding locally at every point.

Setting

Let VVV be a finite nonempty set, n=∣V∣n=|V|n=∣V∣. For u∈Vu\in Vu∈V let χu∈ZV\chi_u\in\mathbb Z^Vχu​∈ZV be the unit vector, for X⊆VX\subseteq VX⊆V let χX\chi_XχX​ be its characteristic vector, x(X)=∑v∈Xx(v)x(X)=\sum_{v\in X}x(v)x(X)=∑v∈X​x(v), and ⟨p,x⟩=∑vp(v)x(v)\langle p,x\rangle=\sum_v p(v)x(v)⟨p,x⟩=∑v​p(v)x(v). For a finite B⊆ZVB\subseteq\mathbb Z^VB⊆ZV, B‾\overline BB is its convex hull.

A finite integral base set is a finite nonempty B⊆ZVB\subseteq\mathbb Z^VB⊆ZV such that

(B1)x,y∈B, u∈supp⁡+(x−y) ⇒ ∃v∈supp⁡−(x−y): x−χu+χv∈B.\text{(B1)}\quad x,y\in B,\ u\in\operatorname{supp}^+(x-y)\ \Rightarrow\ \exists v\in\operatorname{supp}^-(x-y):\ x-\chi_u+\chi_v\in B.(B1)x,y∈B, u∈supp+(x−y) ⇒ ∃v∈supp−(x−y): x−χu​+χv​∈B.

A function ω:B→R\omega:B\to\mathbb Rω:B→R satisfies the exchange property (EXC) (is M-concave) if for x,y∈Bx,y\in Bx,y∈B and u∈supp⁡+(x−y)u\in\operatorname{supp}^+(x-y)u∈supp+(x−y) there is v∈supp⁡−(x−y)v\in\operatorname{supp}^-(x-y)v∈supp−(x−y) with x−χu+χv, y+χu−χv∈Bx-\chi_u+\chi_v,\ y+\chi_u-\chi_v\in Bx−χu​+χv​, y+χu​−χv​∈B and ω(x)+ω(y)≤ω(x−χu+χv)+ω(y+χu−χv)\omega(x)+\omega(y)\le\omega(x-\chi_u+\chi_v)+\omega(y+\chi_u-\chi_v)ω(x)+ω(y)≤ω(x−χu​+χv​)+ω(y+χu​−χv​). Write ω[p](x)=ω(x)+⟨p,x⟩\omega[p](x)=\omega(x)+\langle p,x\rangleω[p](x)=ω(x)+⟨p,x⟩ and argmax⁡(g)\operatorname{argmax}(g)argmax(g) for the maximizers of ggg on BBB.

The support function of BBB is ψ∘(p)=min⁡{⟨p,x⟩∣x∈B}\psi^\circ(p)=\min\{\langle p,x\rangle\mid x\in B\}ψ∘(p)=min{⟨p,x⟩∣x∈B}. A positively homogeneous h:RV→Rh:\mathbb R^V\to\mathbb Rh:RV→R is "matroidal" if

  • (C1) X↦h(χX)X\mapsto h(\chi_X)X↦h(χX​) is supermodular, and
  • (C2) h(p)=∑j=1n(pj−pj+1) h(χVj)h(p)=\sum_{j=1}^n(p_j-p_{j+1})\,h(\chi_{V_j})h(p)=∑j=1n​(pj​−pj+1​)h(χVj​​) whenever V={v1,…,vn}V=\{v_1,\dots,v_n\}V={v1​,…,vn​} with p(v1)≥⋯≥p(vn)p(v_1)\ge\dots\ge p(v_n)p(v1​)≥⋯≥p(vn​), pj=p(vj)p_j=p(v_j)pj​=p(vj​), Vj={v1,…,vj}V_j=\{v_1,\dots,v_j\}Vj​={v1​,…,vj​}, pn+1=0p_{n+1}=0pn+1​=0.

The concave conjugate is ω∘(p)=min⁡{⟨p,x⟩−ω(x)∣x∈B}\omega^\circ(p)=\min\{\langle p,x\rangle-\omega(x)\mid x\in B\}ω∘(p)=min{⟨p,x⟩−ω(x)∣x∈B}, the concave closure is ω^(b)=inf⁡p{⟨p,b⟩−ω∘(p)}\hat\omega(b)=\inf_p\{\langle p,b\rangle-\omega^\circ(p)\}ω^(b)=infp​{⟨p,b⟩−ω∘(p)}, the subdifferential is ∂ω∘(p0)={b∣ω∘(p)−ω∘(p0)≤⟨p−p0,b⟩ ∀p}\partial\omega^\circ(p_0)=\{b\mid\omega^\circ(p)-\omega^\circ(p_0)\le\langle p-p_0,b\rangle\ \forall p\}∂ω∘(p0​)={b∣ω∘(p)−ω∘(p0​)≤⟨p−p0​,b⟩ ∀p}, and the localization of ω∘\omega^\circω∘ at p0p_0p0​ is L^(ω∘,p0)(p)=inf⁡{⟨p,b⟩∣b∈∂ω∘(p0)}\hat L(\omega^\circ,p_0)(p)=\inf\{\langle p,b\rangle\mid b\in\partial\omega^\circ(p_0)\}L^(ω∘,p0​)(p)=inf{⟨p,b⟩∣b∈∂ω∘(p0​)}.

Formalization targets

Goal: the Local Supermodularity Theorem (Theorem 5.3, corrected)

For ω\omegaω on a finite integral base set BBB,

ω satisfies (EXC)  ⟺  (ω=ω^ on B) and (L^(ω∘,p0) is "matroidal" for every p0∈RV).\omega\ \text{satisfies (EXC)}\iff\Big(\omega=\hat\omega\ \text{on}\ B\Big)\ \text{and}\ \Big(\hat L(\omega^\circ,p_0)\ \text{is "matroidal" for every}\ p_0\in\mathbb R^V\Big).ω satisfies (EXC)⟺(ω=ω^ on B) and (L^(ω∘,p0​) is "matroidal" for every p0​∈RV).

The printed Theorem 5.3 has only the second condition on the right. Its "only if" direction holds as printed; its "if" direction is false without the first condition, and a separate item of the mission states the counterexample: B={(2,0),(1,1),(0,2)}B=\{(2,0),(1,1),(0,2)\}B={(2,0),(1,1),(0,2)}, ω=(0,−10,0)\omega=(0,-10,0)ω=(0,−10,0).

Milestones

  1. Theorem 2.1: (B1) is equivalent to BBB being the integer points of an integral submodular (equivalently, supermodular) system, whose defining function is determined by BBB.
  2. Theorem 5.1: if B=ZV∩B‾B=\mathbb Z^V\cap\overline BB=ZV∩B, then BBB satisfies (B1) iff ψ∘\psi^\circψ∘ is "matroidal".
  3. Lemma 5.2: sums of "matroidal" functions are "matroidal".
  4. Theorem 4.4: (EXC) holds iff every argmax⁡(ω[p])\operatorname{argmax}(\omega[p])argmax(ω[p]) satisfies (B1).
  5. Eq. (5.12): L^(ω∘,p0)(p)=min⁡{⟨p,x⟩∣x∈argmax⁡(ω[−p0])}\hat L(\omega^\circ,p_0)(p)=\min\{\langle p,x\rangle\mid x\in\operatorname{argmax}(\omega[-p_0])\}L^(ω∘,p0​)(p)=min{⟨p,x⟩∣x∈argmax(ω[−p0​])}.

Significance

The result. Theorem 5.3 is the function-level version of Theorem 5.1. Condition (C1) is a supermodularity condition, so the theorem expresses (EXC) as "a collection of local supermodularity" properties of ω∘\omega^\circω∘, in the same way that (B1) corresponds to supermodularity of a support function. In the paper this characterization of the conjugate side underlies the Fenchel-type duality of Section 6, and more generally the conjugacy between M-concave and L-convex functions in discrete convex analysis.

The formalization. No part of this theory is formalized in Lean or on this platform: base sets, (EXC), "matroidal" functions and concave conjugates of functions on base sets are all new. The mission also corrects the published statement: the reduction from localizations to base sets needs every integer point of conv⁡(argmax⁡ ω[−p0])\operatorname{conv}(\operatorname{argmax}\,\omega[-p_0])conv(argmaxω[−p0​]) to be a maximizer, and the concave-closure condition supplies this. A machine-checked proof would settle both the corrected theorem and the counterexample. Theorem 2.1 and Lemma 5.2 are classical but have no formal proof either.

Difficulty

ω∘\omega^\circω∘ depends only on the concave closure ω^\hat\omegaω^, so any characterization of (EXC) through ω∘\omega^\circω∘ alone cannot see values of ω\omegaω below ω^\hat\omegaω^. That is why the goal needs the extra clause. The "only if" direction needs the full theory of Section 4: M-concave functions coincide with their concave closure, and all their maximizer sets are base sets. Theorem 5.1 needs the greedy algorithm on integral base polytopes, together with the fact that the base polytope of an integral supermodular function has integral vertices. Theorem 2.1 is the folklore statement that polyhedral and exchange descriptions agree, and the paper does not prove it. Eq. (5.12) needs the subdifferential of a finite minimum of affine functions to be the convex hull of the active gradients, stated globally rather than only near p0p_0p0​.

Formalization scope

Integer vectors are V → ℤ, real vectors V → ℝ, with [Fintype V] [DecidableEq V] [Nonempty V]. A finite subset of ZV\mathbb Z^VZV is a Finset (V → ℤ). A function on BBB is a total function (V → ℤ) → ℝ whose values off BBB are never used. The mission commits to the following readings:

  • Minima. ψ∘\psi^\circψ∘, ω∘\omega^\circω∘ are real infima over the finite set BBB, hence minima for nonempty BBB (every statement has BBB nonempty). ω^\hat\omegaω^ is a real infimum used only at points of BBB, where it is bounded below.
  • Localization. L^\hat LL^ is a real sInf over the subdifferential, defined by (5.8)–(5.9) exactly, not by the formula (5.12). Eq. (5.12) is stated with IsLeast, so it asserts attainment, not just the value.
  • (C2). It is required for every bijection Fin n ≃ V along which ppp is non-increasing. This is equivalent to "for some" such indexing. "Matroidal" includes positive homogeneity but not concavity.
  • Theorem 2.1. The page's "∀X⊂V\forall X\subset V∀X⊂V" is read as all X⊆VX\subseteq VX⊆V. The set functions are integer-valued, and "Moreover" is read strongly: every fff (resp. ggg) as in (b) (resp. (c)) equals the displayed max (resp. min).
  • Theorem 4.4. "argmax⁡(ω[p])‾\overline{\operatorname{argmax}(\omega[p])}argmax(ω[p])​ is an integral base polytope" is read as "argmax⁡(ω[p])\operatorname{argmax}(\omega[p])argmax(ω[p]) satisfies (B1)", following Lemma 4.3 and the proof of Theorem 5.3. The literal convex-hull reading makes the "if" direction false (same counterexample).
  • Theorem 5.1 keeps the page's hypothesis B=ZV∩B‾B=\mathbb Z^V\cap\overline BB=ZV∩B.

Trivializing formalizations are ruled out. Defining L^\hat LL^ by (5.12) would reduce the goal to Theorems 4.4 and 5.1. A "matroidal" without (C2) would be satisfied by support functions of non-base sets. An ω∘\omega^\circω∘ taken as a supremum would reverse the sign conventions.

The development needs: the greedy algorithm and integrality for integral base polytopes, supergradients of polyhedral concave functions, and the Section 4 results of the paper (concave closure of M-concave functions, Lemma 4.3). The base-set and "matroidal" layers can be reused beyond this mission. Proofs of any milestone, of the counterexample, and a proof of the "only if" direction on its own are all welcome.

Selected references

  • K. Murota, Convexity and Steinitz's exchange property, Advances in Mathematics 124 (1996), 272–311. https://doi.org/10.1006/aima.1996.0084
  • A. W. M. Dress, W. Wenzel, Valuated matroids: a new look at the greedy algorithm, Applied Mathematics Letters 3 (1990), 33–35.
  • S. Fujishige, Submodular Functions and Optimization, 2nd ed., Annals of Discrete Mathematics 58, Elsevier, 2005.
  • L. Lovász, Submodular functions and convexity, in Mathematical Programming: The State of the Art, Springer, 1983, 235–257. https://doi.org/10.1007/978-3-642-68874-4_10
  • K. Murota, Discrete Convex Analysis, SIAM, 2003. https://doi.org/10.1137/1.9780898718508
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CombinatoricsConvex OptimizationOperations Research·Captain: mikedeng1

Convexity and Steinitz's Exchange Property I: The Extension Theorem — M-Concavity Is Concave Extendability with Integral Base Polytope MaximizersResearch Paper

Motivation

Linear optimization over the bases of a matroid, over the integer points of a polymatroid, or over the flows of a network is well understood: the greedy algorithm is exact, the feasible sets are the integer points of polytopes described by submodular functions, and min-max theorems of Edmonds and Frank hold with integrality. Nonlinear objectives on the same sets are much less uniform. Valuated matroids (Dress and Wenzel, 1990; see Murota 2003) showed that a quantitative form of the Steinitz exchange axiom is exactly what keeps the greedy algorithm exact for a nonlinear weight. Kazuo Murota's paper Convexity and Steinitz's Exchange Property (Adv. Math. 124 (1996) 272–311) extends this exchange axiom from matroid bases to the integer points of arbitrary integral base polytopes, names the resulting functions M-concave, and proves that they are the discrete counterpart of concave functions. The paper is the starting point of discrete convex analysis (Murota, Discrete Convex Analysis, SIAM 2003), which is now used in auction theory (gross-substitutes valuations are M♮-concave), inventory and resource allocation, and combinatorial optimization.

This mission covers the first of the paper's three characterizations of M-concavity: the Extension Theorem (Theorem 4.6).

Setting

Let VVV be a finite nonempty set. For u∈Vu\in Vu∈V, χu∈ZV\chi_u\in\mathbb Z^Vχu​∈ZV is the characteristic vector of uuu. For x∈RVx\in\mathbb R^Vx∈RV, supp⁡+(x)={v∣x(v)>0}\operatorname{supp}^+(x)=\{v\mid x(v)>0\}supp+(x)={v∣x(v)>0}, supp⁡−(x)={v∣x(v)<0}\operatorname{supp}^-(x)=\{v\mid x(v)<0\}supp−(x)={v∣x(v)<0}, ∥x∥=∑v∣x(v)∣\|x\|=\sum_v|x(v)|∥x∥=∑v​∣x(v)∣, and ⟨p,x⟩=∑vp(v)x(v)\langle p,x\rangle=\sum_v p(v)x(v)⟨p,x⟩=∑v​p(v)x(v).

A finite integral base set is a finite nonempty B⊆ZVB\subseteq\mathbb Z^VB⊆ZV such that for x,y∈Bx,y\in Bx,y∈B and u∈supp⁡+(x−y)u\in\operatorname{supp}^+(x-y)u∈supp+(x−y) there is v∈supp⁡−(x−y)v\in\operatorname{supp}^-(x-y)v∈supp−(x−y) with x−χu+χv∈Bx-\chi_u+\chi_v\in Bx−χu​+χv​∈B (axiom (B1)). Examples are the incidence vectors of the bases of a matroid. Its convex hull B‾\overline BB is an integral base polytope; in general, an integral base polytope is the convex hull of some finite integral base set.

A function ω:B→R\omega:B\to\mathbb Rω:B→R satisfies the exchange property (EXC), and is called M-concave, if for all x,y∈Bx,y\in Bx,y∈B and u∈supp⁡+(x−y)u\in\operatorname{supp}^+(x-y)u∈supp+(x−y) there is v∈supp⁡−(x−y)v\in\operatorname{supp}^-(x-y)v∈supp−(x−y) with x−χu+χv∈Bx-\chi_u+\chi_v\in Bx−χu​+χv​∈B, y+χu−χv∈By+\chi_u-\chi_v\in By+χu​−χv​∈B and

ω(x)+ω(y)≤ω(x−χu+χv)+ω(y+χu−χv).\omega(x)+\omega(y)\le\omega(x-\chi_u+\chi_v)+\omega(y+\chi_u-\chi_v).ω(x)+ω(y)≤ω(x−χu​+χv​)+ω(y+χu​−χv​).

The local exchange property (EXCloc_{\mathrm{loc}}loc​) asks only, for x,y∈Bx,y\in Bx,y∈B with ∥x−y∥=4\|x-y\|=4∥x−y∥=4, for some u∈supp⁡+(x−y)u\in\operatorname{supp}^+(x-y)u∈supp+(x−y) and some v∈supp⁡−(x−y)v\in\operatorname{supp}^-(x-y)v∈supp−(x−y) with the same conclusion.

For p∈RVp\in\mathbb R^Vp∈RV, ω[p](x)=ω(x)+⟨p,x⟩\omega[p](x)=\omega(x)+\langle p,x\rangleω[p](x)=ω(x)+⟨p,x⟩, and argmax⁡(ω)={x∈B∣ω(x)≥ω(y) ∀y∈B}\operatorname{argmax}(\omega)=\{x\in B\mid\omega(x)\ge\omega(y)\ \forall y\in B\}argmax(ω)={x∈B∣ω(x)≥ω(y) ∀y∈B}. For any g:B→Rg:B\to\mathbb Rg:B→R, the concave conjugate is g∘(p)=min⁡x∈B(⟨p,x⟩−g(x))g^\circ(p)=\min_{x\in B}(\langle p,x\rangle-g(x))g∘(p)=minx∈B​(⟨p,x⟩−g(x)) and the concave closure is g^(b)=inf⁡p∈RV(⟨p,b⟩−g∘(p))\hat g(b)=\inf_{p\in\mathbb R^V}(\langle p,b\rangle-g^\circ(p))g^​(b)=infp∈RV​(⟨p,b⟩−g∘(p)), a concave function that is finite exactly on B‾\overline BB. A function ωˉ:B‾→R\bar\omega:\overline B\to\mathbb Rωˉ:B→R extends ω\omegaω if ωˉ=ω\bar\omega=\omegaωˉ=ω on BBB.

Formalization targets

Goal: the Extension Theorem (Theorem 4.6)

For a finite integral base set BBB and ω:B→R\omega:B\to\mathbb Rω:B→R,

ω satisfies (EXC)  ⟺  ∃ ωˉ:B‾→R concave, ωˉ∣B=ω, ∀p: argmax⁡B‾(ωˉ[p]) is an integral base polytope.\omega\ \text{satisfies (EXC)}\iff\exists\,\bar\omega:\overline B\to\mathbb R\ \text{concave},\ \bar\omega|_B=\omega,\ \forall p:\ \operatorname{argmax}_{\overline B}(\bar\omega[p])\ \text{is an integral base polytope}.ω satisfies (EXC)⟺∃ωˉ:B→R concave, ωˉ∣B​=ω, ∀p: argmaxB​(ωˉ[p]) is an integral base polytope.

Milestones

  • Lemma 3.2 (p. 282): under (EXCloc_{\mathrm{loc}}loc​), for y=x−χu0−χu1+χv0+χv1∈By=x-\chi_{u_0}-\chi_{u_1}+\chi_{v_0}+\chi_{v_1}\in By=x−χu0​​−χu1​​+χv0​​+χv1​​∈B, ωp(y)−ωp(x)≤max⁡(π00+π11,π01+π10)\omega_p(y)-\omega_p(x)\le\max(\pi_{00}+\pi_{11},\pi_{01}+\pi_{10})ωp​(y)−ωp​(x)≤max(π00​+π11​,π01​+π10​) with πij=ωp(x−χui+χvj)−ωp(x)\pi_{ij}=\omega_p(x-\chi_{u_i}+\chi_{v_j})-\omega_p(x)πij​=ωp​(x−χui​​+χvj​​)−ωp​(x) (−∞-\infty−∞ off BBB).
  • Theorem 3.1 (p. 282): (EXC)   ⟺  \iff⟺ (EXCloc_{\mathrm{loc}}loc​).
  • Theorem 2.2 (p. 280): (EXC) for ω\omegaω implies (EXC) for every ω[p]\omega[p]ω[p].
  • Lemma 4.3 (p. 285): under (EXC), argmax⁡(ω)\operatorname{argmax}(\omega)argmax(ω) is an integral base set.
  • Lemma 4.1 (p. 285): g^≥g\hat g\ge gg^​≥g on BBB; max⁡B‾g^=max⁡Bg\max_{\overline B}\hat g=\max_B gmaxB​g^​=maxB​g; argmax⁡(g^)=argmax⁡(g)‾\operatorname{argmax}(\hat g)=\overline{\operatorname{argmax}(g)}argmax(g^​)=argmax(g)​.
  • Lemma 4.2 (p. 285): (g[p0])∘(p)=g∘(p−p0)(g[p_0])^\circ(p)=g^\circ(p-p_0)(g[p0​])∘(p)=g∘(p−p0​) and (g[p0])∧=g^+⟨p0,⋅⟩(g[p_0])^\wedge=\hat g+\langle p_0,\cdot\rangle(g[p0​])∧=g^​+⟨p0​,⋅⟩ on B‾\overline BB.
  • Theorem 4.4 (p. 286): (EXC)   ⟺  \iff⟺ argmax⁡(ω[p])\operatorname{argmax}(\omega[p])argmax(ω[p]) is an integral base set for every ppp.
  • Lemma 4.5 (p. 288): under (EXC), ω^=ω\hat\omega=\omegaω^=ω on BBB.

Significance

The Extension Theorem identifies a combinatorial axiom with a convex-analytic property: M-concave functions are exactly the restrictions to lattice points of concave functions on the base polytope whose linear perturbations are all maximized on integral base polytopes. It is the reason the M-concave class supports a convex-analysis-style theory at all: local optimality implies global optimality, maximizers of linear perturbations are well behaved, and conjugacy (the paper's Theorems 5.3 and 6.4, separate missions of this series) can be developed. Theorem 3.1 on its own is widely used to verify M-concavity in applications, since it reduces the exchange axiom to pairs at distance four.

All results here were proved in 1996. To our knowledge none of them has a machine-checked proof; Mathlib has matroids on sets but no integral base sets in ZV\mathbb Z^VZV, no M-concave functions and no concave closure of a function on a finite set. A formal proof of this chain would be a first formal development of discrete convex analysis.

Difficulty

The equivalence of (EXC) with its local version (Theorem 3.1) is not a routine induction on ∥x−y∥\|x-y\|∥x−y∥: the exchange inequality for a far pair does not follow from the inequalities along a path of distance-4 pairs, because the exchange partner vvv must be chosen consistently with the prescribed uuu. For the "if" direction of Theorem 4.4, knowing that every maximizer set is an integral base set says nothing directly about the values of ω\omegaω at non-maximizing points; turning this global information on maximizers into the local inequality (EXCloc_{\mathrm{loc}}loc​) requires a supporting hyperplane of the concave closure at a well-chosen point and the integrality of the intersection of an integral base polytope with a box (a cited result on submodular systems). Theorem 4.6 then needs the concave closure to agree with ω\omegaω on BBB (Lemma 4.5), which fails for general ω\omegaω.

Formalization scope

All declarations live in the namespace SteinitzExchange.Extension. The ground set is a type V with [Fintype V] [DecidableEq V] [Nonempty V]; integer vectors are V → ℤ, real vectors V → ℝ, and toReal embeds the former into the latter. BBB is a Finset (V → ℤ). A function ω:B→R\omega:B\to\mathbb Rω:B→R is a total (V → ℤ) → ℝ whose values are only ever read at points required to be in BBB. B‾\overline BB is Mathlib's convexHull ℝ of the image of BBB. Pinned readings:

  1. Integral base polytope means the convex hull of a finite nonempty set satisfying (B1) (by the paper's Theorem 2.1 this is its meaning), not "a polytope with integer vertices".
  2. The concave closure is a real infimum; it is the paper's value on B‾\overline BB and a junk value 000 off B‾\overline BB (the paper's −∞-\infty−∞), so every statement uses it only on B‾\overline BB. argmax⁡(g^)\operatorname{argmax}(\hat g)argmax(g^​) and argmax⁡(ωˉ[p])\operatorname{argmax}(\bar\omega[p])argmax(ωˉ[p]) range over B‾\overline BB only; the concave conjugate is a minimum over the nonempty finite BBB.
  3. Lemma 3.2's maximum with −∞-\infty−∞ entries is stated as: for one of the two pairings both exchanged points lie in BBB and the bound holds for that pairing.
  4. Theorem 4.4 and Lemma 4.3 conclude that argmax⁡(ω[p])\operatorname{argmax}(\omega[p])argmax(ω[p]) is itself an integral base set. Read literally ("its convex hull is an integral base polytope") the "if" direction of Theorem 4.4 is false: B={(2,0),(1,1),(0,2)}B=\{(2,0),(1,1),(0,2)\}B={(2,0),(1,1),(0,2)} with ω=(0,−1,0)\omega=(0,-1,0)ω=(0,−1,0) is a counterexample. The paper's proof, its gloss in Lemma 4.3 and its use on p. 292 all take the integral-base-set reading. Theorem 4.6 needs no such adjustment and is stated as printed.
  5. Theorem 2.2 carries the standing assumption of §2.3 that ω\omegaω satisfies (EXC).

Trivializing formalizations are ruled out: the extension ωˉ\bar\omegaωˉ must agree with ω\omegaω on BBB and be concave on B‾\overline BB, the argmax is over B‾\overline BB and not over RV\mathbb R^VRV, and an integral base polytope is never empty.

A complete development needs basic facts on integral base sets (the equivalence of (B1) with the simultaneous exchange (B2), B=ZV∩B‾B=\mathbb Z^V\cap\overline BB=ZV∩B, and the paper's cited Theorem 2.1 relating them to submodular functions), the representation (4.3) of the concave closure as a maximum of convex combinations, and supporting hyperplanes of polyhedral concave functions. The layer of integral base sets and M-concave functions is reusable for the two other missions of this series and for any later formalization of discrete convex analysis; contributions of general-purpose lemmas about it are welcome.

Selected references

  • K. Murota, Convexity and Steinitz's exchange property, Advances in Mathematics 124 (1996) 272–311. https://doi.org/10.1006/aima.1996.0084
  • K. Murota, Discrete Convex Analysis, SIAM Monographs on Discrete Mathematics and Applications, 2003. https://doi.org/10.1137/1.9780898718508
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Convex OptimizationLinear algebra·Captain: mikedeng1

Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers II: Soft Thresholding Is the Proximity Operator of the ℓ1 NormTextbook

Why closed-form ADMM updates matter

The alternating direction method of multipliers (ADMM) solves problems of the form min⁡f(x)+g(z)\min f(x)+g(z)minf(x)+g(z) subject to Ax+Bz=cAx+Bz=cAx+Bz=c by alternating a minimization in xxx, a minimization in zzz and a dual ascent step. Its practical appeal, as surveyed by Boyd, Parikh, Chu, Peleato and Eckstein in Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers (Foundations and Trends in Machine Learning, 2011, doi:10.1561/2200000016), rests on the fact that each of these minimizations is often trivial to carry out: a projection, a linear solve, or a componentwise formula. Chapter 4 of the book, "General Patterns", catalogues the cases that recur in every later application (lasso, basis pursuit, sparse inverse covariance selection, consensus and sharing problems). This mission formalizes the statements of that chapter, culminating in the identification of the update for an ℓ1\ell_1ℓ1​ penalty with soft thresholding.

Setting

Vectors live in Rn\mathbb R^nRn with the Euclidean norm ∥⋅∥2\|\cdot\|_2∥⋅∥2​. An extended-real-valued function f:Rn→R∪{+∞}f:\mathbb R^n\to\mathbb R\cup\{+\infty\}f:Rn→R∪{+∞} is given by its effective domain dom⁡f\operatorname{dom} fdomf and its finite values there. Fix a penalty parameter ρ>0\rho>0ρ>0, a matrix A∈Rp×nA\in\mathbb R^{p\times n}A∈Rp×n and a vector v∈Rpv\in\mathbb R^pv∈Rp. The xxx-update of ADMM (p. 25) is

x+=argmin⁡x(f(x)+ρ2∥Ax−v∥22),x^+=\operatorname*{argmin}_x\Bigl(f(x)+\tfrac{\rho}{2}\|Ax-v\|_2^2\Bigr),x+=xargmin​(f(x)+2ρ​∥Ax−v∥22​),

where "argmin" denotes a minimizer over dom⁡f\operatorname{dom} fdomf. When A=IA=IA=I the right-hand side, as a function of vvv, is the proximity operator proxf,ρ(v)\mathbf{prox}_{f,\rho}(v)proxf,ρ​(v) (§4.1).

The chapter evaluates x+x^+x+ in four situations:

  • fff is the indicator function of a closed nonempty convex set C\mathcal CC (000 on C\mathcal CC, +∞+\infty+∞ off it); then x+x^+x+ is the Euclidean projection ΠC(v)\Pi_{\mathcal C}(v)ΠC​(v), the nearest point of C\mathcal CC to vvv;
  • f(x)=12xTPx+qTx+rf(x)=\tfrac12x^TPx+q^Tx+rf(x)=21​xTPx+qTx+r is a convex quadratic, with PPP symmetric positive semidefinite, possibly restricted to an affine set {x∣Fx=g}\{x\mid Fx=g\}{x∣Fx=g};
  • f(x)=f1(x1)+⋯+fn(xn)f(x)=f_1(x_1)+\cdots+f_n(x_n)f(x)=f1​(x1​)+⋯+fn​(xn​) is componentwise separable and ATAA^TAATA is diagonal;
  • f(x)=λ∥x∥1=λ∑i∣xi∣f(x)=\lambda\|x\|_1=\lambda\sum_i|x_i|f(x)=λ∥x∥1​=λ∑i​∣xi​∣ with λ>0\lambda>0λ>0 and A=IA=IA=I.

The soft thresholding operator (§4.4.3, p. 32) is, for κ≥0\kappa\ge0κ≥0,

Sκ(a)={a−κa>κ0∣a∣≤κa+κa<−κ,S_\kappa(a)=\begin{cases}a-\kappa & a>\kappa\\ 0 & |a|\le\kappa\\ a+\kappa & a<-\kappa,\end{cases}Sκ​(a)=⎩⎨⎧​a−κ0a+κ​a>κ∣a∣≤κa<−κ,​

applied componentwise to vectors.

Formalization targets

Goal: soft thresholding is the proximity operator of the ℓ1 norm (§4.4.3, p. 32)

For λ>0\lambda>0λ>0, ρ>0\rho>0ρ>0 and v∈Rnv\in\mathbb R^nv∈Rn, a vector xxx minimizes λ∥x∥1+ρ2∥x−v∥22\lambda\|x\|_1+\tfrac{\rho}{2}\|x-v\|_2^2λ∥x∥1​+2ρ​∥x−v∥22​ over Rn\mathbb R^nRn if and only if

xi=Sλ/ρ(vi)(i=1,…,n).x_i=S_{\lambda/\rho}(v_i)\qquad(i=1,\dots,n).xi​=Sλ/ρ​(vi​)(i=1,…,n).

The statement gives both that the soft-thresholded vector is a minimizer and that it is the only one.

Milestones

  1. Projection (§4.1, p. 26): for C\mathcal CC closed, nonempty and convex, ΠC(v)\Pi_{\mathcal C}(v)ΠC​(v) exists and is unique, and for every ρ>0\rho>0ρ>0 the xxx-update of the indicator of C\mathcal CC is exactly ΠC(v)\Pi_{\mathcal C}(v)ΠC​(v).
  2. Nonnegative orthant (§4.1, p. 26): for the indicator of R+n\mathbf R^n_+R+n​, x+=(v)+x^+=(v)_+x+=(v)+​, uniquely.
  3. Quadratic update (4.1) (p. 26): if P+ρATAP+\rho A^TAP+ρATA is invertible it is positive definite, and x+=(P+ρATA)−1(ρATv−q)x^+=(P+\rho A^TA)^{-1}(\rho A^Tv-q)x+=(P+ρATA)−1(ρATv−q) is the unique minimizer.
  4. Matrix inversion lemma (§4.2.4, p. 28): (P+ρATA)−1=P−1−ρP−1AT(I+ρAP−1AT)−1AP−1(P+\rho A^TA)^{-1}=P^{-1}-\rho P^{-1}A^T(I+\rho AP^{-1}A^T)^{-1}AP^{-1}(P+ρATA)−1=P−1−ρP−1AT(I+ρAP−1AT)−1AP−1 when the inverses exist. This is the Woodbury identity, already proved on the platform, and is referenced rather than re-posed.
  5. Equality-constrained quadratic (§4.2.5, p. 29): xk+1x^{k+1}xk+1 minimizes the update over {Fx=g}\{Fx=g\}{Fx=g} iff some ν\nuν solves the KKT system; when the affine set is nonempty, x+x^+x+ is an affine function of vvv.
  6. Component separability (§4.4.2, p. 31): with ATAA^TAATA diagonal, the xxx-update splits into nnn independent scalar minimizations.
  7. Positive-part form (p. 32): Sκ(a)=(a−κ)+−(−a−κ)+S_\kappa(a)=(a-\kappa)_+-(-a-\kappa)_+Sκ​(a)=(a−κ)+​−(−a−κ)+​.
  8. Shrinkage form (4.2) (p. 32): Sκ(a)=(1−κ/∣a∣)+aS_\kappa(a)=(1-\kappa/|a|)_+aSκ​(a)=(1−κ/∣a∣)+​a for a≠0a\ne0a=0.
  9. Scalar update (p. 32): Sλ/ρ(vi)S_{\lambda/\rho}(v_i)Sλ/ρ​(vi​) is the unique minimizer of λ∣t∣+ρ2(t−vi)2\lambda|t|+\tfrac{\rho}{2}(t-v_i)^2λ∣t∣+2ρ​(t−vi​)2.

Significance

The results of this chapter are what make ADMM an implementable algorithm rather than a conceptual one. Soft thresholding is the zzz-update of the lasso (§6.4), of distributed ℓ1\ell_1ℓ1​-regularized regression (§8.2) and of sparse inverse covariance selection (§6.5); projections are the updates of every constrained problem in Chapter 5; the linear-system form (4.1) and the KKT system are the updates of least squares and quadratic programming. Every later chapter of the book cites these identities without proof, so a formal library of them is the substrate on which formal statements about specific ADMM instances can be built.

None of these statements is open as a mathematical question: all are classical facts of convex analysis. The book states them without proof (the goal is justified by a reference to subdifferential calculus in Rockafellar's Convex Analysis). This mission poses their formal statements as Lean proof goals. The matrix inversion lemma already has a machine-checked proof on the platform (the Woodbury identity) and is reused. A related but distinct statement, that singular value shrinkage is the proximity operator of the nuclear norm (Cai, Candès and Shen, 2010), is posed separately on the platform and is not this mission's target.

Difficulty

The goal objective λ∥x∥1+ρ2∥x−v∥22\lambda\|x\|_1+\tfrac{\rho}{2}\|x-v\|_2^2λ∥x∥1​+2ρ​∥x−v∥22​ is not differentiable, so setting a gradient to zero does not apply; the minimizer sits exactly on the kink of ∣⋅∣|\cdot|∣⋅∣ whenever ∣vi∣≤λ/ρ|v_i|\le\lambda/\rho∣vi​∣≤λ/ρ. A proof has to handle the three regimes of SκS_\kappaSκ​ and must establish global optimality, not only stationarity, together with uniqueness. Passing from the vector problem to the scalar ones requires the separability statement, which is a statement about minimizers of sums over a product domain, not about any particular function. For the quadratic milestones, the difficulty is linear-algebraic: showing that invertibility of P+ρATAP+\rho A^TAP+ρATA forces positive definiteness, and, for the equality-constrained case, that a minimizer exists and depends affinely on vvv even when FFF is rank deficient and the KKT matrix is singular.

Formalization scope

Vectors are EuclideanSpace ℝ (Fin n), so ‖·‖ is ∥⋅∥2\|\cdot\|_2∥⋅∥2​; matrices are Matrix (Fin p) (Fin n) ℝ acting through Matrix.toEuclideanLin. The conventions committed to are:

  • Functions as (domain, values). An extended-real-valued fff is a pair: a domain set and a real function on it. An indicator function is (the set, 000).
  • Argmin as a predicate. IsXUpdate, IsProx and IsProjection say "xxx is a minimizer"; no choice function is used. Where the book says "the solution", the theorems state an equivalence "xxx is a minimizer   ⟺  \iff⟺ xxx equals the formula", which gives existence and uniqueness at once.
  • Explicit hypotheses. ρ>0\rho>0ρ>0 and λ>0\lambda>0λ>0 (written lam, since λ is a Lean keyword); κ≥0\kappa\ge0κ≥0 for the soft thresholding identities (implicit in the book, where κ=λ/ρ\kappa=\lambda/\rhoκ=λ/ρ, and false for κ<0\kappa<0κ<0); a≠0a\ne0a=0 in (4.2), as on the page; PPP symmetric positive semidefinite (Matrix.PosSemidef); invertibility of P+ρATAP+\rho A^TAP+ρATA in (4.1); C\mathcal CC closed, convex and nonempty for the projection; nonemptiness of {Fx=g}\{Fx=g\}{Fx=g} for the existence part of §4.2.5; FFF of arbitrary rank.
  • ℓ1 norm. ∥x∥1\|x\|_1∥x∥1​ is defined as ∑i∣xi∣\sum_i|x_i|∑i​∣xi​∣, separately from the Euclidean norm.
  • Separability is stated for a general AAA with ATAA^TAATA diagonal, with the scalar problems written out explicitly (the book does not write them).

The trivializing formalization to avoid is stating the goal as the subgradient condition 0∈λ ∂∣⋅∣(xi)+ρ(xi−vi)0\in\lambda\,\partial|\cdot|(x_i)+\rho(x_i-v_i)0∈λ∂∣⋅∣(xi​)+ρ(xi​−vi​), or as agreement of the three formulas for SκS_\kappaSκ​: the goal is global minimality and uniqueness of the soft-thresholded vector for the ℓ1\ell_1ℓ1​ objective. Not formalized: the flop counts and caching remarks of §§4.2.1–4.2.4 and the iterative-solver discussion of §4.3, which make no mathematical claim.

Contributions welcome: proofs of any milestone; the general block-separability statement of §4.4.1; a lemma connecting IsProx with Mathlib's orthogonal projection onto complete convex sets.

Selected references

  • S. Boyd, N. Parikh, E. Chu, B. Peleato, J. Eckstein, Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers, Foundations and Trends in Machine Learning 3(1), 2011, pp. 1–122. https://doi.org/10.1561/2200000016
  • R. T. Rockafellar, Convex Analysis, Princeton University Press, 1970 (§23, subdifferentials). https://doi.org/10.1515/9781400873173
  • J.-J. Moreau, Proximité et dualité dans un espace hilbertien, Bulletin de la Société Mathématique de France 93, 1965, pp. 273–299. https://doi.org/10.24033/bsmf.1625
  • J.-F. Cai, E. J. Candès, Z. Shen, A Singular Value Thresholding Algorithm for Matrix Completion, SIAM Journal on Optimization 20(4), 2010, pp. 1956–1982. https://doi.org/10.1137/080738970
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Control TheoryDynamic ProgrammingOperations Research·Captain: mikedeng1

Stochastic Optimal Control: The Discrete-Time Case III: Monotone Increase Models — Accumulation Points of DP-Optimal Controls Give an Optimal Stationary PolicyTextbook

Motivation

Infinite-horizon dynamic programming with positive (nonnegative) costs and no discounting, or with discount factors that do not make the Bellman operator a contraction, is the setting of Blackwell's and Strauch's positive and negative programming models and of many deterministic control and reachability problems. In this regime the classical contraction argument is unavailable: the optimal cost may be infinite at some states, value iteration may fail to converge to it, and an optimal policy may fail to exist. Chapter 5 of Bertsekas and Shreve, Stochastic Optimal Control: The Discrete-Time Case (1978; Athena Scientific reprint 1996), treats these problems in an abstract framework, a single monotone mapping HHH, so that one set of theorems covers stochastic control with additive or multiplicative costs and minimax control. The chapter is the book version of Bertsekas, "Monotone mappings with application in dynamic programming", SIAM J. Control Optim. 15 (1977).

The chapter's last structural result answers a practical question: when value iteration is run from the terminal cost, do the minimizing controls it computes at each stage lead to an optimal stationary policy?

Setting

The abstract monotone model consists of a state space SSS, a control space CCC, nonempty constraint sets U(x)⊆CU(x)\subseteq CU(x)⊆C, a terminal function J0:S→(−∞,∞]J_0 : S\to(-\infty,\infty]J0​:S→(−∞,∞], and a mapping H(x,u,J)∈[−∞,∞]H(x,u,J)\in[-\infty,\infty]H(x,u,J)∈[−∞,∞] defined for x∈Sx\in Sx∈S, u∈Cu\in Cu∈C and J:S→[−∞,∞]J : S\to[-\infty,\infty]J:S→[−∞,∞], which is monotone: J≤J′J\le J'J≤J′ implies H(x,u,J)≤H(x,u,J′)H(x,u,J)\le H(x,u,J')H(x,u,J)≤H(x,u,J′).

A selector is a function μ:S→C\mu : S\to Cμ:S→C with μ(x)∈U(x)\mu(x)\in U(x)μ(x)∈U(x); a policy is a sequence π=(μ0,μ1,… )\pi=(\mu_0,\mu_1,\dots)π=(μ0​,μ1​,…) of selectors, and it is stationary if all μk\mu_kμk​ are equal. The operators are

Tμ(J)(x)=H(x,μ(x),J),T(J)(x)=inf⁡u∈U(x)H(x,u,J),T_\mu(J)(x)=H(x,\mu(x),J),\qquad T(J)(x)=\inf_{u\in U(x)}H(x,u,J),Tμ​(J)(x)=H(x,μ(x),J),T(J)(x)=u∈U(x)inf​H(x,u,J),

the cost of a policy is Jπ(x)=lim⁡N→∞(Tμ0Tμ1⋯TμN−1)(J0)(x)J_\pi(x)=\lim_{N\to\infty}(T_{\mu_0}T_{\mu_1}\cdots T_{\mu_{N-1}})(J_0)(x)Jπ​(x)=limN→∞​(Tμ0​​Tμ1​​⋯TμN−1​​)(J0​)(x), JμJ_\muJμ​ is the cost of the stationary policy (μ,μ,… )(\mu,\mu,\dots)(μ,μ,…), and the optimal cost is J∗(x)=inf⁡πJπ(x)J^*(x)=\inf_\pi J_\pi(x)J∗(x)=infπ​Jπ​(x). A policy is optimal if Jπ=J∗J_\pi=J^*Jπ​=J∗.

Assumption I (uniform increase) is J0(x)≤H(x,u,J0)J_0(x)\le H(x,u,J_0)J0​(x)≤H(x,u,J0​) for all xxx, u∈U(x)u\in U(x)u∈U(x); under it the sequence defining JπJ_\piJπ​ is nondecreasing, so the limit exists in [−∞,∞][-\infty,\infty][−∞,∞]. Assumption I.1 says H(x,u,⋅)H(x,u,\cdot)H(x,u,⋅) commutes with limits of nondecreasing sequences above J0J_0J0​, and I.2 says that for some α>0\alpha>0α>0, H(x,u,J)≤H(x,u,J+r)≤H(x,u,J)+αrH(x,u,J)\le H(x,u,J+r)\le H(x,u,J)+\alpha rH(x,u,J)≤H(x,u,J+r)≤H(x,u,J)+αr for all r>0r>0r>0 and J≥J0J\ge J_0J≥J0​. Assumptions D, D.1, D.2 are the mirror images (uniform decrease, continuity along nonincreasing sequences below J0J_0J0​, and a lower shift bound).

The DP algorithm (value iteration) generates T(J0),T2(J0),…T(J_0), T^2(J_0),\dotsT(J0​),T2(J0​),…; for k≥0k\ge0k≥0 and λ∈R\lambda\in\mathbb Rλ∈R the level sets

Uk(x,λ)={u∈U(x)∣H[x,u,Tk(J0)]≤λ}U_k(x,\lambda)=\{u\in U(x)\mid H[x,u,T^k(J_0)]\le\lambda\}Uk​(x,λ)={u∈U(x)∣H[x,u,Tk(J0​)]≤λ}

collect the controls that keep the stage-kkk cost below λ\lambdaλ.

Formalization targets

Goal: Proposition 5.11

Let I, I.1 and I.2 hold, let CCC be a Hausdorff space, and let Uk(x,λ)U_k(x,\lambda)Uk​(x,λ) be compact for all x∈Sx\in Sx∈S, λ∈R\lambda\in\mathbb Rλ∈R and k≥kˉk\ge\bar kk≥kˉ. Then (a) some policy π∗=(μ0∗,μ1∗,… )\pi^*=(\mu_0^*,\mu_1^*,\dots)π∗=(μ0∗​,μ1∗​,…) satisfies

(Tμk∗Tk)(J0)=Tk+1(J0)∀k≥kˉ;(T_{\mu_k^*}T^k)(J_0)=T^{k+1}(J_0)\qquad\forall k\ge\bar k;(Tμk∗​​Tk)(J0​)=Tk+1(J0​)∀k≥kˉ;

(b) for every such policy, {μk∗(x)}\{\mu_k^*(x)\}{μk∗​(x)} has an accumulation point whenever J∗(x)<∞J^*(x)<\inftyJ∗(x)<∞; and (c) any μ∗\mu^*μ∗ that picks such an accumulation point at those states, and any admissible control where J∗(x)=∞J^*(x)=\inftyJ∗(x)=∞, defines an optimal stationary policy:

Jμ∗=J∗.J_{\mu^*}=J^*.Jμ∗​=J∗.

Milestones

In the order of the mission's milestone list: Lemma 3.1 (compact sublevel sets give a minimum), Proposition 5.2 (Bellman's equation J∗=T(J∗)J^*=T(J^*)J∗=T(J∗) under I, I.1, I.2), Proposition 5.4 (a stationary policy is optimal iff Tμ∗(J∗)=T(J∗)T_{\mu^*}(J^*)=T(J^*)Tμ∗​(J∗)=T(J∗)), Proposition 5.10 (under the compactness hypothesis, J∞=T(J∞)=T(J∗)=J∗J_\infty=T(J_\infty)=T(J^*)=J^*J∞​=T(J∞​)=T(J∗)=J∗ and a stationary optimal policy exists), Proposition 5.6 (ε\varepsilonε-optimal policies from approximate attainment, with explicit constants ∑kαkεk=ε\sum_k\alpha^k\varepsilon_k=\varepsilon∑k​αkεk​=ε and ε(1−α)\varepsilon(1-\alpha)ε(1−α)), Corollaries 5.3.1 and 5.7.1 (Bellman's equation and ε\varepsilonε-optimal policies under D, D.2 with finite SSS and J∗>−∞J^*>-\inftyJ∗>−∞), and Propositions 5.14 and 5.15 (the multiplicative-cost and minimax models satisfy I, I.1, I.2 or D, D.1/D.2 with explicitly named scalars).

Significance

Proposition 5.10 alone gives existence of an optimal stationary policy; Proposition 5.11 identifies one. It says that the minimizers computed by value iteration, which any implementation produces anyway, converge (along subsequences, state by state) to optimal controls. This is the abstract form of the classical results for deterministic and stochastic positive-cost problems with compact control sets, and through Propositions 5.14 and 5.15 it applies to multiplicative (risk-sensitive) costs and to minimax control without new arguments.

Lemma 3.1, Propositions 5.1–5.5, 5.7–5.10, Lemmas 5.1–5.2 and Corollaries 5.2.1, 5.3.2 are already formalized and proved on the platform, in the MonotoneDP.Increase and MonotoneDP.Decrease developments built from the 1977 paper; this mission reuses their model and assumption definitions and links Lemma 3.1, Proposition 5.2 and Proposition 5.10 as milestones. Propositions 5.4 (in the book's stronger form, with policies optimal state by state), 5.6, 5.11, 5.14, 5.15 and Corollaries 5.3.1, 5.7.1 are new here. All are proved in the book; none has a machine-checked proof yet.

Difficulty

The obvious route to (c) is to pass to the limit in H[x,μk∗(x),Tk(J0)]=Tk+1(J0)(x)H[x,\mu_k^*(x),T^k(J_0)]=T^{k+1}(J_0)(x)H[x,μk∗​(x),Tk(J0​)]=Tk+1(J0​)(x). That fails twice. First, {μk∗(x)}\{\mu_k^*(x)\}{μk∗​(x)} need not converge, and different subsequences may have different limits; the statement is about an arbitrary accumulation point, and in a general Hausdorff space accumulation points are not limits of subsequences. Second, HHH is not assumed continuous in uuu at all: the only regularity in uuu is compactness of the level sets Uk(x,λ)U_k(x,\lambda)Uk​(x,λ), and the only regularity in JJJ is I.1 along monotone sequences. States with J∗(x)=∞J^*(x)=\inftyJ∗(x)=∞ need separate treatment, because there the level sets give no control on μk∗(x)\mu_k^*(x)μk∗​(x).

For Corollaries 5.3.1 and 5.7.1 the difficulty is that D.1 is not assumed; the replacement uses finiteness of SSS and J∗>−∞J^*>-\inftyJ∗>−∞ essentially, and both hypotheses are needed.

Formalization scope

Functions JJJ are S → EReal. The model, Assumptions I, I.1, I.2, D, D.1, D.2 and the epigraph sets used by Proposition 5.10 are the published definitions MonotoneDP_Increase_Model, MonotoneDP_Increase_Assumptions, MonotoneDP_Increase_Epigraph, MonotoneDP_Decrease_Model and MonotoneDP_Decrease_Assumptions. In them JπJ_\piJπ​ is the limit (limUnder) of the policy compositions, which exists under I or D; TkT^kTk is the iterate T^[k]; the composition (Tμ0⋯TμN−1)(J)(T_{\mu_0}\cdots T_{\mu_{N-1}})(J)(Tμ0​​⋯TμN−1​​)(J) applies TμN−1T_{\mu_{N-1}}TμN−1​​ first; the model requires SSS nonempty and J0>−∞J_0>-\inftyJ0​>−∞; "I.2 holds" is the existence of a scalar α\alphaα, and results that name the scalar take it as a parameter. An accumulation point of a sequence in CCC is a cluster point (MapClusterPt), not a limit; in Proposition 5.11(c) the conclusion includes that μ∗\mu^*μ∗ is admissible. J∗+εJ^*+\varepsilonJ∗+ε is computed pointwise in [−∞,∞][-\infty,\infty][−∞,∞] and equals +∞+\infty+∞ where J∗J^*J∗ does.

The book computes in [−∞,∞][-\infty,\infty][−∞,∞] with ∞−∞=∞\infty-\infty=\infty∞−∞=∞. Mathlib's EReal gives ⊤+⊥=⊥\top+\bot=\bot⊤+⊥=⊥, so the two mappings of Section 2.3 use the series' shared definitions, which follow the book's convention: the expected value on a countable WWW (expect, positive and negative parts summed in [0,∞][0,\infty][0,∞], +∞+\infty+∞ when the positive part diverges) and the sum inside the minimax supremum (badd, +∞+\infty+∞ when either summand is +∞+\infty+∞), both from BertsekasShreve.FiniteHorizon.SpecificModels. Propositions 5.14 and 5.15 quantify over every model whose HHH and J0J_0J0​ are these mappings; such models exist because the mappings are monotone.

A formalization in which JπJ_\piJπ​ or J∗J^*J∗ is introduced as an arbitrary fixed point of TTT, or in which (c) assumes that μ∗\mu^*μ∗ is a limit of μk∗\mu_k^*μk∗​, would make the goal trivial or different; both are ruled out by the definitions above.

Contributions welcome: proofs of the milestones, and reusable EReal infrastructure (limits of monotone sequences, series of nonnegative extended reals) that the Part I chapters of the book share.

Selected references

  • D. P. Bertsekas and S. E. Shreve, Stochastic Optimal Control: The Discrete-Time Case, Academic Press, 1978; reprinted Athena Scientific, 1996. Chapter 5, pp. 70–90. https://web.mit.edu/dimitrib/www/soc.html
  • D. P. Bertsekas, "Monotone mappings with application in dynamic programming", SIAM J. Control Optim. 15 (1977) 438–464. https://doi.org/10.1137/0315031
  • D. Blackwell, "Positive dynamic programming", Proc. Fifth Berkeley Symp. Math. Statist. Probab. 1 (1967) 415–418. https://projecteuclid.org/euclid.bsmsp/1200512999
  • R. E. Strauch, "Negative dynamic programming", Ann. Math. Statist. 37 (1966) 871–890. https://doi.org/10.1214/aoms/1177699369
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Convex OptimizationNumerical AnalysisOperations Research·Captain: mikedeng1

A Nonmonotone Line Search Technique and Its Application to Unconstrained Optimization II: R-Linear Convergence for Strongly Convex FunctionsResearch Paper

Motivation

Line search methods for unconstrained minimization of a smooth function f:Rn→Rf : \mathbb{R}^n \to \mathbb{R}f:Rn→R choose a direction dkd_kdk​ and a step αk>0\alpha_k > 0αk​>0 and set xk+1=xk+αkdkx_{k+1} = x_k + \alpha_k d_kxk+1​=xk​+αk​dk​. Classical rules (Armijo, Wolfe) insist that every step decrease fff. For quasi-Newton and conjugate gradient directions this monotonicity requirement often forces short steps, and nonmonotone line searches, which only ask for a decrease relative to some reference value built from past iterates, have been used since Grippo, Lampariello and Lucidi (1986) to let such methods take longer steps.

Zhang and Hager (SIAM J. Optim., 2004) replaced the maximum of recent function values used by Grippo et al. with a weighted average CkC_kCk​ of all past function values. The paper proves two results: global convergence to stationary points (the companion mission) and, the subject of this mission, R-linear convergence of the function values when fff is strongly convex.

Timeline:

  • 1986, Grippo, Lampariello, Lucidi: nonmonotone line search based on the maximum of the last MMM function values; global convergence.
  • 2002, Dai: R-linear convergence of the max-based scheme for strongly convex fff.
  • 2004, Zhang and Hager: the averaged reference value CkC_kCk​; global convergence (Theorem 2.2) and R-linear convergence for strongly convex fff (Theorem 3.1).

Setting

Fix parameters 0≤ηmin⁡≤ηmax⁡≤10 \le \eta_{\min} \le \eta_{\max} \le 10≤ηmin​≤ηmax​≤1, 0<δ<σ<1<ρ0 < \delta < \sigma < 1 < \rho0<δ<σ<1<ρ and μ>0\mu > 0μ>0. Write gk=∇f(xk)g_k = \nabla f(x_k)gk​=∇f(xk​) and ∇f(x)d=⟨∇f(x),d⟩\nabla f(x)d = \langle \nabla f(x), d\rangle∇f(x)d=⟨∇f(x),d⟩. The Nonmonotone Line Search Algorithm (NLSA) keeps weights QkQ_kQk​ and reference values CkC_kCk​:

Q0=1,  Qk+1=ηkQk+1,C0=f(x0),  Ck+1=ηkQkCk+f(xk+1)Qk+1,Q_0 = 1,\ \ Q_{k+1} = \eta_k Q_k + 1,\qquad C_0 = f(x_0),\ \ C_{k+1} = \frac{\eta_k Q_k C_k + f(x_{k+1})}{Q_{k+1}},Q0​=1,  Qk+1​=ηk​Qk​+1,C0​=f(x0​),  Ck+1​=Qk+1​ηk​Qk​Ck​+f(xk+1​)​,

with ηk∈[ηmin⁡,ηmax⁡]\eta_k \in [\eta_{\min}, \eta_{\max}]ηk​∈[ηmin​,ηmax​] chosen freely at each step. A step αk\alpha_kαk​ is accepted either by the nonmonotone Wolfe conditions

f(xk+αkdk)≤Ck+δαkgkTdk,∇f(xk+αkdk)dk≥σgkTdk,f(x_k + \alpha_k d_k) \le C_k + \delta\alpha_k g_k^{\mathsf T} d_k,\qquad \nabla f(x_k + \alpha_k d_k) d_k \ge \sigma g_k^{\mathsf T} d_k,f(xk​+αk​dk​)≤Ck​+δαk​gkT​dk​,∇f(xk​+αk​dk​)dk​≥σgkT​dk​,

or by the nonmonotone Armijo rule αk=αˉkρhk\alpha_k = \bar\alpha_k \rho^{h_k}αk​=αˉk​ρhk​, where αˉk>0\bar\alpha_k > 0αˉk​>0 is a trial step and hkh_khk​ is the largest integer such that the first inequality holds and αk≤μ\alpha_k \le \muαk​≤μ. With ηk=0\eta_k = 0ηk​=0 one recovers the monotone rules.

The direction assumption asks for constants c1,c2>0c_1, c_2 > 0c1​,c2​>0 with gkTdk≤−c1∥gk∥2g_k^{\mathsf T} d_k \le -c_1\|g_k\|^2gkT​dk​≤−c1​∥gk​∥2 and ∥dk∥≤c2∥gk∥\|d_k\| \le c_2\|g_k\|∥dk​∥≤c2​∥gk​∥. The function fff is strongly convex with constant γ>0\gamma > 0γ>0 if

f(x)≥f(y)+∇f(y)(x−y)+12γ∥x−y∥2for all x,y.f(x) \ge f(y) + \nabla f(y)(x - y) + \frac{1}{2\gamma}\|x - y\|^2\quad\text{for all } x, y.f(x)≥f(y)+∇f(y)(x−y)+2γ1​∥x−y∥2for all x,y.

Let x∗x^*x∗ be the minimizer, L={x:f(x)≤f(x0)}\mathcal L = \{x : f(x) \le f(x_0)\}L={x:f(x)≤f(x0​)}, dmax⁡=sup⁡k∥dk∥d_{\max} = \sup_k\|d_k\|dmax​=supk​∥dk​∥, and Lˉ\bar{\mathcal L}Lˉ the set of points within distance μdmax⁡\mu d_{\max}μdmax​ of L\mathcal LL.

Formalization targets

Goal: Theorem 3.1

Let fff be strongly convex with minimizer x∗x^*x∗, let ∇f\nabla f∇f be Lipschitz continuous on bounded sets, let ηmax⁡<1\eta_{\max} < 1ηmax​<1, let the directions satisfy the direction assumption at every iteration, and let αk≤μ\alpha_k \le \muαk​≤μ for all kkk. Then there is θ∈(0,1)\theta \in (0,1)θ∈(0,1) with

f(xk)−f(x∗)≤θk(f(x0)−f(x∗))for each k.f(x_k) - f(x^*) \le \theta^k\big(f(x_0) - f(x^*)\big)\quad\text{for each } k.f(xk​)−f(x∗)≤θk(f(x0​)−f(x∗))for each k.

The goal fixes no value of θ\thetaθ: it asserts only the existence of a linear rate.

Milestones

In the paper's order of use:

  1. Lemma 1.1: f(xk)≤Ck≤Akf(x_k) \le C_k \le A_kf(xk​)≤Ck​≤Ak​ when gkTdk≤0g_k^{\mathsf T}d_k \le 0gkT​dk​≤0 for each kkk.
  2. Ck+1≤CkC_{k+1} \le C_kCk+1​≤Ck​, so all iterates lie in L\mathcal LL.
  3. (3.4): f(x)−f(x∗)≤γ∥∇f(x)∥2f(x) - f(x^*) \le \gamma\|\nabla f(x)\|^2f(x)−f(x∗)≤γ∥∇f(x)∥2.
  4. (2.15): Qk+1≤1/(1−ηmax⁡)Q_{k+1} \le 1/(1 - \eta_{\max})Qk+1​≤1/(1−ηmax​).
  5. (3.6): f(xk+1)≤Ck−β∥gk∥2f(x_{k+1}) \le C_k - \beta\|g_k\|^2f(xk+1​)≤Ck​−β∥gk​∥2, with
β=min⁡{δμc1ρ, 2δ(1−δ)c12Lρc22, δ(1−σ)c12Lc22}.\beta = \min\left\{\frac{\delta\mu c_1}{\rho},\ \frac{2\delta(1-\delta)c_1^2}{L\rho c_2^2},\ \frac{\delta(1-\sigma)c_1^2}{Lc_2^2}\right\}.β=min{ρδμc1​​, Lρc22​2δ(1−δ)c12​​, Lc22​δ(1−σ)c12​​}.
  1. (3.7): ∥gk+1∥≤b∥gk∥\|g_{k+1}\| \le b\|g_k\|∥gk+1​∥≤b∥gk​∥, b=1+μc2Lb = 1 + \mu c_2 Lb=1+μc2​L.
  2. (3.8): the explicit contraction
Ck+1−f(x∗)≤θ (Ck−f(x∗)),θ=1−βb2(1−ηmax⁡),b2=1β+γb2.C_{k+1} - f(x^*) \le \theta\,(C_k - f(x^*)),\qquad \theta = 1 - \beta b_2(1-\eta_{\max}),\quad b_2 = \frac{1}{\beta + \gamma b^2}.Ck+1​−f(x∗)≤θ(Ck​−f(x∗)),θ=1−βb2​(1−ηmax​),b2​=β+γb21​.

Here LLL is a Lipschitz constant of ∇f\nabla f∇f on Lˉ\bar{\mathcal L}Lˉ. A further result on the same definitions is Theorem 3.2: if f(xk)f(x_k)f(xk​) converges R-linearly with ratio θ<ηmin⁡\theta < \eta_{\min}θ<ηmin​ inside a compact convex set on which fff is strongly convex, then the sufficient decrease condition with reference value CkC_kCk​ holds for all large kkk.

Significance

Theorem 3.1 shows that averaging past function values costs nothing in the rate: on strongly convex functions the nonmonotone method keeps the linear rate of monotone descent, for any direction sequence satisfying the direction assumption (steepest descent, L-BFGS with bounded condition numbers, and so on). Theorem 3.2 is the converse side: for weights close enough to 1, the averaged test eventually accepts the steps of any R-linearly convergent iteration of this kind. The paper contrasts this with the max-based test of Grippo et al.

These results are proved in the paper. As far as the platform catalogue shows, no line search with the Wolfe conditions or a nonmonotone reference value has been formalized. The only related item is a monotone backtracking gradient descent rate, which is a different theorem. Machine-checked proofs would give reusable Lean statements of the nonmonotone Wolfe and Armijo rules and of the averaged reference value. They would also give the explicit constants β\betaβ, bbb and θ\thetaθ in checked form, and a checked record of the repair of the printed statement described below.

Difficulty

The obvious argument would show that f(xk)−f(x∗)f(x_k) - f(x^*)f(xk​)−f(x∗) contracts at each step. It fails: the method is nonmonotone, and f(xk+1)f(x_{k+1})f(xk+1​) may exceed f(xk)f(x_k)f(xk​). The quantity that contracts is Ck−f(x∗)C_k - f(x^*)Ck​−f(x∗), and only CkC_kCk​ is controlled by the line search. The contraction must be derived by relating ∥gk∥2\|g_k\|^2∥gk​∥2 to Ck−f(x∗)C_k - f(x^*)Ck​−f(x∗) in two regimes, and the second regime needs a bound on f(xk+1)−f(x∗)f(x_{k+1}) - f(x^*)f(xk+1​)−f(x∗) from the gradient at the previous iterate. That bound requires the Lipschitz constant on a region containing every point the line search examines, which is why the region Lˉ\bar{\mathcal L}Lˉ and the step bound μ\muμ enter. In Lean, the sufficient decrease (3.6) also rests on the step-length lower bounds of Lemma 2.1 for both rules, including the integer-exponent Armijo rule with its maximality condition.

Formalization scope

Conventions:

  • The space is EuclideanSpace ℝ (Fin n), fff is ContDiff ℝ 1, and ∇f(x)d\nabla f(x)d∇f(x)d is ⟪gradient f x, d⟫_ℝ.
  • A run is infinite, uses one rule throughout (Wolfe or Armijo), and has arbitrary directions subject to the stated hypotheses.
  • QkQ_kQk​ and CkC_kCk​ are defined by recursion from the run.
  • The Armijo exponent ranges over Z\mathbb{Z}Z and "largest" is IsGreatest.
  • dmax⁡d_{\max}dmax​ and distances are taken in [0,∞][0,\infty][0,∞], so unbounded directions make Lˉ\bar{\mathcal L}Lˉ the whole space.
  • Strong convexity keeps the paper's constant γ\gammaγ, the inverse modulus.
  • "Lipschitz on bounded sets" means that every bounded set admits a Lipschitz constant for ∇f\nabla f∇f.

Repair of the printed statement: the paper's direction assumption holds only for all sufficiently large kkk, but Theorem 3.1 concludes (3.5) for each kkk, and its proof uses the assumption at every kkk. As printed the theorem is false: d0=0d_0 = 0d0​=0 with the Wolfe step α0=1\alpha_0 = 1α0​=1 gives x1=x0x_1 = x_0x1​=x0​, which violates (3.5) at k=1k = 1k=1 whenever x0≠x∗x_0 \ne x^*x0​=x∗. The goal therefore requires the direction assumption for every k≥0k \ge 0k≥0.

The step bound "there exists μ>0\mu > 0μ>0 with αk≤μ\alpha_k \le \muαk​≤μ" is stated with μ\muμ the algorithm's parameter. For the Armijo rule this holds by construction. The Wolfe rule does not use μ\muμ, so nothing is lost.

Trivializing formalizations are ruled out:

  • the printed hypotheses with "for each kkk" (false, as shown above);
  • a θ\thetaθ allowed to equal 1, or an unspecified constant factor in front of θk\theta^kθk (weaker than (3.5));
  • a globally Lipschitz gradient, or a step bound different from the μ\muμ used to build Lˉ\bar{\mathcal L}Lˉ.

A complete development needs:

  • the NLSA model and Lemma 1.1;
  • the step-length lower bounds of Lemma 2.1 for both rules (via the descent lemma for Lipschitz gradients);
  • the geometric bound on QkQ_kQk​;
  • boundedness of level sets of strongly convex functions.

The NLSA definitions are reusable by any later mission on nonmonotone line searches. Proofs of the milestones in any order are welcome, as are a proof of the counterexample to the printed statement and a proof that the platform theorem ConvexOptimization.strong_convexity_quadratic_lower_bound implies (3.4).

Selected references

  • H. Zhang, W. W. Hager, A Nonmonotone Line Search Technique and Its Application to Unconstrained Optimization, SIAM J. Optim. 14(4):1043–1056, 2004. https://doi.org/10.1137/S1052623403428208
  • L. Grippo, F. Lampariello, S. Lucidi, A Nonmonotone Line Search Technique for Newton's Method, SIAM J. Numer. Anal. 23(4):707–716, 1986. https://doi.org/10.1137/0723046
  • Y.-H. Dai, On the Nonmonotone Line Search, J. Optim. Theory Appl. 112:315–330, 2002 (reference [4] of the paper).
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Convex OptimizationOperations Research·Captain: naimengye

Robust Optimization X: Globalized Robust Counterparts of Uncertain Conic Problems (retired)Textbook

Motivation

A robust counterpart draws a hard line. Inside the uncertainty set the constraint must hold; outside it, nothing is promised — and in a real problem the perturbation does sometimes land outside. Chapter 3 answered this for linear problems with the globalized robust counterpart: keep the constraint exactly on the normal range Z\mathcal{Z}Z, and let it degrade at a controlled rate outside, proportionally to the distance from Z\mathcal{Z}Z. That mission published Proposition 3.2.1, which says the GRC of an uncertain linear inequality is equivalent to two ordinary robust counterparts.

Chapter 11 of Ben-Tal, El Ghaoui and Nemirovski, Robust Optimization (Princeton, 2009) does the same for conic constraints, and the move is not routine. The left hand side of a conic constraint is a vector, not a scalar, so "the constraint is violated by at most α dist(ζ,Z)\alpha \,\mathrm{dist}(\zeta, \mathcal{Z})αdist(ζ,Z)" has no direct meaning. What replaces it is the observation that a scalar inequality aTy−b≤0a^Ty - b \le 0aTy−b≤0 is the inclusion aTy−b∈Q≡R−a^Ty - b \in \mathbf{Q} \equiv \mathcal{R}_-aTy−b∈Q≡R−​, and that the violation is the distance from the left hand side to Q\mathbf{Q}Q. In that form the notion lifts verbatim, and the whole chapter follows.

Setting

Definition 11.1.2. Consider an uncertain convex constraint

[P0+∑ℓ=1LζℓPℓ]y−[p0+∑ℓ=1Lζℓpℓ] ∈ Q,(11.1.4)\Bigl[P^0 + \sum_{\ell=1}^L \zeta_\ell P^\ell\Bigr]y - \Bigl[p^0 + \sum_{\ell=1}^L \zeta_\ell p^\ell\Bigr] \ \in\ \mathbf{Q}, \tag{11.1.4}[P0+ℓ=1∑L​ζℓ​Pℓ]y−[p0+ℓ=1∑L​ζℓ​pℓ] ∈ Q,(11.1.4)

with Q⊆Rk\mathbf{Q} \subseteq \mathcal{R}^kQ⊆Rk nonempty, closed and convex. Let the perturbation space split as RL=RL1×⋯×RLS\mathcal{R}^L = \mathcal{R}^{L_1}\times\cdots\times\mathcal{R}^{L_S}RL=RL1​×⋯×RLS​, each factor carrying a normal range Zs\mathcal{Z}^sZs, a closed convex cone Ls\mathcal{L}^sLs and a norm ∥⋅∥s\|\cdot\|_s∥⋅∥s​, and let ∥⋅∥Q\|\cdot\|_{\mathbf{Q}}∥⋅∥Q​ be a norm on Rk\mathcal{R}^kRk. A candidate yyy is robust feasible with global sensitivities αs\alpha_sαs​ if

dist(P(y,ζ),Q) ≤ ∑s=1Sαs dist(ζs,Zs∣Ls)∀ ζ∈Z+L,(11.1.6)\mathrm{dist}\bigl(P(y,\zeta), \mathbf{Q}\bigr) \ \le\ \sum_{s=1}^S \alpha_s\, \mathrm{dist}(\zeta^s, \mathcal{Z}^s|\mathcal{L}^s) \qquad \forall\, \zeta \in \mathcal{Z} + \mathcal{L}, \tag{11.1.6}dist(P(y,ζ),Q) ≤ s=1∑S​αs​dist(ζs,Zs∣Ls)∀ζ∈Z+L,(11.1.6)

where dist(u,Q)=min⁡v∈Q∥u−v∥Q\mathrm{dist}(u,\mathbf{Q}) = \min_{v\in\mathbf{Q}}\|u - v\|_{\mathbf{Q}}dist(u,Q)=minv∈Q​∥u−v∥Q​ and dist(ζs,Zs∣Ls)=min⁡{∥ζs−v∥s:v∈Zs, ζs−v∈Ls}\mathrm{dist}(\zeta^s,\mathcal{Z}^s|\mathcal{L}^s) = \min\{\|\zeta^s - v\|_s : v \in \mathcal{Z}^s,\ \zeta^s - v \in \mathcal{L}^s\}dist(ζs,Zs∣Ls)=min{∥ζs−v∥s​:v∈Zs, ζs−v∈Ls}.

The object that makes the analysis work is the recessive cone of Q\mathbf{Q}Q (Definition 11.3.1): for any xˉ∈Q\bar x \in \mathbf{Q}xˉ∈Q,

Rec(Q)={h:xˉ+th∈Q  ∀t≥0},\mathrm{Rec}(\mathbf{Q}) = \{h : \bar x + th \in \mathbf{Q}\ \ \forall t \ge 0\},Rec(Q)={h:xˉ+th∈Q  ∀t≥0},

which does not depend on xˉ\bar xxˉ and is a nonempty closed convex cone.

Formalization targets

Goal — Proposition 11.3.3, the decomposition of the conic GRC

A candidate yyy is feasible for the GRC (11.1.6) if and only if it satisfies the system

(a)[P0+∑ℓζℓPℓ]y−[p0+∑ℓζℓpℓ]∈Q∀ζ∈Z=Z1×⋯×ZS,\text{(a)}\quad \Bigl[P^0 + \sum_\ell \zeta_\ell P^\ell\Bigr]y - \Bigl[p^0 + \sum_\ell \zeta_\ell p^\ell\Bigr] \in \mathbf{Q} \qquad \forall \zeta \in \mathcal{Z} = \mathcal{Z}^1\times \cdots\times\mathcal{Z}^S,(a)[P0+ℓ∑​ζℓ​Pℓ]y−[p0+ℓ∑​ζℓ​pℓ]∈Q∀ζ∈Z=Z1×⋯×ZS, (bs)dist(∑ℓ[Pℓy−pℓ](Esζs)ℓ, Rec(Q)) ≤ αs∀ζs∈Ls with ∥ζs∥s≤1,s=1,…,S.\text{(b}_s)\quad \mathrm{dist}\Bigl(\sum_{\ell} [P^\ell y - p^\ell](E_s\zeta^s)_\ell,\ \mathrm{Rec}(\mathbf{Q})\Bigr) \ \le\ \alpha_s \qquad \forall \zeta^s \in \mathcal{L}^s \text{ with } \|\zeta^s\|_s \le 1, \quad s = 1,\ldots,S .(bs​)dist(ℓ∑​[Pℓy−pℓ](Es​ζs)ℓ​, Rec(Q)) ≤ αs​∀ζs∈Ls with ∥ζs∥s​≤1,s=1,…,S.

Line (a) is the ordinary robust counterpart over the normal range. Each line (bs_ss​) is a bounded semi-infinite constraint — the perturbation ranges over the unit ball of a cone, not over an unbounded set — measuring the distance to the recessive cone rather than to Q\mathbf{Q}Q itself.

Supporting targets

(Def 11.3.1)Rec(Q) is independent of the base point and is a nonempty closed convex cone,\text{(Def 11.3.1)}\quad \mathrm{Rec}(\mathbf{Q}) \text{ is independent of the base point and is a nonempty closed convex cone},(Def 11.3.1)Rec(Q) is independent of the base point and is a nonempty closed convex cone, (Ex 11.3.2)Q bounded⇒Rec(Q)={0};Q a cone⇒Rec(Q)=Q;Rec{u:Au−b∈K}={h:Ah∈K},\text{(Ex 11.3.2)}\quad \mathbf{Q} \text{ bounded} \Rightarrow \mathrm{Rec}(\mathbf{Q}) = \{0\}; \quad \mathbf{Q} \text{ a cone} \Rightarrow \mathrm{Rec}(\mathbf{Q}) = \mathbf{Q}; \quad \mathrm{Rec}\{u : Au - b \in \mathbf{K}\} = \{h : Ah \in \mathbf{K}\},(Ex 11.3.2)Q bounded⇒Rec(Q)={0};Q a cone⇒Rec(Q)=Q;Rec{u:Au−b∈K}={h:Ah∈K}, (Prop 11.4.1)ΨΞ(M)=ΨΞ∗(M∗),Ψ(M)=max⁡{dist∥⋅∥F(Me,KF):e∈KE, ∥e∥E≤1}.\text{(Prop 11.4.1)}\quad \Psi_\Xi(\mathcal{M}) = \Psi_{\Xi_*}(\mathcal{M}^*), \qquad \Psi(\mathcal{M}) = \max\{\mathrm{dist}_{\|\cdot\|_F}(\mathcal{M}e, \mathbf{K}^F) : e \in \mathbf{K}^E,\ \|e\|_E \le 1\} .(Prop 11.4.1)ΨΞ​(M)=ΨΞ∗​​(M∗),Ψ(M)=max{dist∥⋅∥F​​(Me,KF):e∈KE, ∥e∥E​≤1}.

Significance

The goal is the chapter's structural result and it does exactly what Proposition 3.2.1 did one level down: it converts a single semi-infinite constraint over an unbounded perturbation set into a robust counterpart over the bounded normal range plus finitely many constraints over unit balls. That matters because every tractability result of Chapters 6 to 9 is about bounded uncertainty sets; without the decomposition none of them applies to a GRC.

The two halves of the decomposition are genuinely different objects. Line (a) is familiar. Lines (bs_ss​) are not: they measure the distance from a linear image of a ball to the recessive cone, and that is the function

Ψ(M)=max⁡{dist(Me,KF):e∈KE, ∥e∥E≤1}\Psi(\mathcal{M}) = \max\bigl\{\mathrm{dist}(\mathcal{M}e, \mathbf{K}^F) : e \in \mathbf{K}^E,\ \|e\|_E \le 1\bigr\}Ψ(M)=max{dist(Me,KF):e∈KE, ∥e∥E​≤1}

of §11.4, which is almost a norm on linear maps — nonnegative, positively homogeneous, subadditive, but neither symmetric nor strictly positive. Proposition 11.4.1 says this function is self-dual in the precise sense that Ψ\PsiΨ of a map with respect to a setup equals Ψ\PsiΨ of the adjoint map with respect to the dual setup: dual norms, dual cones, source and destination exchanged. That single identity is what lets every bound on Ψ\PsiΨ be computed on whichever side of the duality is tractable, and it is the engine of §11.4's tractability results.

The recessive cone results are the vocabulary. The one that earns its place is Rec{u:Au−b∈K}={h:Ah∈K}\mathrm{Rec}\{u : Au - b \in \mathbf{K}\} = \{h : Ah \in \mathbf{K}\}Rec{u:Au−b∈K}={h:Ah∈K}: the conic sets of this book are all of that form, so it says the recessive cone of every constraint in sight is computed by deleting the constant term.

Difficulty

The goal is an equivalence and the two directions are asymmetric.

Forward — GRC implies the system — is where the recessive cone is discovered rather than used. Fix ζˉ∈Z\bar\zeta \in \mathcal{Z}ζˉ​∈Z and ζs\zeta^sζs in the unit ball of Ls\mathcal{L}^sLs, and run ζi=ζˉ+i ζs\zeta_i = \bar\zeta + i\,\zeta^sζi​=ζˉ​+iζs out along the cone. The GRC bounds the distance to Q\mathbf{Q}Q by αsi\alpha_s iαs​i, so there are qi∈Qq_i \in \mathbf{Q}qi​∈Q with ∥P(y,ζˉ)+iΦ(y)Esζs−qi∥Q≤αsi\|P(y,\bar\zeta) + i\Phi(y)E_s\zeta^s - q_i\|_{\mathbf{Q}} \le \alpha_s i∥P(y,ζˉ​)+iΦ(y)Es​ζs−qi​∥Q​≤αs​i; the rescaled points qi/iq_i/iqi​/i stay bounded, and a limit point of them lies in Rec(Q)\mathrm{Rec}(\mathbf{Q})Rec(Q) by the limit characterization of the recessive cone. This is a genuine compactness argument, and it is why the recessive cone — not Q\mathbf{Q}Q — is what appears in lines (bs_ss​).

Backward is a decomposition-and-assemble: split each ζs=ζˉs+δs\zeta^s = \bar\zeta^s + \delta^sζs=ζˉ​s+δs with ζˉs∈Zs\bar\zeta^s \in \mathcal{Z}^sζˉ​s∈Zs, δs∈Ls\delta^s \in \mathcal{L}^sδs∈Ls realizing the distance, get a point of Q\mathbf{Q}Q from line (a) and a recession direction from each line (bs_ss​), and add them — using that Q+Rec(Q)⊆Q\mathbf{Q} + \mathrm{Rec}(\mathbf{Q}) \subseteq \mathbf{Q}Q+Rec(Q)⊆Q.

Proposition 11.4.1 is a chain of polarity identities: the polar of X+KX + KX+K is Xo∩(−K∗)X^o \cap (-K_*)Xo∩(−K∗​) for compact convex XXX containing the origin, the polar of a norm ball of radius α\alphaα is the dual-norm ball of radius 1/α1/\alpha1/α, and bipolarity. Each step is standard and the composition is not.

Formalization scope

Built on the module published by the third mission of this series, which carries the linear-case globalized robust counterpart and the dual cone. New here: norms as functions with their defining properties, dual norms, the two distances, the recessive cone, the conic GRC, and the function Ψ\PsiΨ.

Conventions committed to:

  • Norms are functions carrying an explicit predicate, not typeclass instances. Chapter 11 quantifies over arbitrary norms ∥⋅∥Q\|\cdot\|_{\mathbf{Q}}∥⋅∥Q​ and ∥⋅∥s\|\cdot\|_s∥⋅∥s​ on fixed coordinate spaces, and a statement must be able to range over them; a typeclass instance would fix one norm per type. IsNormOn bundles definiteness, absolute homogeneity and the triangle inequality, and nonnegativity follows from them.
  • The dual norm is a predicate, not a construction. ∥f∥∗=sup⁡{fTe:∥e∥≤1}\|f\|^* = \sup\{f^Te : \|e\| \le 1\}∥f∥∗=sup{fTe:∥e∥≤1} is asserted as a least upper bound of the set of values, so no supremum is taken on faith.
  • Distances are infima, not minima. The source writes min⁡\minmin, which is correct because the sets are closed; writing inf⁡\infinf avoids carrying an attainment proof into every statement, and agrees with the minimum whenever the source's own hypotheses hold.
  • The recessive cone is indexed by a base point. Definition 11.3.1 defines it at an arbitrary xˉ∈Q\bar x \in \mathbf{Q}xˉ∈Q and then asserts independence of the choice; that assertion is one of the published items, so the definition cannot presuppose it.
  • The perturbation is carried as a family of blocks, ζ=(ζ1,…,ζS)\zeta = (\zeta^1,\ldots,\zeta^S)ζ=(ζ1,…,ζS) with ζs∈RLs\zeta^s \in \mathcal{R}^{L_s}ζs∈RLs​, rather than as a single vector in RL\mathcal{R}^LRL together with the embeddings EsE_sEs​. This is the same data and removes the index bookkeeping of EsE_sEs​ from every statement.
  • Ψ\PsiΨ is a predicate on a real number, as for the dual norm and for the same reason.
  • §11.2 and §11.5 are out of scope: the definition of a tight safe approximation of a GRC and the worked analysis of nonexpansive dynamical systems. The first is a definition the chapter uses only to phrase §11.4's programme, the second an application.

Selected references

  • A. Ben-Tal, L. El Ghaoui and A. Nemirovski, Robust Optimization, Princeton University Press, 2009. Chapter 11, §§11.1, 11.3-11.4, pp. 281-294; Chapter 3 for the linear case. https://doi.org/10.1515/9781400831050
  • A. Ben-Tal, S. Boyd and A. Nemirovski, Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems, Mathematical Programming 107 (2006), 63-89. https://doi.org/10.1007/s10107-005-0679-z
  • R. T. Rockafellar, Convex Analysis, Princeton University Press, 1970. https://doi.org/10.1515/9781400873173
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Linear OptimizationOperations ResearchTheoretical Computer Science·Captain: ORdos

Smale's Ninth Problem: Strongly Polynomial Linear ProgrammingOpen Problem

The problem of solving linear inequalities

The linear feasibility problem takes a matrix A∈Rm×nA \in \mathbb{R}^{m\times n}A∈Rm×n and a vector b∈Rmb \in \mathbb{R}^mb∈Rm and asks whether the system of mmm linear inequalities in nnn real unknowns

{ x∈Rn∣Ax≥b }  ≠  ∅\{\,x \in \mathbb{R}^n \mid Ax \ge b\,\} \;\ne\; \emptyset{x∈Rn∣Ax≥b}=∅

has a solution. By linear programming duality, optimizing a linear objective over such a set reduces to feasibility, so this decision problem carries the whole complexity of linear programming.

What "polynomial time" means here depends on the machine. In the bit model the input is a list of rational numbers, its size LLL counts the bits of all numerators and denominators, and an algorithm is polynomial if it runs in time poly(m,n,L)\mathrm{poly}(m, n, L)poly(m,n,L). In the real-number model the input is a list of mn+mmn + mmn+m exact real numbers, each arithmetic operation (+,−,×,÷+, -, \times, \div+,−,×,÷), comparison, or memory move costs one unit, and a running time may only depend on mmm and nnn. An algorithm polynomial in this second sense is what Smale asks for; the closely related bit-model notion — poly(m,n)\mathrm{poly}(m,n)poly(m,n) arithmetic operations and polynomially bounded intermediate bit sizes — is called strongly polynomial. This mission fixes the real-number model precisely as a Blum–Shub–Smale (BSS) machine (Blum–Shub–Smale 1989): a finite program of instructions acting on a bi-infinite tape Z→R\mathbb{Z} \to \mathbb{R}Z→R of real registers — loads of arbitrary real machine constants, exact field arithmetic at fixed addresses, two-sided tape shifts, a sign-test branch, and accept/reject — with cost equal to the number of executed instructions. The convention that costs something: the program must be uniform, one finite instruction list serving every mmm, nnn, and every real instance. Uniformity is exactly what separates the question from point-location tricks available to non-uniform families of decision trees.

Why it matters

For optimization, the question is the last gap in the complexity of its central problem. Linear programs with combinatorial structure already admit strongly polynomial algorithms — Tardos (1986) solved every LP whose running time may depend on the entries of AAA but not on bbb or ccc, covering network flows and all {0,±1}\{0,\pm1\}{0,±1}-constraint problems — and a positive answer for general LP would extend that unification to the whole class, while explaining why simplex-type methods behave so well in practice (Spielman–Teng 2004).

For the theory of computation over the reals, the problem is a benchmark for what unit-cost exact arithmetic can do: it is Problem 9 on Smale's list of mathematical problems for the twenty-first century (Smale 1998), posed in the BSS model as the real-number analogue of the P-versus-NP style questions of that program, and it interacts with polyhedral combinatorics through the polynomial Hirsch conjecture: a polynomial bound on polytope diameters is a necessary condition for any polynomial pivot rule. A problem that calibrates both the practice of optimization and the foundations of real computation is a subject, not a special case.

The question and what is known

Question (Smale’s 9th).Is there a uniform BSS program deciding {x∣Ax≥b}≠∅ in poly(m,n) steps?\textbf{Question (Smale's 9th).}\quad \text{Is there a uniform BSS program deciding } \{x \mid Ax \ge b\} \ne \emptyset \text{ in } \mathrm{poly}(m,n) \text{ steps?}Question (Smale’s 9th).Is there a uniform BSS program deciding {x∣Ax≥b}=∅ in poly(m,n) steps?

The timeline splits into a negative branch (lower bounds against algorithm classes) and a positive branch (polynomial algorithms in weaker senses).

Lower bounds. Klee–Minty (1972) constructed a deformed cube on which Dantzig's largest-coefficient simplex rule visits all 2n2^n2n vertices; analogous exponential examples were later found for essentially every deterministic pivot rule, and randomized rules were driven to subexponential lower bounds by Friedmann–Hansen–Zwick (2011) — against upper bounds of exp⁡(O(nlog⁡n))\exp(O(\sqrt{n \log n}))exp(O(nlogn​)) from Kalai (1992) and Matoušek–Sharir–Welzl (1996). On the interior-point side, Allamigeon–Benchimol–Gaubert–Joswig (2018) showed by tropical methods that log-barrier path following is not strongly polynomial, and Allamigeon–Gaubert–Vandame (2022) extended this to every self-concordant barrier: no interior-point method of that class can settle the question positively.

Polynomial algorithms in weaker senses. Khachiyan (1979/80) proved LP feasibility is polynomial in the bit model via the ellipsoid method; Karmarkar (1984) and then Renegar (1988) brought interior-point methods to O(n L)O(\sqrt{n}\,L)O(n​L) iterations. Megiddo (1984) solved LP in linear time for every fixed dimension; Tardos (1986) gave the combinatorial strongly polynomial class; Vavasis–Ye (1996) and Dadush–Huiberts–Natura–Végh (2020) replaced the bit size by condition measures of AAA alone; Ye (2011) proved policy iteration strongly polynomial for fixed-discount Markov decision processes.

The central difficulty is visible in every positive result: each known iteration count is controlled by a scale-dependent quantity — bit length, condition number, barrier curvature — that is unbounded over the real instances with m,nm, nm,n fixed. The naive plan, "run the ellipsoid method and round", fails at its first step in the real model: the number of iterations needed to separate a feasible system from an infeasible one grows with the thinness of the feasible set, which is not a function of (m,n)(m, n)(m,n); no data-independent perturbation ε\varepsilonε exists when the data are arbitrary reals. All results above are proved on paper only; none has a machine-checked proof in the literature. What is already formalized, on this platform, is the substrate this mission builds on: the simplex iteration (mission Introduction to Linear Optimization IV), the ellipsoid method with its volume-halving correctness theorem (XI), interior-point path following (XII), and self-concordance with the barrier method (Convex Optimization VI).

A hierarchy of formalization targets

The mission's milestone list realizes this hierarchy in order; each level states what it deliberately leaves open.

Level 0 — the model works. A uniform BSS program decides one-variable feasibility in linear time:

∃ P, C  ∀m, ∀(a,b)∈Rm×Rm: P decides {x∈R∣aix≥bi ∀i}≠∅ within C(m+1) steps.\exists\,P,\,C\ \ \forall m,\ \forall (a,b) \in \mathbb{R}^m \times \mathbb{R}^m:\ P \text{ decides } \{x \in \mathbb{R} \mid a_i x \ge b_i\ \forall i\} \ne \emptyset \text{ within } C(m{+}1) \text{ steps}.∃P,C  ∀m, ∀(a,b)∈Rm×Rm: P decides {x∈R∣ai​x≥bi​ ∀i}=∅ within C(m+1) steps.

It fixes nothing about n≥2n \ge 2n≥2; its role is to certify that the machine model and cost semantics of the goal are non-vacuous.

Level 1 — the classical method is exponential. On the Klee–Minty cube, Dantzig's rule admits a run of

2n−1 pivots2^n - 1 \text{ pivots}2n−1 pivots

from the all-slack basis to the optimum. It leaves open all other pivot rules — extensions to further rules are welcome as strengthenings.

Level 2 — the bit model succeeds. Through the Cramer–Hadamard solution bound ∣xj∣≤n! Un|x_j| \le n!\,U^n∣xj​∣≤n!Un and the perturbation estimates, Khachiyan's theorem: for integer data bounded by UUU, every admissible ellipsoid run decides feasibility within

t∗≤106 (n+2)4(log⁡2U+n+2) iterations.t^* \le 10^6\,(n{+}2)^4(\log_2 U + n + 2) \text{ iterations}.t∗≤106(n+2)4(log2​U+n+2) iterations.

The generous constants are deliberate — only the polynomial order is load-bearing. This level leaves open exactly the dependence on log⁡U\log UlogU.

Level 3 — the goal (open). A uniform program with data-independent polynomial cost:

∃ P, C, d  ∀m,n,A,b: P decides {x∣Ax≥b}≠∅ within C (mn+m+2)d steps.\exists\,P,\,C,\,d\ \ \forall m, n, A, b:\ P \text{ decides } \{x \mid Ax \ge b\} \ne \emptyset \text{ within } C\,(mn + m + 2)^d \text{ steps}.∃P,C,d  ∀m,n,A,b: P decides {x∣Ax≥b}=∅ within C(mn+m+2)d steps.

The statement asserts only the shape of the truth — no hard-coded degree or constant — so it is stable under every future quantitative improvement. These levels do not exhaust the project: Tardos' combinatorial LP theorem, Ye's fixed-discount MDP result, and impossibility statements for restricted program classes in the style of Allamigeon–Gaubert–Vandame are natural later milestones.

Formalization scope

Polyhedra, simplex states, pivots, and ellipsoid runs are the platform's existing LinearOptimization development over Matrix (Fin m) (Fin n) ℝ, with {x∣Ax≥b}\{x \mid Ax \ge b\}{x∣Ax≥b} as polyhedron A b; algorithms with data-dependent iteration counts are formalized as run predicates, as in the parent missions. The new SmaleNinth definitions supply what the goal genuinely needs and the run-predicate style cannot express: a concrete inductive type of BSS programs with operational semantics and unit-cost accounting, the Klee–Minty data with Dantzig's rule, and the explicit Khachiyan constants. One convention closes the degenerate escape hatch: the goal quantifies over finite BSSProgram terms under the fixed encodeLP input convention — formalizing "algorithm" as an arbitrary function Rmn+m→Bool\mathbb{R}^{mn+m} \to \mathrm{Bool}Rmn+m→Bool would make the statement trivially true and is not the theorem. Division is totalized as x/0=0x/0 = 0x/0=0 and the branch test is xi≤0x_i \le 0xi​≤0; both are benign for the class of programs quantified over.

The machine module is infrastructure beyond this mission — any real-number complexity statement (other Smale problems, sums-of-square-roots, BSS-completeness) can reuse it, as can any pivot-rule lower bound reuse the Klee–Minty module. Formalization forces distinctions the literature leaves informal: which machine variant carries the unit-cost claim, how ties in Dantzig's rule are resolved, and which of the interchangeable Khachiyan constants each estimate actually needs. Welcome contributions include proofs of any milestone, alternative exponential instances for other pivot rules, sharper constants in the Khachiyan module, and ports of the known strongly polynomial special cases.

Selected references

  • L. Blum, M. Shub, S. Smale, On a theory of computation and complexity over the real numbers, Bull. AMS 21(1):1–46, 1989. DOI
  • S. Smale, Mathematical problems for the next century, Math. Intelligencer 20(2):7–15, 1998. DOI
  • V. Klee, G. J. Minty, How good is the simplex algorithm?, in Inequalities III, Academic Press, 1972, pp. 159–175.
  • L. G. Khachiyan, Polynomial algorithms in linear programming, USSR Comput. Math. Math. Phys. 20:53–72, 1980. DOI
  • N. Karmarkar, A new polynomial-time algorithm for linear programming, Combinatorica 4:373–395, 1984. DOI
  • J. Renegar, A polynomial-time algorithm, based on Newton's method, for linear programming, Math. Programming 40:59–93, 1988. DOI
  • É. Tardos, A strongly polynomial algorithm to solve combinatorial linear programs, Oper. Res. 34(2):250–256, 1986. DOI
  • N. Megiddo, Linear programming in linear time when the dimension is fixed, J. ACM 31(1):114–127, 1984. DOI
  • G. Kalai, A subexponential randomized simplex algorithm, STOC 1992. DOI
  • O. Friedmann, T. D. Hansen, U. Zwick, Subexponential lower bounds for randomized pivoting rules for the simplex algorithm, STOC 2011. DOI
  • D. A. Spielman, S.-H. Teng, Smoothed analysis of algorithms: why the simplex algorithm usually takes polynomial time, J. ACM 51(3):385–463, 2004. DOI
  • S. A. Vavasis, Y. Ye, A primal-dual interior point method whose running time depends only on the constraint matrix, Math. Programming 74:79–120, 1996. DOI
  • Y. Ye, The simplex and policy-iteration methods are strongly polynomial for the Markov decision problem with a fixed discount rate, Math. Oper. Res. 36(4):593–603, 2011. DOI
  • X. Allamigeon, P. Benchimol, S. Gaubert, M. Joswig, Log-barrier interior point methods are not strongly polynomial, SIAM J. Appl. Algebra Geom. 2(1):140–178, 2018. DOI
  • X. Allamigeon, S. Gaubert, N. Vandame, No self-concordant barrier interior point method is strongly polynomial, STOC 2022. arXiv
  • D. Dadush, S. Huiberts, B. Natura, L. A. Végh, A scaling-invariant algorithm for linear programming whose running time depends only on the constraint matrix, STOC 2020. arXiv
  • D. Bertsimas, J. N. Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997 (Chapters 3, 8, 9 — formalized in the Introduction to Linear Optimization mission series).
  • B. Korte, J. Vygen, Combinatorial Optimization: Theory and Algorithms, 6th ed., Springer, 2018, §4.1–4.5.
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Convex OptimizationOperations Research·Captain: Shuze Chen

Convex Optimization VI: Self-Concordance and the Barrier MethodTextbook

Why do interior-point methods solve convex programs in O(mlog⁡(1/ε))O(\sqrt{m}\log(1/\varepsilon))O(m​log(1/ε)) Newton steps? Nesterov and Nemirovskii's answer is self-concordance: a convex function whose third derivative is controlled by its second, ∣φ′′′(t)∣≤2 φ′′(t)3/2|\varphi'''(t)| \le 2\,\varphi''(t)^{3/2}∣φ′′′(t)∣≤2φ′′(t)3/2 along every line, admits a Newton analysis with absolute constants and no condition number — and the logarithmic barrier is self-concordant. This mission formalizes §9.6 and Chapter 11 of Boyd & Vandenberghe: the self-concordance calculus, the Newton-decrement analysis, the duality gap m/tm/tm/t along the central path, the per-centering work bound m(μ−1−log⁡μ)/γ+cm(\mu - 1 - \log\mu)/\gamma + cm(μ−1−logμ)/γ+c, and the crown result — with the aggressive schedule μ=1+1/m\mu = 1 + 1/\sqrt{m}μ=1+1/m​ the barrier method reaches duality gap ε\varepsilonε after

⌈m log⁡2(m/(t(0)ε))⌉\Bigl\lceil \sqrt{m}\,\log_2\bigl(m/(t^{(0)}\varepsilon)\bigr)\Bigr\rceil⌈m​log2​(m/(t(0)ε))⌉

centering steps, each of uniformly bounded Newton cost.

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Information TheoryProbabilityStatistics·Captain: mikedeng1

Distributionally Robust Optimization: A Review: Variation²/4 ≤ Hellinger ≤ Kullback–Leibler ≤ J-Divergence, so the J, KL and Hellinger Balls of Radius ε Lie in the Variation Ball of Radius 2√εResearch Paper

Motivation

Distributionally robust optimization evaluates a decision against a set of plausible probability laws rather than against a single estimated law. A common way to specify that set is to choose a nominal law P0P_0P0​ and allow every law PPP whose discrepancy from P0P_0P0​ is below a radius ε\varepsilonε. Different discrepancies produce different ambiguity sets, so comparing them tells a modeler what one constraint guarantees about another. Rahimian and Mehrotra collect such constructions in their survey and state a chain of comparisons among variation, Hellinger, Kullback–Leibler, and J-divergences in Lemma 5.4 (arXiv:1908.05659v1, pp. 31, 34–35). The chain connects four common ways of controlling model error without requiring a finite outcome space or a common density chosen in advance.

The source is the 2019 arXiv v1 preprint of a survey. Its proof of Lemma 5.4 cites earlier work rather than giving a full derivation. The preprint also prints an additional J-to-χ2\chi^2χ2 comparison that is false; this mission isolates the part that holds for every pair of probability measures. The distinction matters when an ambiguity set is used to certify a bound under a different divergence: an inclusion based on the false link can certify laws that are outside the intended set.

Setting

Let (Ξ,F)(\Xi,\mathcal F)(Ξ,F) be a measurable space, and let M(Ξ,F)\mathfrak M(\Xi,\mathcal F)M(Ξ,F) be its probability measures. Given P1,P2∈M(Ξ,F)P_1,P_2\in\mathfrak M(\Xi,\mathcal F)P1​,P2​∈M(Ξ,F), a ϕ\phiϕ-divergence Dϕ(P1,P2)\mathfrak D^\phi(P_1,P_2)Dϕ(P1​,P2​) compares their densities using a function ϕ:[0,∞)→[0,∞]\phi:[0,\infty)\to[0,\infty]ϕ:[0,∞)→[0,∞] with ϕ(1)=0\phi(1)=0ϕ(1)=0. The paper assumes ϕ\phiϕ is convex. To account for measures that are not mutually absolutely continuous, take the common dominating measure ν=P1+P2\nu=P_1+P_2ν=P1​+P2​ and write p=dP1/dνp=dP_1/d\nup=dP1​/dν and q=dP2/dνq=dP_2/d\nuq=dP2​/dν. The integrand is qϕ(p/q)q\phi(p/q)qϕ(p/q) when q>0q>0q>0 and pϕ′(∞)p\phi'(\infty)pϕ′(∞) when q=0q=0q=0, where ϕ′(∞)=lim⁡t→∞ϕ(t)/t\phi'(\infty)=\lim_{t\to\infty}\phi(t)/tϕ′(∞)=limt→∞​ϕ(t)/t; a point with p=q=0p=q=0p=q=0 contributes zero (§5.1.2, p. 31).

Table 1 gives four generators used here:

ϕv(t)=∣t−1∣,ϕh(t)=(t−1)2,ϕkl(t)=tlog⁡t−t+1,ϕj(t)=(t−1)log⁡t.\phi_v(t)=|t-1|,\qquad \phi_h(t)=(\sqrt t-1)^2,\qquad \phi_{\mathrm{kl}}(t)=t\log t-t+1,\qquad \phi_j(t)=(t-1)\log t.ϕv​(t)=∣t−1∣,ϕh​(t)=(t​−1)2,ϕkl​(t)=tlogt−t+1,ϕj​(t)=(t−1)logt.

The first two divergences are the full L1L^1L1 variation discrepancy and the unhalved squared Hellinger discrepancy. In particular, Dϕv=2dTV\mathfrak D^{\phi_v}=2d_{\mathrm{TV}}Dϕv​=2dTV​, where dTVd_{\mathrm{TV}}dTV​ is the total variation distance defined later in the paper. The J generator has ϕj(0)=+∞\phi_j(0)=+\inftyϕj​(0)=+∞, understood as its limit at zero; ϕkl(0)=1\phi_{\mathrm{kl}}(0)=1ϕkl​(0)=1 under 0log⁡0=00\log0=00log0=0. The recession slopes of the four generators, in the displayed order, are 1,1,+∞,+∞1,1,+\infty,+\infty1,1,+∞,+∞ (Table 1, p. 31; §5.1.3, p. 35).

For a nominal probability measure P0P_0P0​ and a nonnegative radius ε\varepsilonε, equation (5.9) defines the ambiguity ball

Pϕ(P0;ε)={P∈M(Ξ,F):Dϕ(P,P0)≤ε}.\mathcal P^\phi(P_0;\varepsilon) =\{P\in\mathfrak M(\Xi,\mathcal F):\mathfrak D^\phi(P,P_0)\le\varepsilon\}.Pϕ(P0​;ε)={P∈M(Ξ,F):Dϕ(P,P0​)≤ε}.

Formalization targets

The three milestone comparisons are the valid initial part of (5.10), for every P,P0∈M(Ξ,F)P,P_0\in\mathfrak M(\Xi,\mathcal F)P,P0​∈M(Ξ,F):

14(Dϕv(P,P0))2≤Dϕh(P,P0)≤Dϕkl(P,P0)≤Dϕj(P,P0).\frac14\bigl(\mathfrak D^{\phi_v}(P,P_0)\bigr)^2 \le\mathfrak D^{\phi_h}(P,P_0) \le\mathfrak D^{\phi_{\mathrm{kl}}}(P,P_0) \le\mathfrak D^{\phi_j}(P,P_0).41​(Dϕv​(P,P0​))2≤Dϕh​(P,P0​)≤Dϕkl​(P,P0​)≤Dϕj​(P,P0​).

The middle comparison is also stated in footnote 18. The mission goal is the corrected Lemma 5.4: it joins these three comparisons to the resulting valid part of (5.11), for every nominal P0P_0P0​ and radius ε\varepsilonε:

Pϕj(P0;ε)⊆Pϕkl(P0;ε)⊆Pϕh(P0;ε)⊆Pϕv(P0;2ε).\mathcal P^{\phi_j}(P_0;\varepsilon) \subseteq\mathcal P^{\phi_{\mathrm{kl}}}(P_0;\varepsilon) \subseteq\mathcal P^{\phi_h}(P_0;\varepsilon) \subseteq\mathcal P^{\phi_v}(P_0;2\sqrt\varepsilon).Pϕj​(P0​;ε)⊆Pϕkl​(P0​;ε)⊆Pϕh​(P0​;ε)⊆Pϕv​(P0​;2ε​).

Each inclusion has the direction induced by the preceding divergence inequality: a stronger divergence constraint gives a smaller ball. The first comparison retains the paper's factor 1/41/41/4, and the final ball retains its radius 2ε2\sqrt\varepsilon2ε​ (Lemma 5.4, p. 34).

Significance

The result allows a J-divergence or KL-divergence ambiguity model to carry a simultaneous bound in Hellinger and full variation divergence. A Hellinger radius ε\varepsilonε yields the explicit variation radius 2ε2\sqrt\varepsilon2ε​; this makes the scale change visible when comparing two models built with different discrepancies. Without a general-measure statement, a finite-outcome approximation does not itself cover continuous laws or pairs with a singular component.

The paper presents the inequalities as known and cites sources for them. A finite-alphabet TV–Hellinger–KL chain and a general-measure KL–affinity bound already have machine-checked results in the platform catalog. The work here is to formalize the four generators with one shared general-measure divergence, close the remaining inequalities in that representation, and connect them to the ambiguity-ball inclusions. This also provides reusable definitions for other distributionally robust models that use the same divergence convention.

Difficulty

Writing the density ratio only with respect to P0P_0P0​ loses the part of PPP singular to P0P_0P0​. That would change both variation and Hellinger divergence and make the stated chain an unreliable comparison of the paper's objects. At the opposite boundary, PPP can vanish on a set that P0P_0P0​ charges. There the J generator must be infinite, although a direct use of a total real logarithm at zero can assign it an incorrect finite value. These two edge cases make an apparently routine pointwise comparison insufficient for the full measurable-space theorem.

Formalization scope

Lean represents PPP and P0P_0P0​ as ProbabilityMeasure Ξ on an arbitrary MeasurableSpace Ξ. It computes Radon–Nikodym densities relative to P+P0P+P_0P+P0​, evaluates the divergence with an extended nonnegative Lebesgue integral, and represents both divergence values and radii in ENNReal. The generic definition computes the recession slope as a limsup; for the four Table 1 generators this is the limit in the paper. The formal ambiguity ball contains probability measures only. A top radius is allowed by the type; the finite nonnegative radii are the paper's intended model parameters. The generic operation does not take a convexity certificate, but the four named generators are the only ones used in the theorem.

The formalization must not turn a nondominated pair into divergence zero or assign ϕj(0)=0\phi_j(0)=0ϕj​(0)=0: either choice changes the claimed chain. It must also retain the full variation divergence, without the half factor used for total variation distance. The definitions of the common-measure divergence, its four generators, and the ambiguity ball are intended for reuse. Contributions establishing properties of the recession slopes, comparison lemmas on arbitrary measurable spaces, and their ambiguity-set consequences are within scope.

The paper's final inequality in (5.10), Dϕj≤Dϕca2\mathfrak D^{\phi_j}\le\mathfrak D^{\phi_{\mathrm{ca}^2}}Dϕj​≤Dϕca2​, and the associated first inclusion in (5.11) are removed. They are false even on a two-point space: with P0=(1/2,1/2)P_0=(1/2,1/2)P0​=(1/2,1/2) and P=(0,1)P=(0,1)P=(0,1), J-divergence is +∞+\infty+∞ while the order-two χ\chiχ-divergence is 111. Thus PPP lies in the latter ball of radius 111 but outside the J ball of that radius. The source's footnote 18 separately notes an error in a cited Hellinger–KL comparison; the corrected Hellinger–KL inequality is retained (pp. 34–35).

Selected references

  • H. Rahimian and S. Mehrotra, Distributionally Robust Optimization: A Review, arXiv preprint arXiv:1908.05659v1, 2019. Preprint.
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Convex OptimizationOperations Research·Captain: mikedeng1

Semidefinite Programming 1: If the Primal or the Dual Semidefinite Program Is Strictly Feasible Then p* = d*, and If Both Are, Both Optimal Sets Are NonemptyResearch Paper

Motivation

A semidefinite program minimizes a linear objective subject to a matrix being positive semidefinite. It includes linear programs and many matrix optimization problems, while allowing constraints on eigenvalues that ordinary coordinate inequalities cannot express. Vandenberghe and Boyd’s 1996 survey helped establish this form as a common language for control, combinatorial optimization, and numerical optimization. A useful dual certificate turns a feasible matrix into a lower bound on every feasible primal objective value. The question here is when that bound reaches the primal optimum and when optimizers exist.

The survey states the weak-duality identity on p. 64 and Theorem 3.1 across pp. 64–65. The theorem is a classical result, not an open conjecture. The paper points to Nesterov and Nemirovskii’s account of convex optimization and Rockafellar’s convex analysis for proofs. The published survey also gives a small feasible example with unequal optimal values, showing that some regularity condition is genuinely needed.

Setting

Let m,nm,nm,n be natural numbers. The data are a vector c∈Rmc\in\mathbb R^mc∈Rm and symmetric matrices F0,F1,…,Fm∈Rn×nF_0,F_1,\ldots,F_m\in\mathbb R^{n\times n}F0​,F1​,…,Fm​∈Rn×n. For a decision vector x∈Rmx\in\mathbb R^mx∈Rm, define the affine matrix map

F(x)=F0+∑i=1mxiFi.F(x)=F_0+\sum_{i=1}^{m}x_iF_i.F(x)=F0​+i=1∑m​xi​Fi​.

A symmetric matrix AAA is positive semidefinite, written A⪰0A\succeq0A⪰0, when vTAv≥0v^TAv\ge0vTAv≥0 for every vector vvv. It is positive definite, written A≻0A\succ0A≻0, when this inequality is strict for every nonzero vector. The primal problem minimizes cTxc^TxcTx over vectors with F(x)⪰0F(x)\succeq0F(x)⪰0. A vector satisfying this constraint is primal feasible. The dual problem maximizes −Tr⁡(F0Z)-\operatorname{Tr}(F_0Z)−Tr(F0​Z) over symmetric matrices Z⪰0Z\succeq0Z⪰0 satisfying Tr⁡(FiZ)=ci\operatorname{Tr}(F_iZ)=c_iTr(Fi​Z)=ci​ for each i=1,…,mi=1,\ldots,mi=1,…,m. A matrix satisfying these conditions is dual feasible.

Write p∗p^*p∗ for the infimum of primal objective values and d∗d^*d∗ for the supremum of dual objective values. These are extended-real optimal values: an infeasible primal has p∗=+∞p^*=+\inftyp∗=+∞, and an infeasible dual has d∗=−∞d^*=-\inftyd∗=−∞. An unbounded objective can give the other infinite value. The optimal sets XoptX_{\mathrm{opt}}Xopt​ and ZoptZ_{\mathrm{opt}}Zopt​ contain feasible points whose objective value equals p∗p^*p∗ and d∗d^*d∗, respectively. Equality of optimal values alone need not put a point in either set.

Formalization targets

The entry points are the trace identity and weak duality from p. 64 of the survey. For any primal feasible xxx and dual feasible ZZZ,

cTx+Tr⁡(ZF0)=Tr⁡(ZF(x))≥0,−Tr⁡(F0Z)≤cTx,d∗≤p∗.c^Tx+\operatorname{Tr}(ZF_0)=\operatorname{Tr}(ZF(x))\ge0, \qquad -\operatorname{Tr}(F_0Z)\le c^Tx, \qquad d^*\le p^*.cTx+Tr(ZF0​)=Tr(ZF(x))≥0,−Tr(F0​Z)≤cTx,d∗≤p∗.

The goal, Theorem 3.1, adds strict feasibility. The primal is strictly feasible if some xxx has F(x)≻0F(x)\succ0F(x)≻0. The dual is strictly feasible if some dual feasible ZZZ has Z≻0Z\succ0Z≻0. With either condition, and without a finiteness assumption on the optimal values,

p∗=d∗.p^*=d^*.p∗=d∗.

If both conditions hold, the theorem also asserts

Xopt≠∅andZopt≠∅.X_{\mathrm{opt}}\ne\varnothing \qquad\text{and}\qquad Z_{\mathrm{opt}}\ne\varnothing.Xopt​=∅andZopt​=∅.

The milestone list includes the paper’s positive-semidefinite trace fact, equations (30) and (31), weak duality of values, the finite-value primal strict-feasibility case already proved on the platform, and the complementary-slackness statements on p. 65. The listed finite case is a qualified part of Theorem 3.1; the goal retains its full extended-real statement.

Significance

An optimal dual matrix certifies a lower bound for the primal objective; when the values agree, it can certify optimality. Theorem 3.1 specifies a sufficient condition for that certificate to reach the exact value. Its last clause also ensures that both sides can supply actual optimizers when both strict-feasibility conditions hold. Complementary slackness then states that their positive semidefinite matrices have zero product. These statements connect the numerical practice of primal-dual semidefinite programming to the exact optimization problem in the survey.

The theorem is mathematically proved in the literature but is not yet formalized in full here. A published Prove2Me theorem proves a finite-value primal strict-feasibility case and dual attainment for a sign-reversed inequality convention; another proves self-duality of the positive-semidefinite cone. The remaining work includes the dual strict-feasibility case, infinite optimal values, the two-set attainment clause, and an audited bridge between the survey’s exact definitions and existing results. The definitions and weak-duality statements are reusable for other semidefinite programs whose constraints have the same affine matrix form.

Difficulty

Weak duality gives only d∗≤p∗d^*\le p^*d∗≤p∗. It does not produce a dual feasible matrix with objective approaching the primal optimum, and it does not show that either infimum or supremum is attained. The example on p. 65 has feasible primal and dual problems but p∗=0p^*=0p∗=0 and d∗=−1d^*=-1d∗=−1. Thus mere feasibility cannot replace positive definiteness in Theorem 3.1. Even equality of values by itself would leave the theorem’s existence claim unaddressed. The challenge is to cover both asymmetric strict-feasibility conditions and both optimizer sets while preserving the cases where an optimal value is infinite.

Formalization scope

Lean represents xxx by Fin m → ℝ and matrices by Matrix (Fin n) (Fin n) ℝ. The paper’s coefficients F1,…,FmF_1,\ldots,F_mF1​,…,Fm​ are stored as a zero-indexed family; F0F_0F0​ is a separate argument. Symmetric real matrices use IsHermitian. Mathlib’s PosSemidef and PosDef encode the matrix order and include symmetry. Dual equalities use Tr⁡(FiZ)\operatorname{Tr}(F_iZ)Tr(Fi​Z); cyclicity of trace identifies this with the paper’s Tr⁡(ZFi)\operatorname{Tr}(ZF_i)Tr(ZFi​). The objective cTxc^TxcTx uses the finite dot product.

Both optimal values use EReal, with an infimum or supremum over the image of the feasible set. This preserves the empty-set and unbounded-value conventions; a real-valued infimum or an infimum over all vectors would change the theorem. The goal states symmetric data explicitly, strict feasibility as positive definiteness, and both nonempty optimal sets under the conjunction of the two strict-feasibility conditions. It makes no linear-independence assumption on F1,…,FmF_1,\ldots,F_mF1​,…,Fm​: the paragraph on p. 63 uses that assumption only to reparameterize the dual. The natural-number dimensions include zero; the formal statements retain the same meanings in those edge cases. The survey’s printed “dual semidefinite program (1)” on p. 64 means dual problem (27), as identified by its displayed constraints and objective.

A complete development needs matrix trace algebra, positive-semidefinite matrix theory, extended-real order and suprema, and a suitable separation or convex-duality result. Contributions to the weak-duality and complementary-slackness lemmas, to the dual strict-feasibility case, and to the extended-real boundary cases are all useful. The local definitions of the primal and dual feasible sets, values, and optimal sets are intended as reusable interfaces.

Selected references

  • Lieven Vandenberghe and Stephen Boyd, Semidefinite Programming, SIAM Review 38(1), 49–95, 1996. DOI: 10.1137/1038003.
  • Yurii Nesterov and Arkadii Nemirovskii, Interior-Point Polynomial Algorithms in Convex Programming, SIAM, 1994, §4.2, cited by Vandenberghe and Boyd for Theorem 3.1. DOI: 10.1137/1.9781611970791.
  • R. Tyrrell Rockafellar, Convex Analysis, Princeton University Press, 1970, §30, cited by Vandenberghe and Boyd for Theorem 3.1. DOI: 10.1515/9781400873173.
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Linear OptimizationOperations Research·Captain: mikedeng1

Revenue Management Under a General Discrete Choice Model of Consumer Behavior 2: Nesting by Fare Order Holds Iff Purchase Probability Increases and Mixtures of Complete Sets Majorize Incomplete SetsResearch Paper

Motivation

Airline and hotel revenue-management systems have traditionally been built around nesting by fare order: classes are ranked by price, and as capacity runs short the cheapest open class is closed first, so that the set of open fares is always a top segment {1,…,k}\{1, \dots, k\}{1,…,k} of the fare ladder. This structure is what makes booking limits, protection levels and bid-price controls work, and it is optimal in the classical independent-demand model of Lee and Hersh (1993), where each customer wants one specific class.

When customers instead choose among the classes on offer (buying down to a cheaper fare, or not buying at all when their preferred fare is closed), the optimal policy need not be nested by fare order. Talluri and van Ryzin (2001 working paper; Management Science 2004) formulate single-resource capacity control under a general discrete choice model and ask which choice models still have optimal policies nested by fare order. Their Theorem 2 answers this with a characterization in terms of the choice probabilities alone. The paper's later sections use it to show that the independent-demand and multinomial-logit models have the property; the mission on the multinomial-logit model in this series builds on that.

Setting

There are nnn fare products N={1,…,n}N = \{1, \dots, n\}N={1,…,n}, indexed so that r1≥r2≥⋯≥rn≥0r_1 \ge r_2 \ge \dots \ge r_n \ge 0r1​≥r2​≥⋯≥rn​≥0. A choice model assigns to every offer set S⊆NS \subseteq NS⊆N and product jjj a probability Pj(S)≥0P_j(S) \ge 0Pj​(S)≥0 that an arriving customer buys jjj when SSS is offered, with Pj(S)=0P_j(S) = 0Pj​(S)=0 for j∉Sj \notin Sj∈/S and purchase probability Q(S)=∑j∈SPj(S)≤1Q(S) = \sum_{j \in S} P_j(S) \le 1Q(S)=∑j∈S​Pj​(S)≤1; the remainder P0(S)=1−Q(S)P_0(S) = 1 - Q(S)P0​(S)=1−Q(S) is the probability of no purchase.

A set is complete if it has the form Ak={1,…,k}A_k = \{1, \dots, k\}Ak​={1,…,k}, k=0,1,…,nk = 0, 1, \dots, nk=0,1,…,n (with A0=∅A_0 = \emptysetA0​=∅), and incomplete otherwise. For values x1≥x2≥⋯≥xnx_1 \ge x_2 \ge \dots \ge x_nx1​≥x2​≥⋯≥xn​ (in the dynamic program, xj=rj−vx_j = r_j - vxj​=rj​−v for a marginal value of capacity vvv), consider the static problem

max⁡S⊆N∑j=1nxjPj(S).(9)\max_{S \subseteq N} \sum_{j=1}^n x_j P_j(S). \tag{9}S⊆Nmax​j=1∑n​xj​Pj​(S).(9)

The choice model has the nesting-by-fare-order property (Definition 4) if (i) QQQ is increasing, Q(S)≤Q(T)Q(S) \le Q(T)Q(S)≤Q(T) for S⊆TS \subseteq TS⊆T, and (ii) for every x1≥⋯≥xnx_1 \ge \dots \ge x_nx1​≥⋯≥xn​, problem (9) has an optimal solution that is complete. For convex weights α0,…,αn\alpha_0, \dots, \alpha_nα0​,…,αn​ write Pˉj(α)=∑k=0nαkPj(Ak)\bar P_j(\alpha) = \sum_{k=0}^n \alpha_k P_j(A_k)Pˉj​(α)=∑k=0n​αk​Pj​(Ak​) for the purchase probabilities of the corresponding randomized mixture of complete sets.

Formalization targets

Goal: Theorem 2 (p. 19)

The choice model has the nesting-by-fare-order property if and only if QQQ is increasing and, for every incomplete set TTT, there are convex weights α\alphaα such that

∑j=1iPˉj(α)≥∑j=1iPj(T)(i=1,…,n−1),∑j=1nPˉj(α)=∑j=1nPj(T).\sum_{j=1}^i \bar P_j(\alpha) \ge \sum_{j=1}^i P_j(T) \quad (i = 1, \dots, n-1), \qquad \sum_{j=1}^n \bar P_j(\alpha) = \sum_{j=1}^n P_j(T).j=1∑i​Pˉj​(α)≥j=1∑i​Pj​(T)(i=1,…,n−1),j=1∑n​Pˉj​(α)=j=1∑n​Pj​(T).

That is, some mixture of complete sets majorizes (P1(T),…,Pn(T))(P_1(T), \dots, P_n(T))(P1​(T),…,Pn​(T)) in fare order. Both directions are part of the goal, and the right-hand side contains no optimization over xxx.

Milestones (the paper's proof, in order)

  1. Condition (ii) of Definition 4 holds iff, for every incomplete TTT, the linear system (10)–(11) — values x1≥⋯≥xnx_1 \ge \dots \ge x_nx1​≥⋯≥xn​ and a scalar uuu with u<∑j∈TxjPj(T)u < \sum_{j \in T} x_j P_j(T)u<∑j∈T​xj​Pj​(T) and ∑j∈AkxjPj(Ak)≤u\sum_{j \in A_k} x_j P_j(A_k) \le u∑j∈Ak​​xj​Pj​(Ak​)≤u for all kkk — has no solution (p. 20).
  2. For one set TTT: (10)–(11) has no solution iff the dual system in (α,z)(\alpha, z)(α,z) is solvable (Farkas' lemma, p. 20).
  3. For one set TTT: eliminating zzz, the dual system is solvable iff the prefix-sum conditions above hold (pp. 20–21).
  4. A mixture satisfying the prefix-sum conditions earns at least as much as TTT in (9) for every x1≥⋯≥xnx_1 \ge \dots \ge x_nx1​≥⋯≥xn​ (pp. 19–20).

Companions

The paper remarks (p. 21) that the proof never uses completeness: the same characterization holds for any specified family of offer sets F1,…,FmF_1, \dots, F_mF1​,…,Fm​ in place of the complete sets. Example 2 (pp. 18–19) gives a three-product model, arising from a mixture of two customer types, in which the incomplete set {1,3}\{1, 3\}{1,3} is the unique maximizer of (9) at x=(400,100,50)x = (400, 100, 50)x=(400,100,50), so the property fails.

Significance

Theorem 2 turns a statement quantified over all value vectors xxx and all 2n2^n2n offer sets into a finite collection of linear feasibility problems, one per incomplete set, involving only the choice probabilities. Combined with the paper's Theorem 1 (the optimal policy offers nondominated sets, nested in capacity and time), it gives a checkable criterion for when a nested-by-fare-order booking-limit or bid-price policy is optimal under customer choice. The paper uses it to verify the property for the independent-demand model (Proposition 5) and the multinomial-logit model (Proposition 6), and the p. 21 remark makes it a tool to test conjectures that optimal offer sets come from another structured family.

The result is proved in the paper; the mission's contribution is a machine-checked version of the characterization and of each proof step, which are the reusable pieces for the follow-up mission on the multinomial-logit model. Farkas' lemma in inequality form is already formalized on the platform (LinearOptimization.farkas_inequality_form, referenced here); the theorem of this mission is not.

Difficulty

The argument is short on paper but the bookkeeping is where the content sits. The reduction of Definition 4(ii) to infeasibility of (10)–(11) needs care with ties: (9) only needs some complete optimum, so the system asks that TTT beat every complete set strictly, not that TTT be the unique optimum. The dual system must then be matched exactly to the primal: the multiplier of the ordering constraint xj≥xj+1x_j \ge x_{j+1}xj​≥xj+1​ enters two adjacent equations, the boundary multipliers z0z_0z0​ and znz_nzn​ are fixed at zero, and the inhomogeneous constraint on uuu is what forces ∑kαk=1\sum_k \alpha_k = 1∑k​αk​=1. A naive application of Farkas' lemma to the strict system, without homogenizing in uuu, gives the wrong normalization. The boundary case j=nj = nj=n is what produces the equality of totals rather than a further inequality, and the fare order of xxx is the only link between the prefix-sum conditions and revenue.

Formalization scope

Products are Fin n (product jjj is the element j−1j - 1j−1), offer sets are Finset (Fin n), probabilities are real. The choice-model axioms are the platform definition RevenueManagement.IsChoiceModel (Pj(S)≥0P_j(S) \ge 0Pj​(S)≥0 and Q(S)≤1Q(S) \le 1Q(S)≤1), reused by reference, together with the model's own standing convention Pj(S)=0P_j(S) = 0Pj​(S)=0 for j∉Sj \notin Sj∈/S (SupportedOn), which is needed because Pˉj\bar P_jPˉj​ and the totals sum over all products. The order x1≥⋯≥xnx_1 \ge \dots \ge x_nx1​≥⋯≥xn​ is Antitone x. The maximum in (9) is over all subsets of NNN.

Complete sets are AkA_kAk​ for k=0,…,nk = 0, \dots, nk=0,…,n, so A0=∅A_0 = \emptysetA0​=∅ is complete and the weights α\alphaα live on n+1n + 1n+1 sets. The page indexes the weights by k=1,…,nk = 1, \dots, nk=1,…,n; with A0A_0A0​ included the property is the one the paper's applications need (for the multinomial-logit model and all xj<0x_j < 0xj​<0 the unique optimum of (9) is ∅\emptyset∅), and the family companion contains the page's literal k=1,…,nk = 1, \dots, nk=1,…,n version as an instance. The prefix conditions are stated for i=0,…,n−1i = 0, \dots, n - 1i=0,…,n−1, where i=0i = 0i=0 is trivial.

A formalization that put an optimization over xxx on the right-hand side of the goal, or dropped condition (i) from either side, would be a restatement rather than the characterization; the goal's right-hand side mentions only the choice probabilities.

The development needs finite sums over Fin n, and a Farkas lemma (available on the platform). Proofs of the milestones and of the companions are welcome individually; the family version of the characterization is reusable for any conjectured family of optimal offer sets.

Selected references

  • K. Talluri, G. van Ryzin, Revenue management under a general discrete choice model of consumer behavior, working paper, October 21, 2001 (UPF Economics Working Paper 533); published in Management Science 50(1):15–33, 2004. https://doi.org/10.1287/mnsc.1030.0147
  • T. C. Lee, M. Hersh, A model for dynamic airline seat inventory control with multiple seat bookings, Transportation Science 27(3):252–265, 1993. https://doi.org/10.1287/trsc.27.3.252
  • A. W. Marshall, I. Olkin, B. C. Arnold, Inequalities: Theory of Majorization and Its Applications, 2nd ed., Springer, 2011. https://doi.org/10.1007/978-0-387-68276-1
  • K. Talluri, G. van Ryzin, The Theory and Practice of Revenue Management, Kluwer, 2004, §2.6.2. https://doi.org/10.1007/b139000
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Linear OptimizationOperations Research·Captain: mikedeng1

A Linear Programming Approach to the Cutting-Stock Problem: If No Slack and No Knapsack Pattern Prices Out, the Current Basic Solution Is a Minimum of the Cutting-Stock LPResearch Paper

Motivation

A cutting-stock shop receives orders for pieces of several lengths and cuts them from a limited menu of longer stock lengths. Each stock length has a cost. The shop can repeat any cutting pattern, so the central optimization question is which patterns meet the demand at least cost. The direct linear program has a variable for every possible pattern. Even a modest menu of piece lengths can yield too many columns to list before optimization begins. Gilmore and Gomory's 1961 article addresses this large-column obstacle by testing whether an as-yet-unlisted pattern could lower the cost of a current basic solution.

The article studies the linear programming relaxation: cutting activities may have nonnegative real weights rather than integer repetition counts. It does not claim that the resulting fractional optimum is always an integer cutting plan. Its worked example happens to have an integer optimum of cost 170; the authors explicitly note that this integrality is fortuitous (Gilmore and Gomory 1961, p. 858). The target here is the exact stopping condition for the relaxation.

Setting

An instance has mmm ordered piece lengths ℓi\ell_iℓi​, demand Ni∈NN_i\in\mathbb NNi​∈N for each piece length, and kkk stock lengths LjL_jLj​ with real costs cjc_jcj​. A cutting pattern for stock jjj is a vector of nonnegative integer counts aia_iai​ with ∑iℓiai≤Lj\sum_i\ell_i a_i\le L_j∑i​ℓi​ai​≤Lj​. An activity consists of that stock choice and its fitting pattern. Its demand column is a=(ai)a=(a_i)a=(ai​) and its cost is cjc_jcj​. A surplus column for demand row iii has coefficient −1-1−1 in that row, zero elsewhere, and zero cost. The paper uses such columns to turn its demand inequalities into equations (Gilmore and Gomory 1961, p. 850, (1)–(3)).

A feasible solution assigns nonnegative real weights to finitely many activities and surplus columns so that activity output minus surplus equals NiN_iNi​ in every row. Its cost is the weighted sum of stock costs. A basis β\betaβ lists mmm columns with invertible coefficient matrix AAA and cost row CCC. The associated bordered matrix, demand column, tableau column, and multipliers are

B=(1−C0A),N′=(0,N1,…,Nm)T,Nˉ=B−1N′,bi=(B−1)0,i+1.B=\begin{pmatrix}1&-C\\0&A\end{pmatrix},\qquad N'=(0,N_1,\ldots,N_m)^T,\qquad \bar N=B^{-1}N',\qquad b_i=(B^{-1})_{0,i+1}.B=(10​−CA​),N′=(0,N1​,…,Nm​)T,Nˉ=B−1N′,bi​=(B−1)0,i+1​.

A feasible basis has nonnegative basic values, the last mmm entries of Nˉ\bar NNˉ. Those values on the basic columns, with zero on every other column, form the current basic solution. The first entry of Nˉ\bar NNˉ is its cost. These definitions follow the matrix and tableau of routine steps (2)–(4) (Gilmore and Gomory 1961, pp. 854–855).

Formalization targets

The goal is the stopping statement of step (4). If no nonbasic surplus column has a negative multiplier, and no available stock jjj has a fitting pattern satisfying ∑ibiai>cj\sum_i b_i a_i>c_j∑i​bi​ai​>cj​, then the current solution is feasible and minimizes cost across all feasible activity and surplus assignments:

(∀i with surplus i∉β, bi≥0)∧(∀j,a, ∑iℓiai≤Lj⇒∑ibiai≤cj)⟹cost⁡(zβ)=Nˉ0≤cost⁡(z)for every feasible z.\bigl(\forall i\text{ with surplus }i\notin\beta,\ b_i\ge0\bigr) \quad\land\quad \bigl(\forall j,a,\ \sum_i\ell_i a_i\le L_j\Rightarrow\sum_i b_i a_i\le c_j\bigr) \quad\Longrightarrow\quad \operatorname{cost}(z_\beta)=\bar N_0\le\operatorname{cost}(z) \quad\text{for every feasible }z.(∀i with surplus i∈/β, bi​≥0)∧(∀j,a, i∑​ℓi​ai​≤Lj​⇒i∑​bi​ai​≤cj​)⟹cost(zβ​)=Nˉ0​≤cost(z)for every feasible z.

The six milestones record the paper's ingredients: the first row of B−1B^{-1}B−1 and the meaning of Nˉ\bar NNˉ; the entering-column price test (4)–(5); the surplus-column test of step (3); the integer-pattern form (6)–(7); the maximum-pattern test; and the dynamic programming recurrence for Fs(x)F_s(x)Fs​(x) (Gilmore and Gomory 1961, pp. 852–855). The paper has no numbered theorems or lemmas; each milestone is drawn from a sentence or display on those pages.

Significance

The result makes a finite tableau a certificate for an optimization problem whose set of potential cutting activities is much larger than the current basis. A failed pricing search is meaningful only when it covers every fitting pattern for every stock length; the goal makes that full scope explicit. In the example, the final multipliers are (2,3,5)(2,3,5)(2,3,5) and the relevant knapsack maxima for stock lengths 555, 666, and 999 are 555, 777, and 101010, matching their stopping prices and the cost 170 (Gilmore and Gomory 1961, p. 858).

The mathematical argument is known from the 1961 article. This mission asks for a machine-checked Lean proof of its particular cutting-stock formulation, including the bounded-pattern search, bordered tableau, surplus columns, and global optimality conclusion. The proposal statements compile with proof placeholders; they are not already proved by those placeholders. Published general LP results are listed as references, but their finite-indexed formulations do not directly state the cutting-stock theorem.

Difficulty

Checking only the columns already in a tableau cannot establish optimality: an unlisted pattern might still fit a stock length and have a price greater than its cost. The article reduces this large search to an integer knapsack maximum for each stock length (Gilmore and Gomory 1961, pp. 852–853). Formalization must retain the distinction between a basis of mmm columns and the full collection of possible columns. Strict improvement also needs care at a degenerate basic solution. The paper directs zero-ratio pivots to a separate degeneracy procedure (Gilmore and Gomory 1961, p. 855); the sufficient directions of the pricing milestones therefore require positive basic values, while the goal's optimality direction does not.

Formalization scope

Lean indexes piece types from zero and uses a separate initial cost coordinate followed by the mmm demand coordinates for BBB. Thus the paper's (i+1)(i+1)(i+1)st bordered row corresponds to Lean demand index iii. Patterns are vectors in Nm\mathbb N^mNm; the zero pattern is included. A solution is a finitely supported real weighting of all activity and surplus columns. Global minimality quantifies over every such feasible weighting, including activities not in the current basis. No sign condition is imposed on stock costs or stock lengths in the goal; the goal is a conditional optimality statement and remains valid whenever its hypotheses hold.

The knapsack value Fs(x)F_s(x)Fs​(x) uses extended real numbers, giving −∞-\infty−∞ when no pattern fits, rather than an accidental real value from an empty supremum. The maximum-pattern milestone assumes positive piece lengths and nonnegative stock length, so the feasible set is finite and nonempty. The recursion milestone assumes positive lengths for all types through the newly added one; without the earlier positivity, a negative earlier length could let the new piece count exceed the displayed upper bound. The nondegeneracy hypotheses are confined to the sufficient directions of the three improvement milestones.

Reusable contributions include lemmas connecting the bordered inverse with CA−1C A^{-1}CA−1, finite-support linear program identities, and the integer knapsack recurrence. The source's rounding discussion, heuristic search, and under-specified anti-cycling device are outside this mission. An encoding that compares the current solution only with basis columns or generated columns would miss the paper's stopping claim.

Selected references

  • P. C. Gilmore and R. E. Gomory, A linear programming approach to the cutting-stock problem, Operations Research 9(6):849–859, 1961. DOI: 10.1287/opre.9.6.849.
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Dynamic ProgrammingLinear OptimizationOperations Research·Captain: mikedeng1

A Probabilistic Production and Inventory Problem: The Optimal Discounted Cost Is the Greatest Point of the Constraint Set (9) and the Unique Optimum of the Linear Program (P2)Research Paper

Motivation

A Markov decision process with finitely many states and actions and a discounted cost criterion can be solved in three classical ways: policy iteration, value iteration, and linear programming. The third goes back to F. d'Epenoux's paper A Probabilistic Production and Inventory Problem (Management Science 10(1), 1963, partly redrafted from a translation of d'Epenoux's 1960 article in the Revue Française de Recherche Opérationnelle), which showed that the optimal discounted cost of a stochastic production and inventory model is the solution of a single linear program. Together with Manne's linear program for the average-cost case (1960), it is the origin of the linear programming approach to dynamic programming, which underlies occupation-measure methods, constrained Markov decision processes, and approximate linear programming for large models.

Timeline:

  • 1957–1960. Bellman's Dynamic Programming (value iteration, the principle of optimality); Howard's policy iteration for average costs (1960); Manne's linear program for average costs (Linear programming and sequential decisions, Management Sci., 1960).
  • 1960/1963. d'Epenoux treats the discounted case: policy iteration and value iteration (Sections 2–4), then the linear program (P2)(P_2)(P2​) and its dual (Sections 5–6). Footnote 2 credits Guilbaud (1957) with an earlier observation of an equivalent linear program in another context.
  • 1967. Denardo, Contraction mappings in the theory underlying dynamic programming, places the linear programs in an abstract contraction framework.

Setting

The stock at the beginning of a period is i∈{0,1,…,σ}i \in \{0, 1, \dots, \sigma\}i∈{0,1,…,σ}, where σ\sigmaσ is the stock capacity. The decision is the potential jjj, the quantity available for the period (output plus initial stock), with i≤j≤σi \le j \le \sigmai≤j≤σ. Given the potential jjj, the stock at the end of the period is sss with probability pjsp_{js}pjs​; each row (pjs)s(p_{js})_s(pjs​)s​ is a probability vector. The expected cost of a period with initial stock iii and potential jjj is a real number dijd_{ij}dij​. Costs one period ahead are discounted by λ\lambdaλ, 0<λ<10 < \lambda < 10<λ<1.

A strategy is a map JJJ with i≤J(i)i \le J(i)i≤J(i) for every iii: the potential depends only on the current stock. It has the transition matrix (PJ)is=pJ(i)s(P_J)_{is} = p_{J(i)s}(PJ​)is​=pJ(i)s​ and the cost vector (dJ)i=diJ(i)(d_J)_i = d_{iJ(i)}(dJ​)i​=diJ(i)​. The cost of following JJJ forever is the solution uuu of (2), u=dJ+λPJuu = d_J + \lambda P_J uu=dJ​+λPJ​u. The optimal cost u∗u^*u∗ solves the fundamental equation (7),

ui∗=min⁡j≥i(dij+λ∑s=0σpjsus∗),i=0,…,σ.u^*_i = \min_{j \ge i}\Big( d_{ij} + \lambda \sum_{s=0}^{\sigma} p_{js} u^*_s \Big), \qquad i = 0, \dots, \sigma .ui∗​=j≥imin​(dij​+λs=0∑σ​pjs​us∗​),i=0,…,σ.

For a vector uuu put Uij=ui−λ∑spjsus−dijU_{ij} = u_i - \lambda \sum_s p_{js} u_s - d_{ij}Uij​=ui​−λ∑s​pjs​us​−dij​. The set AAA consists of the vectors satisfying the linear constraints (9), Uij≤0U_{ij} \le 0Uij​≤0 for all admissible pairs i≤ji \le ji≤j. The set BBB consists of the vectors with ∏j≥iUij=0\prod_{j \ge i} U_{ij} = 0∏j≥i​Uij​=0 for every iii.

Formalization targets

Goal: u∗=max⁡(u∈A)u^* = \max(u \in A)u∗=max(u∈A), and (P2)(P_2)(P2​)

The system (7) has a solution, and every solution u∗u^*u∗ is the greatest element of AAA:

u∗∈A,u≤u∗ componentwise for every u∈A.u^* \in A, \qquad u \le u^* \ \text{componentwise for every } u \in A .u∗∈A,u≤u∗ componentwise for every u∈A.

Moreover, for every weight vector ccc with all ci>0c_i > 0ci​>0 and ∑ici=1\sum_i c_i = 1∑i​ci​=1, u∗u^*u∗ is the unique optimal solution of

(P2)maximize (1−λ)∑iciuisubject to Uij≤0  (i≤j).(P_2) \qquad \text{maximize } (1-\lambda) \sum_i c_i u_i \quad \text{subject to } U_{ij} \le 0 \ \ (i \le j).(P2​)maximize (1−λ)i∑​ci​ui​subject to Uij​≤0  (i≤j).

Milestones

  1. Eq. (3). For a stochastic matrix PPP and 0<λ<10<\lambda<10<λ<1, I−λPI - \lambda PI−λP is invertible and (I−λP)−1=∑k≥0λkPk(I-\lambda P)^{-1} = \sum_{k \ge 0} \lambda^k P^k(I−λP)−1=∑k≥0​λkPk.
  2. Eq. (4). u−λPu≥0u - \lambda P u \ge 0u−λPu≥0 implies u≥0u \ge 0u≥0.
  3. Eq. (5). If moreover u−λPu≠0u - \lambda P u \ne 0u−λPu=0 and PPP is indecomposable, then ui>0u_i > 0ui​>0 for all iii.
  4. Eq. (7). (7) has a unique solution, the cost of an optimal strategy (referenced, Proved).
  5. Section 5. uuu solves (7) iff u∈A∩Bu \in A \cap Bu∈A∩B; the points of BBB are exactly the costs of strategies.
  6. Section 5. Every point of AAA lies below every point of BBB.
  7. Section 5. If every PJP_JPJ​ is indecomposable, u∗u^*u∗ is a strict vectorial maximum of AAA: u∈Au \in Au∈A, u≠u∗u \ne u^*u=u∗ imply ui<ui∗u_i < u^*_iui​<ui∗​ for all iii.

Significance

The result turns a fixed-point equation with a minimum in it into a linear program with 12(σ+1)(σ+2)\tfrac12(\sigma+1)(\sigma+2)21​(σ+1)(σ+2) linear constraints. Its consequences are the ones the paper draws in Section 6: the dual of (P2)(P_2)(P2​) has a probabilistic interpretation (discounted state–action frequencies), its optimal basic solutions are optimal strategies, and every linear programming algorithm becomes an algorithm for discounted dynamic programs. The uniqueness clause is what makes the weighted objective recover the whole cost vector; with a single objective ueu_eue​, as the paper notes, the optimum need not determine the complete optimal strategy when the states decompose into several groups.

The dynamic programming half of the paper (Sections 2–4: policy evaluation, policy iteration, value iteration) is already formalized and proved on the platform for the general finite discounted model, as Bertsekas, Dynamic Programming and Optimal Control, Prop. 7.3.1 (BertsekasDP.discounted_main_theorem); it enters this mission as a reference item, and the mission's model is an instance of the same published structure BertsekasSSPModel. The linear programming half is not formalized. Related items in other models are posed elsewhere: Bäuerle and Rieder's Theorem 7.5.9 (finite-state linear program in a measure-theoretic reward model, open) and Denardo's Programs I–II in an abstract contraction model; neither states the componentwise maximality of u∗u^*u∗ in AAA in this model.

Difficulty

The individual steps are short, but the goal combines several facts that are easy to state wrongly. The paper calls the invertibility of I−λPI-\lambda PI−λP and the positivity of its inverse "known and obvious"; in Lean they are statements about an arbitrary stochastic matrix over Fin m, for which Mathlib provides no default matrix norm, and the comparison of AAA with BBB depends on them. Uniqueness of the optimum of (P2)(P_2)(P2​) needs both strict positivity of the weights and the componentwise maximality; with a zero weight it fails. The obvious first idea for the strict maximum, that indecomposability of the optimal strategy's matrix alone suffices, is not the formalized statement: only the sufficient condition over all strategies is posed.

Formalization scope

Stock levels and potentials are Fin (σ + 1), 000-based. The kernel pjsp_{js}pjs​ is an arbitrary stochastic kernel indexed by the potential, and the costs dijd_{ij}dij​ are arbitrary reals; the paper's demand-driven kernel and its cost decomposition dij=d′(j−i)+∑npnd′′(i,j,n)d_{ij} = d'(j-i) + \sum_n p_n d''(i,j,n)dij​=d′(j−i)+∑n​pn​d′′(i,j,n) are an instance and are not built in, because the arguments of Sections 2–5 use only stochasticity (the paper itself remarks on p. 101 that its methods apply far beyond the inventory problem). Only admissible pairs i≤ji \le ji≤j enter AAA, BBB, the minimum in (7), and strategies. The discount is called lam in Lean. Equation (7) is the fixed-point equation of the Bellman operator BertsekasDiscountedBellmanOp of the model.

Explicit readings of the paper's phrases:

  • "u∗=max⁡(u∈A)u^* = \max(u \in A)u∗=max(u∈A)" is IsGreatest in the componentwise order.
  • "the complete solution" of (P2)(P_2)(P2​) is uniqueness of its optimal solution, for every admissible weight vector.
  • "u>0u > 0u>0" in (5) and "strict vectorial maximum" mean every component strictly positive, respectively strictly smaller.
  • "indecomposable" means irreducible: for all i,ki,ki,k some power PnP^nPn has (Pn)ik>0(P^n)_{ik} > 0(Pn)ik​>0. The weaker reading (one closed class plus transient states) makes (5) false.
  • "the points of the set BBB correspond to the costs associated with every possible strategy" is the equivalence between membership in BBB and solving (2) for some strategy.

Ruled out: defining u∗u^*u∗ as the optimum of the linear program, as a supremum of AAA, or as a limit (which would make the goal circular); assuming a solution of (7) without the existence conjunct; constraining also the inadmissible pairs j<ij < ij<i (which can exclude u∗u^*u∗ from AAA); and weakening the weights to ci≥0c_i \ge 0ci​≥0.

Not formalized: the demand-driven kernel, the finite-horizon recursion of Section 2, the monotone convergence remark of Section 4 (c), the count of strategies, the reformulations (P1)(P_1)(P1​) and (P3)(P_3)(P3​), and all of Section 6 (duality). Contributions welcome: proofs of the milestones and of the goal, and, as a follow-up mission, the dual programs of Section 6. The matrix facts (3)–(5) are stated for arbitrary stochastic matrices and are reusable beyond this mission.

Selected references

  • F. d'Epenoux, A Probabilistic Production and Inventory Problem, Management Science 10(1), 98–108, 1963. https://doi.org/10.1287/mnsc.10.1.98
  • A. S. Manne, Linear Programming and Sequential Decisions, Management Science 6(3), 259–267, 1960. https://doi.org/10.1287/mnsc.6.3.259
  • R. A. Howard, Dynamic Programming and Markov Processes, MIT Press and John Wiley, 1960.
  • R. Bellman, Dynamic Programming, Princeton University Press, 1957.
  • E. V. Denardo, Contraction Mappings in the Theory Underlying Dynamic Programming, SIAM Review 9(2), 165–177, 1967. https://doi.org/10.1137/1009030
  • D. P. Bertsekas, Dynamic Programming and Optimal Control, Vol. I, 3rd ed., Athena Scientific, 2005, Prop. 7.3.1.
  • N. Bäuerle and U. Rieder, Markov Decision Processes with Applications to Finance, Springer, 2011, Section 7.5. https://doi.org/10.1007/978-3-642-18324-9
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Convex OptimizationOperations Research·Captain: mikedeng1

Convex Optimization: Algorithms and Complexity II: For t ≥ 2n² log(R/r) the Ellipsoid Method Satisfies f(x_t) − min f ≤ (2BR/r)·exp(−t/(2n²))Textbook

Motivation

The ellipsoid method is the cutting-plane algorithm that settled the polynomial-time solvability of linear programming and, more generally, of convex optimization over any set that comes with an efficient separation oracle. It was introduced for convex minimization by Shor and by Yudin and Nemirovski in the 1970s, and Khachiyan used it in 1979 to give the first polynomial-time algorithm for linear programming. Grötschel, Lovász and Schrijver later turned it into the general equivalence between separation and optimization that underlies much of combinatorial optimization.

This mission is the second of a series formalizing S. Bubeck, Convex Optimization: Algorithms and Complexity (Foundations and Trends in Machine Learning 8(3–4), 2015; arXiv:1405.4980v2). Its goal is the convergence guarantee of the ellipsoid method, Theorem 2.4 (p. 250), together with the geometric lemma and the steps of the proof on which it rests.

Timeline:

  • 1976–1977: Yudin–Nemirovski and Shor introduce the method for convex minimization.
  • 1979: Khachiyan applies it to linear programming and obtains polynomial time.
  • 1981: Grötschel, Lovász and Schrijver derive the equivalence of separation and optimization.

Setting

Write Rn\mathbb R^nRn for the space of real nnn-vectors, with the dot product x⊤yx^\top yx⊤y. An ellipsoid is a set

E={x∈Rn:(x−c)⊤H−1(x−c)≤1},\mathcal E=\{x\in\mathbb R^n:(x-c)^\top H^{-1}(x-c)\le 1\},E={x∈Rn:(x−c)⊤H−1(x−c)≤1},

where c∈Rnc\in\mathbb R^nc∈Rn is its center and HHH is a symmetric positive definite matrix.

A convex body X⊂Rn\mathcal X\subset\mathbb R^nX⊂Rn is a compact convex set with non-empty interior. The objective fff is continuous and convex on X\mathcal XX with values in [−B,B][-B,B][−B,B], and r,R>0r,R>0r,R>0 are such that X\mathcal XX lies in the Euclidean ball E0\mathcal E_0E0​ of center c0c_0c0​ and radius RRR and contains some Euclidean ball of radius rrr. A subgradient of fff at x∈Xx\in\mathcal Xx∈X is a vector ggg with f(x)+g⊤(y−x)≤f(y)f(x)+g^\top(y-x)\le f(y)f(x)+g⊤(y−x)≤f(y) for all y∈Xy\in\mathcal Xy∈X.

The method starts from E0\mathcal E_0E0​, H0=R2InH_0=R^2\mathrm I_nH0​=R2In​. At step t≥0t\ge0t≥0 it asks for a vector wtw_twt​:

  • if ct∉Xc_t\notin\mathcal Xct​∈/X, a separating vector, with X⊂{x:(x−ct)⊤wt≤0}\mathcal X\subset\{x:(x-c_t)^\top w_t\le0\}X⊂{x:(x−ct​)⊤wt​≤0};
  • otherwise a subgradient of fff at ctc_tct​.

It then replaces Et\mathcal E_tEt​ by the ellipsoid Et+1\mathcal E_{t+1}Et+1​ given by

ct+1=ct−1n+1Htwtwt⊤Htwt,Ht+1=n2n2−1(Ht−2n+1Htwtwt⊤Htwt⊤Htwt).c_{t+1}=c_t-\frac1{n+1}\frac{H_tw_t}{\sqrt{w_t^\top H_tw_t}},\qquad H_{t+1}=\frac{n^2}{n^2-1}\Big(H_t-\frac2{n+1}\frac{H_tw_tw_t^\top H_t}{w_t^\top H_tw_t}\Big).ct+1​=ct​−n+11​wt⊤​Ht​wt​​Ht​wt​​,Ht+1​=n2−1n2​(Ht​−n+12​wt⊤​Ht​wt​Ht​wt​wt⊤​Ht​​).

After ttt iterations the output xtx_txt​ is the best of the queried centers that lie in X\mathcal XX.

Formalization targets

Goal: Theorem 2.4

For n≥2n\ge2n≥2 and every t≥2n2log⁡(R/r)t\ge 2n^2\log(R/r)t≥2n2log(R/r), t≥1t\ge1t≥1, some queried center lies in X\mathcal XX, and every output satisfies

f(xt)−min⁡x∈Xf(x)≤2BRrexp⁡(−t2n2).f(x_t)-\min_{x\in\mathcal X}f(x)\le\frac{2BR}{r}\exp\Big(-\frac{t}{2n^2}\Big).f(xt​)−x∈Xmin​f(x)≤r2BR​exp(−2n2t​).

Milestones

  1. The scalar inequality (1+1/n)2(1−1/n2)n−1≥exp⁡(1/n)(1+1/n)^2(1-1/n^2)^{n-1}\ge\exp(1/n)(1+1/n)2(1−1/n2)n−1≥exp(1/n) for n≥2n\ge2n≥2 (proof of Lemma 2.3, pp. 248–249).
  2. Lemma 2.3 (p. 247): for w≠0w\ne0w=0 the half-ellipsoid {x∈E0:w⊤(x−c0)≤0}\{x\in\mathcal E_0:w^\top(x-c_0)\le0\}{x∈E0​:w⊤(x−c0​)≤0} lies in an ellipsoid E\mathcal EE with
vol(E)≤exp⁡(−12n)vol(E0),\mathrm{vol}(\mathcal E)\le\exp\Big(-\frac1{2n}\Big)\mathrm{vol}(\mathcal E_0),vol(E)≤exp(−2n1​)vol(E0​),

and for n≥2n\ge2n≥2 the explicit ellipsoid (2.5)–(2.6) works. 3. The remark before Theorem 2.4 (p. 250): a point of X\mathcal XX can leave the current ellipsoid only at a step with ct∈Xc_t\in\mathcal Xct​∈X, and then its value exceeds f(ct)f(c_t)f(ct​). 4. Two steps reused from Theorem 2.1 (pp. 246–247): vol(Xε)=εnvol(X)\mathrm{vol}(\mathcal X_\varepsilon)=\varepsilon^n\mathrm{vol}(\mathcal X)vol(Xε​)=εnvol(X) for Xε=(1−ε)x∗+εX\mathcal X_\varepsilon=(1-\varepsilon)x^*+\varepsilon\mathcal XXε​=(1−ε)x∗+εX, and f≤f(x∗)+2εBf\le f(x^*)+2\varepsilon Bf≤f(x∗)+2εB on Xε\mathcal X_\varepsilonXε​.

Significance

Theorem 2.4 bounds the oracle complexity of the ellipsoid method: accuracy ε\varepsilonε needs O(n2log⁡(1/ε))O(n^2\log(1/\varepsilon))O(n2log(1/ε)) oracle calls. Each step costs O(n2)O(n^2)O(n2) arithmetic operations plus one oracle call. With the separation oracles of linear and semidefinite programs this gives polynomial overall complexity (p. 250). The rate depends on the instance only through log⁡(R/r)\log(R/r)log(R/r) and BBB, so the method needs no smoothness and no strong convexity. Lemma 2.3 is also the geometric step of the ellipsoid method for linear feasibility.

The result has a textbook proof. The work of this mission is to formalize it. The same update is published on the platform from Bertsimas and Tsitsiklis's Introduction to Linear Optimization (Theorem 8.1), with a proved volume factor of exp⁡(−1/(2(n+1)))\exp(-1/(2(n+1)))exp(−1/(2(n+1))). That factor is weaker than (2.4)'s exp⁡(−1/(2n))\exp(-1/(2n))exp(−1/(2n)) and does not give Theorem 2.4's constant. The sharper factor and the optimization version of the method (subgradient cuts, the output rule and the value bound) are not formalized on the platform.

Difficulty

There are two difficulties: Lemma 2.3 with the sharp constant, and the bookkeeping that turns per-step volume decrease into a value bound.

For the lemma, the volume of the explicit ellipsoid is (n/n2−1)n(n−1)/(n+1)\big(n/\sqrt{n^2-1}\big)^n\sqrt{(n-1)/(n+1)}(n/n2−1​)n(n−1)/(n+1)​ times that of E0\mathcal E_0E0​. Bounding it by exp⁡(−1/(2n))\exp(-1/(2n))exp(−1/(2n)) rather than by the cruder exp⁡(−1/(2(n+1)))\exp(-1/(2(n+1)))exp(−1/(2(n+1))) needs the scalar inequality of milestone 1 for every n≥2n\ge2n≥2. The reduction from a general ellipsoid to the unit ball also needs determinants under an affine map.

For the theorem, the obvious argument compares vol(Xε)\mathrm{vol}(\mathcal X_\varepsilon)vol(Xε​) with vol(Et)\mathrm{vol}(\mathcal E_t)vol(Et​). This only works if no cut removes an optimal point and if every removed point of X\mathcal XX is worse than a queried center. At the threshold t=2n2log⁡(R/r)t=2n^2\log(R/r)t=2n2log(R/r) the admissible ε\varepsilonε is exactly 111, so a non-strict volume bound alone does not close the argument there.

Formalization scope

  • Rn\mathbb R^nRn is Fin n → ℝ with Lebesgue measure, as in the reused Bertsimas–Tsitsiklis ellipsoid definitions (LinearOptimization.ellipsoid, ellipsoidUpdateCenter, ellipsoidUpdateMatrix, IsSubgradientOn).
  • Euclidean balls are written with the dot product, because Mathlib's norm on Fin n → ℝ is the sup norm.
  • The method is a run predicate, IsEllipsoidRun. Every theorem holds for every admissible oracle answer. The update is the published one with a=−wta=-w_ta=−wt​.
  • If an oracle answer is wt=0w_t=0wt​=0 (possible only at a minimizer ct∈Xc_t\in\mathcal Xct​∈X), the run stops. The page's update would divide by zero there.

Conventions and hypotheses added to the page:

  1. n≥2n\ge2n≥2, because the update (2.6) is defined only for n≥2n\ge2n≥2.
  2. A minimizer x∗x^*x∗ exists (the book's standing assumption, p. 242).
  3. The output ranges over the queried centers c0,…,ct−1c_0,\dots,c_{t-1}c0​,…,ct−1​. The page writes {c1,…,ct}\{c_1,\dots,c_t\}{c1​,…,ct​}, but ctc_tct​ has not been cut yet and c0c_0c0​ has.
  4. t≥1t\ge1t≥1, because at R=rR=rR=r and t=0t=0t=0 no center has been queried.

A run predicate whose separation branch does not require X⊂{x:(x−ct)⊤wt≤0}\mathcal X\subset\{x:(x-c_t)^\top w_t\le0\}X⊂{x:(x−ct​)⊤wt​≤0}, or that accepts wt=0w_t=0wt​=0 with an update, would make the statements false or vacuous. Both are excluded.

Lemma 2.3's volume factor is exp⁡(−1/(2n))\exp(-1/(2n))exp(−1/(2n)). The weaker published factor does not prove that milestone. The published theorem LinearOptimization.ellipsoid_update_halfspace_volume is included as a reference: it supplies the containment (2.3) and positive definiteness. Contributions are welcome on every milestone. A determinant formula for the volume of an ellipsoid would be reusable well beyond this mission.

Selected references

  • S. Bubeck, Convex Optimization: Algorithms and Complexity, Foundations and Trends in Machine Learning 8(3–4):231–358, 2015. arXiv:1405.4980v2
  • N. Z. Shor, Cut-off method with space extension in convex programming problems, Cybernetics 13:94–96, 1977. doi:10.1007/BF01071394
  • D. B. Yudin and A. S. Nemirovski, Informational complexity and efficient methods for the solution of convex extremal problems, Matekon 13(2):22–45, 1976.
  • L. G. Khachiyan, A polynomial algorithm in linear programming, Soviet Mathematics Doklady 20:191–194, 1979.
  • M. Grötschel, L. Lovász and A. Schrijver, The ellipsoid method and its consequences in combinatorial optimization, Combinatorica 1:169–197, 1981. doi:10.1007/BF02579273
  • D. Bertsimas and J. N. Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997 (Theorem 8.1).
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Understanding and Using Linear Programming IV: The Duality Theorem and Three Proofs of the Farkas LemmaTextbook

Motivation

Every linear program comes with a second linear program, its dual, whose feasible solutions certify bounds on the optimum of the first. The duality theorem of linear programming says that these certificates are perfect: when both programs are feasible, the best bound equals the optimum. The theorem underlies the analysis of the simplex method, sensitivity analysis and shadow prices in operations research, the minimax theorem for zero-sum games, max-flow/min-cut and König-type min-max theorems in combinatorial optimization, and the primal–dual design of approximation and online algorithms.

The Farkas lemma, a theorem of the alternative for linear systems, contains the essence of duality: a system of linear equations or inequalities either has a (nonnegative) solution, or a single linear combination of its rows proves that it has none. It goes back to Farkas (1902) and Minkowski's work on finitely generated cones; the duality theorem itself is due to von Neumann (1947) and Gale, Kuhn and Tucker (1951).

This mission formalizes Chapter 6 of Matoušek and Gärtner's textbook Understanding and Using Linear Programming (Springer, 2007): the duality theorem in the book's form, weak duality, the Farkas lemma in its algebraic, geometric and three-variant forms, and the lemmas of two self-contained proofs of the Farkas lemma, one analytic (nearest points in finitely generated cones) and one via minimally infeasible systems.

Setting

Let AAA be a real matrix with mmm rows and nnn columns, b∈Rmb\in\mathbb{R}^mb∈Rm, c∈Rnc\in\mathbb{R}^nc∈Rn. Vector inequalities are componentwise. The primal and dual linear programs are

(P)max⁡ cTx  s.t. Ax≤b, x≥0,(D)min⁡ bTy  s.t. ATy≥c, y≥0.\text{(P)}\quad\max\ c^{T}x \ \text{ s.t. } Ax\le b,\ x\ge 0, \qquad\qquad \text{(D)}\quad\min\ b^{T}y \ \text{ s.t. } A^{T}y\ge c,\ y\ge 0.(P)max cTx  s.t. Ax≤b, x≥0,(D)min bTy  s.t. ATy≥c, y≥0.

A feasible solution of (P) is an x∈Rnx\in\mathbb{R}^nx∈Rn satisfying its constraints; an optimal solution is a feasible x∗x^*x∗ with cTx≤cTx∗c^{T}x\le c^{T}x^*cTx≤cTx∗ for every feasible xxx. (P) is unbounded if its objective takes arbitrarily large values on feasible solutions. For the minimization (D) the notions are mirrored: an optimal y∗y^*y∗ has bTy∗≤bTyb^{T}y^*\le b^{T}ybTy∗≤bTy for all feasible yyy, and (D) is unbounded if bTyb^{T}ybTy takes arbitrarily small values.

For a1,…,an∈Rma_1,\dots,a_n\in\mathbb{R}^ma1​,…,an​∈Rm, the convex cone generated by them is C={t1a1+⋯+tnan:ti≥0}C=\{t_1a_1+\dots+t_na_n : t_i\ge 0\}C={t1​a1​+⋯+tn​an​:ti​≥0}; a primitive cone is one generated by k≤mk\le mk≤m linearly independent vectors. A system Ax≤bAx\le bAx≤b of mmm inequalities is minimally infeasible if it has no solution but dropping any one inequality makes it solvable.

Formalization targets

Goal: the duality theorem (§6.1, p. 83)

For (P) and (D) as above, exactly one of the following occurs:

  1. neither (P) nor (D) is feasible;
  2. (P) is unbounded and (D) is infeasible;
  3. (P) is infeasible and (D) is unbounded;
  4. both are feasible; then both have optimal solutions, and every optimal x∗x^*x∗ of (P) and optimal y∗y^*y∗ of (D) satisfy
cTx∗=bTy∗.c^{T}x^*=b^{T}y^*.cTx∗=bTy∗.

Milestones

  • Proposition 6.1.1 (weak duality). cTx≤bTyc^{T}x\le b^{T}ycTx≤bTy for all feasible xxx of (P) and yyy of (D); hence (P) unbounded forces (D) infeasible, and (D) unbounded forces (P) infeasible.
  • Proposition 6.4.1 (Farkas lemma). Exactly one of: Ax=bAx=bAx=b has a solution x≥0x\ge 0x≥0; some yyy has yTA≥0Ty^{T}A\ge 0^{T}yTA≥0T and yTb<0y^{T}b<0yTb<0. Already on the platform as LinearOptimization.farkas_lemma (Proved) and linked as a reference.
  • Proposition 6.4.3 (three variants). Solvability of Ax=bAx=bAx=b, x≥0x\ge0x≥0; of Ax≤bAx\le bAx≤b, x≥0x\ge 0x≥0; and of Ax≤bAx\le bAx≤b with xxx free, each characterized by a certificate condition on yyy.
  • Proposition 6.4.2 (geometric Farkas lemma). bbb lies in the cone generated by a1,…,ana_1,\dots,a_na1​,…,an​, or a hyperplane through 000 separates the cone from bbb strictly — exactly one.
  • Lemmas 6.5.4, 6.5.5, 6.5.3, 6.5.1. Primitive cones are closed; a finitely generated cone is a finite union of primitive cones; hence it is closed (6.5.3, on the platform as Polyhedral.isClosed_conicSpan, Proved); hence it has a point nearest to any b∉Cb\notin Cb∈/C.
  • Lemmas 6.6.2 and 6.6.1. Ax=bAx=bAx=b is solvable iff every yyy with yTA=0Ty^{T}A=0^{T}yTA=0T has yTb=0y^{T}b=0yTb=0; in a minimally infeasible system, for every iii some x~(i)\tilde x^{(i)}x~(i) satisfies all inequalities except the iiith with equality.

Significance

The result. The duality theorem converts optimality into feasibility: a pair (x,y)(x,y)(x,y) of primal and dual feasible solutions with cTx=bTyc^{T}x=b^{T}ycTx=bTy is a short, checkable certificate that both are optimal, and the theorem guarantees such a certificate exists whenever an optimum does. It classifies every primal–dual pair into four behaviours and excludes the other five combinations of feasible-bounded, unbounded and infeasible. Later chapters of the same book rest on it: the minimax theorem for zero-sum games, the integrality of bipartite matching polytopes, the LP rounding for unrelated-machine scheduling, and the Delsarte bound for codes.

Formalizing it. All results here are classical and fully proved in the book; the work is formalization. Mathlib contains a Farkas lemma for proper cones in Hilbert spaces and closedness facts for finitely generated cones, and the platform already has Bertsimas–Tsitsiklis-style duality for a general-form minimization (LinearOptimization.lp_strong_duality) and matrix Farkas lemmas. What is missing is the textbook statement in Matoušek's inequality form (P)/(D), with its four-case exclusive classification, together with the chain of named lemmas that make two different elementary proofs of the Farkas lemma machine-checkable. The analytic chain (6.5.x) and the minimally-infeasible chain (6.6.x) are reusable independently of LP.

Difficulty

Weak duality is a two-line computation. The difficulty is entirely in the reverse direction, that a feasible bounded (P) forces the dual to be feasible with the same value. Any proof must use something beyond linear algebra over R\mathbb{R}R: either the termination of the simplex method with an anticycling rule, a topological fact (a finitely generated cone is closed), or an extremal argument (an optimal solution of an auxiliary LP). The naive geometric argument — take the nearest point of the cone to bbb — fails without closedness, and closedness of the cone generated by a set is false for infinitely generated cones (the cone over a disc touching the origin is an open half-plane plus a point), so finiteness has to be used, which is the role of the primitive-cone decomposition. In the four-case theorem itself, the remaining obstacle is attainment: "bounded and feasible" must be upgraded to "an optimum exists" for both programs, which is not a consequence of Farkas-type statements alone.

Formalization scope

  • Vectors are Fin n → ℝ and matrices Matrix (Fin m) (Fin n) ℝ; the book's indices 1,…,n1,\dots,n1,…,n become 0,…,n−10,\dots,n-10,…,n−1. The row vector yTAy^{T}AyTA is Aᵀ *ᵥ y, so yTA≥0Ty^{T}A\ge 0^{T}yTA≥0T is 0 ≤ Aᵀ *ᵥ y; scalar products are ⬝ᵥ.
  • Optimal solutions and unboundedness are stated against every feasible point; no sSup/sInf is used, so no junk value of an empty or unbounded supremum enters. "Exactly one of the four cases" is ∃! k : Fin 4, DualityCase A b c k, with the book's case kkk at index k−1k-1k−1; a plain disjunction would be weaker than the book.
  • Cone items live in EuclideanSpace ℝ (Fin m), so the nearest point of Lemma 6.5.1 is Euclidean and yTxy^{T}xyTx is the inner product. The convex cone generated by a1,…,ana_1,\dots,a_na1​,…,an​ is the set of nonnegative combinations (it contains 000, also for n=0n=0n=0).
  • A trivializing formalization — case 4 read as "if both have optimal solutions then their values agree", which is weak duality plus nothing — is ruled out: case 4 asserts the existence of both optima from feasibility alone.
  • Lemma 6.3.1 (the dual solution read off the final simplex tableau) and Lemma 6.5.2 (nearest point in a nonempty closed set, available in Mathlib as IsClosed.exists_infDist_eq_dist) are not separate targets. The Fourier–Motzkin elimination of §6.7 has no numbered result.
  • Contributions welcome: proofs of any milestone, the two Farkas-lemma chains, and bridges to the general-form duality already on the platform.

Selected references

  • J. Matoušek and B. Gärtner, Understanding and Using Linear Programming, Springer Universitext, 2007, Chapter 6. https://doi.org/10.1007/978-3-540-30717-4
  • J. Farkas, Theorie der einfachen Ungleichungen, J. Reine Angew. Math. 124 (1902), 1–27. https://doi.org/10.1515/crll.1902.124.1
  • D. Gale, H. W. Kuhn and A. W. Tucker, Linear programming and the theory of games, in Activity Analysis of Production and Allocation, Wiley, 1951, 317–329.
  • M. Conforti, M. Di Summa and G. Zambelli, Minimally infeasible set-partitioning problems with balanced constraints, Mathematics of Operations Research (cited in the book as to appear; the source of the proof in §6.6).
  • D. Bertsimas and J. N. Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997, Chapter 4.
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Introduction to the Scenario Approach I: The Violation Distribution of the Scenario SolutionTextbook

Motivation

Many design problems in control, finance and operations research are convex programs with uncertain constraints: a decision θ\thetaθ must satisfy θ∈Θδ\theta\in\Theta_\deltaθ∈Θδ​ for a parameter δ\deltaδ that is not known in advance. Enforcing the constraint for every possible δ\deltaδ (robust optimization) is often intractable or too conservative, and a chance-constrained formulation needs the distribution of δ\deltaδ, which in practice is rarely known. The scenario approach replaces the uncertain constraint by the constraints of NNN observed samples δ1,…,δN\delta_1,\dots,\delta_Nδ1​,…,δN​ and solves the resulting ordinary convex program. The question it answers is how much of the unseen uncertainty the resulting decision still violates.

The answer, the generalization theorem of the scenario approach, is distribution-free: the probability that the scenario solution violates more than a fraction ε\varepsilonε of the uncertainty is bounded by a binomial tail that depends only on NNN and on the number ddd of decision variables. This mission formalizes that theorem as it is presented in Chapters 3 and 5 of Campi and Garatti's textbook Introduction to the Scenario Approach (SIAM/MOS 2018), the first mission of a series on the book.

Timeline. Calafiore and Campi introduced scenario programs and bounded the violation of their solutions through the count of support constraints (Math. Program. 2005; IEEE TAC 2006). Campi and Garatti proved in 2008 that the binomial-tail bound of Theorem 3.7 holds for every convex scenario program under existence and uniqueness of the solution, and that it is attained with equality by fully supported problems (SIAM J. Optim. 2008), which settled the tightness question. The textbook (DOI 10.1137/1.9781611975444) presents the theorem with a complete proof for fully supported problems in the plane.

Setting

Fix a cost vector c∈Rdc\in\mathbb R^dc∈Rd, a domain Θ⊆Rd\Theta\subseteq\mathbb R^dΘ⊆Rd, a measurable space Δ\DeltaΔ of uncertainty instances with a probability P\mathbb PP, and a constraint set Θδ⊆Rd\Theta_\delta\subseteq\mathbb R^dΘδ​⊆Rd for each δ∈Δ\delta\in\Deltaδ∈Δ.

  • The violation of a decision θ\thetaθ (Definition 3.1) is V(θ)=P{δ∈Δ:θ∉Θδ}V(\theta)=\mathbb P\{\delta\in\Delta:\theta\notin\Theta_\delta\}V(θ)=P{δ∈Δ:θ∈/Θδ​}, the probability that θ\thetaθ fails the constraint of a fresh instance.
  • For a sample (δ1,…,δm)(\delta_1,\dots,\delta_m)(δ1​,…,δm​), the scenario program is
min⁡θ∈ΘcTθsubject toθ∈⋂i=1mΘδi.\min_{\theta\in\Theta}c^T\theta\quad\text{subject to}\quad\theta\in\bigcap_{i=1}^{m}\Theta_{\delta_i}.θ∈Θmin​cTθsubject toθ∈i=1⋂m​Θδi​​.

A solution is a feasible point of least cost. With m=Nm=Nm=N i.i.d. samples its solution is denoted θ∗\theta^*θ∗; it is a random vector, a function of the sample, and V(θ∗)V(\theta^*)V(θ∗) is a random variable in [0,1][0,1][0,1].

  • Assumption 3.4 (convexity): Θ\ThetaΘ and every Θδ\Theta_\deltaΘδ​ are convex and closed. Assumption 3.6 (existence and uniqueness): for every mmm and every sample, the program with mmm constraints has exactly one solution.
  • A constraint is a support constraint (Definition 5.1) if its removal improves the solution. A problem is fully supported (Definition 5.4) if for every m≥dm\ge dm≥d the program with mmm constraints has, with probability 1, exactly ddd support constraints.

Formalization targets

Goal: Theorem 3.7

For 1≤d≤N1\le d\le N1≤d≤N and every ε∈[0,1]\varepsilon\in[0,1]ε∈[0,1], under Assumptions 3.4 and 3.6,

PN{V(θ∗)>ε}≤∑i=0d−1(Ni)εi(1−ε)N−i.\mathbb P^N\{V(\theta^*)>\varepsilon\}\le\sum_{i=0}^{d-1}\binom Ni\varepsilon^i(1-\varepsilon)^{N-i}.PN{V(θ∗)>ε}≤i=0∑d−1​(iN​)εi(1−ε)N−i.

The right-hand side is the upper tail of a Beta(d,N−d+1)(d,N-d+1)(d,N−d+1) distribution. The statement leaves P\mathbb PP, Θ\ThetaΘ and the constraint family completely unspecified beyond the two assumptions.

Milestones

  1. Helly's lemma (Lemma 5.3), referenced from the platform in its ddd-dimensional form.
  2. Theorem 5.2: for every mmm and every sample, a convex scenario program has at most ddd support constraints.
  3. Eq. (5.3): for a fully supported problem with d=N=2d=N=2d=N=2, P2{V(θ∗)>ε}=1−ε2\mathbb P^2\{V(\theta^*)>\varepsilon\}=1-\varepsilon^2P2{V(θ∗)>ε}=1−ε2.
  4. Eq. (5.2): for fully supported problems, Theorem 3.7 holds with equality.
  5. Eqs. (3.5)–(3.6): the bound is the Beta(d,N−d+1)(d,N-d+1)(d,N−d+1) distribution function (a published incomplete-beta identity).
  6. Eq. (3.9): ∑i=0d−1(Ni)εi(1−ε)N−i≤2d−1(1−ε/2)N≤2d−1e−εN/2\sum_{i=0}^{d-1}\binom Ni\varepsilon^i(1-\varepsilon)^{N-i}\le 2^{d-1}(1-\varepsilon/2)^N\le2^{d-1}e^{-\varepsilon N/2}∑i=0d−1​(iN​)εi(1−ε)N−i≤2d−1(1−ε/2)N≤2d−1e−εN/2.
  7. Theorem 3.8: E[V(θ∗)]≤d/(N+1)\mathbb E[V(\theta^*)]\le d/(N+1)E[V(θ∗)]≤d/(N+1).
  8. Theorem 1.3: if N≥2ε(ln⁡1β+d−1)N\ge\frac2\varepsilon(\ln\frac1\beta+d-1)N≥ε2​(lnβ1​+d−1), then V(θ∗)≤εV(\theta^*)\le\varepsilonV(θ∗)≤ε with probability at least 1−β1-\beta1−β.

Significance

Theorem 3.7 is what makes the scenario approach usable as a design method: it certifies the reliability of a decision computed from data without any knowledge of the data-generating distribution, requiring only independence of the samples. Theorems 3.8 and 1.3 are its two most used consequences, an expected-violation bound and an explicit sample size, and later chapters of the book (constraint removal, the FAST algorithm, empirical-cost results) build on the same statement. Equality for fully supported problems shows that the bound cannot be improved for any ddd and NNN.

The theorem is proved in the literature; it has no machine-checked proof. A formalization produces, beyond the result itself, a reusable library of scenario programs, violation probabilities and support constraints on which the rest of the series (constraint removal, nonconvex support sets) can be stated, and it checks the measure-theoretic content that the book deliberately leaves aside ("measurability issues are glossed over throughout", p. 33).

Difficulty

The deterministic part, at most ddd support constraints, is a short consequence of Helly's theorem. The probabilistic part is where the obvious approach fails. A uniform-convergence argument over all θ\thetaθ (Vapnik–Chervonenkis theory, footnote 11 of the book) gives bounds of the wrong order and can be vacuous, because it ignores that only the solution matters. The sharp bound is an exact statement about the law of V(θ∗)V(\theta^*)V(θ∗), not a union bound, and problems with fewer than ddd support constraints, or with degenerate configurations of constraints, must be shown to be no worse than fully supported ones; the book treats the general case only in the plane and refers to Campi & Garatti 2008 for general ddd. Handling the null sets and the exchangeability of the samples under the product measure is a substantial part of the work.

Formalization scope

  • Decisions live in EuclideanSpace ℝ (Fin d); the cost is inner ℝ c θ. A sample of size mmm is ω : Fin m → Δ with law Measure.pi (fun _ : Fin m => P), and P is a probability measure.
  • The violation is the real number (P {δ | θ ∉ Θδ δ}).toReal; probabilities of events over the sample are compared in [0,∞][0,\infty][0,∞] through ENNReal.ofReal.
  • The solution θ∗\theta^*θ∗ is a function θstar : (Fin N → Δ) → EuclideanSpace ℝ (Fin d) together with the hypothesis that θstar ω solves the program for every sample; it is never an arbitrary map.
  • Assumption 3.6 is stated for every mmm including m=0m=0m=0 (a unique minimizer on Θ\ThetaΘ itself) and for every sample, as on the page.
  • Hypotheses the page leaves implicit are explicit: the constraint relation {(θ,δ):θ∈Θδ}\{(\theta,\delta):\theta\in\Theta_\delta\}{(θ,δ):θ∈Θδ​} is jointly measurable and θstar is measurable (the book's p. 33 convention); ε∈[0,1]\varepsilon\in[0,1]ε∈[0,1]; d≥1d\ge1d≥1.
  • A support constraint is one whose removal leaves a feasible point of strictly smaller cost than the solution; the count is a Finset.card over Fin m.
  • Theorem 3.8 asserts integrability of V(θ∗)V(\theta^*)V(θ∗) together with the bound, so it cannot hold through the convention that a non-integrable function integrates to 000. Theorem 1.3's own sentence omits the assumptions; they are added as in §3.2.1, where it is derived from Theorem 3.7.

A statement in which θ∗\theta^*θ∗ is any feasible point of the program, or merely a measurable function of the sample, is false and does not count as a formalization of Theorem 3.7; nor does one in which Assumption 3.6 is weakened to almost every sample. Contributions of general infrastructure are welcome: exchangeability arguments for product measures, the binomial–beta identity, and Helly-type counting lemmas are reusable well beyond this mission.

Selected references

  • M. C. Campi, S. Garatti, Introduction to the Scenario Approach, MOS-SIAM Series on Optimization 26, SIAM/MOS, 2018. https://doi.org/10.1137/1.9781611975444
  • M. C. Campi, S. Garatti, The exact feasibility of randomized solutions of uncertain convex programs, SIAM Journal on Optimization 19(3), 2008. https://doi.org/10.1137/07069821X
  • G. Calafiore, M. C. Campi, Uncertain convex programs: randomized solutions and confidence levels, Mathematical Programming 102, 2005. https://doi.org/10.1007/s10107-003-0499-y
  • G. Calafiore, M. C. Campi, The scenario approach to robust control design, IEEE Transactions on Automatic Control 51(5), 2006. https://doi.org/10.1109/TAC.2006.875041
  • E. Helly, Über Mengen konvexer Körper mit gemeinschaftlichen Punkten, Jahresbericht der DMV 32, 1923.
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Discrete GeometryLinear OptimizationOperations Research·Captain: mikedeng1

Selected Topics in Column Generation I: Discretization — Every Integer Point of a Rational Polyhedron Is a Generating Integer Point Plus an Integer Combination of Integer RaysResearch Paper

Motivation

Dantzig–Wolfe decomposition and column generation solve large integer programs by replacing a set of "easy" constraints with a description of its feasible points, and then pricing out the points one at a time. For linear programs this rests on the Minkowski–Weyl representation: every point of a polyhedron is a convex combination of its extreme points plus a nonnegative combination of its extreme rays. For integer programs that representation is not enough. Imposing integrality on the convex multipliers of the extreme points of conv(X)\mathrm{conv}(X)conv(X) does not give back the integer program, because an optimal integer point may lie in the interior of conv(X)\mathrm{conv}(X)conv(X).

Lübbecke and Desrosiers, in their survey Selected Topics in Column Generation (Operations Research 53(6), 2005), present discretization (Johnson 1989, Vanderbeck 2000) as the true integer analogue of the decomposition principle. Its basis is their Theorem 1: the integer points of a rational polyhedron are generated by finitely many integer points and finitely many integer rays with integer multipliers. The paper states this result and refers its proof to Nemhauser and Wolsey, Integer and Combinatorial Optimization (1988). It underlies the integer master problem (25) of branch-and-price.

Setting

Let DDD be an m×nm \times nm×n matrix and d\mathbf dd an mmm-vector with rational entries. The polyhedron is

P={x∈Rn∣Dx⩾d, x⩾0},P = \{\mathbf x \in \mathbb R^n \mid D\mathbf x \geqslant \mathbf d,\ \mathbf x \geqslant \mathbf 0\},P={x∈Rn∣Dx⩾d, x⩾0},

and its set of integer points is X=P∩ZnX = P \cap \mathbb Z^nX=P∩Zn, the points of PPP whose coordinates are all integers. Because P⊆R+nP \subseteq \mathbb R^n_+P⊆R+n​, X=P∩Z+nX = P \cap \mathbb Z^n_+X=P∩Z+n​.

The recession cone of PPP is {r∈Rn∣Dr⩾0, r⩾0}\{\mathbf r \in \mathbb R^n \mid D\mathbf r \geqslant \mathbf 0,\ \mathbf r \geqslant \mathbf 0\}{r∈Rn∣Dr⩾0, r⩾0}. An integer ray of PPP is a nonzero vector of Zn\mathbb Z^nZn in this cone. Extreme rays are not required.

In Lean these are polyhedronP D d, integerPoints D d, recessionConeP D and IsIntegerRay D w in the namespace Lubbecke2005.Discretization, with integer vectors cast to real vectors by castVec.

Formalization targets

Goal: Theorem 1 (pp. 1011–1012)

If P≠∅P \neq \emptysetP=∅, there exist a finite set of integer points {pq}q∈Q⊆X\{\mathbf p_q\}_{q \in Q} \subseteq X{pq​}q∈Q​⊆X and a finite set of integer rays {pr}r∈R\{\mathbf p_r\}_{r \in R}{pr​}r∈R​ of PPP such that

X={x∈R+n ∣ x=∑q∈Qpqλq+∑r∈Rprλr, ∑q∈Qλq=1, λ∈Z+∣Q∣+∣R∣}.(24)X = \Bigl\{\mathbf x \in \mathbb R^n_+ \ \Big|\ \mathbf x = \sum_{q \in Q} \mathbf p_q \lambda_q + \sum_{r \in R} \mathbf p_r \lambda_r,\ \sum_{q \in Q} \lambda_q = 1,\ \boldsymbol\lambda \in \mathbb Z_+^{|Q|+|R|}\Bigr\}. \qquad (24)X={x∈R+n​ ​ x=q∈Q∑​pq​λq​+r∈R∑​pr​λr​, q∈Q∑​λq​=1, λ∈Z+∣Q∣+∣R∣​}.(24)

Since the multipliers are nonnegative integers summing to one over QQQ, (24) says that XXX is the union, over q∈Qq \in Qq∈Q, of the translates pq+Z+{pr}r∈R\mathbf p_q + \mathbb Z_+\{\mathbf p_r\}_{r\in R}pq​+Z+​{pr​}r∈R​ of the monoid generated by the rays. No bound on ∣Q∣|Q|∣Q∣ or ∣R∣|R|∣R∣ is part of the goal.

Milestone: Remark in §3.3 (p. 1012)

If X⊆[0,1]nX \subseteq [0,1]^nX⊆[0,1]n, every point of XXX is a vertex of conv(X)\mathrm{conv}(X)conv(X). In this case convexification and discretization coincide.

Significance

The result. Theorem 1 converts an integer program min⁡{c(x)∣Ax⩾b, x∈X}\min\{c(\mathbf x) \mid A\mathbf x \geqslant \mathbf b,\ \mathbf x \in X\}min{c(x)∣Ax⩾b, x∈X} into the integer master program (25) over the multipliers λ\boldsymbol\lambdaλ, with one column per generating point and per generating ray. When XXX is bounded the rays disappear, exactly one λq\lambda_qλq​ equals one, and (25) is a linear integer program even for a nonlinear cost ccc. The representation is what makes branching on master variables, and the passage between compact and extensive formulations, well defined in branch-and-price.

Formalizing it. The result is classical (Nemhauser–Wolsey 1988, going back to Giles and Pulleyblank and to Meyer's theorem that the integer hull of a rational polyhedron is a polyhedron). On Prove2Me, the real representation (8) is formalized as LinearOptimization.polyhedron_resolution (Bertsimas–Tsitsiklis Thm 4.15) and the integer hull theorem as LinearOptimization.integer_hull_is_polyhedron (Thm 11.3); both are included as reference items. The convexification counterpart of §3.2, that the Lagrangian dual equals the LP over conv(X)\mathrm{conv}(X)conv(X), is LinearOptimization.lagrangean_dual_eq_lp_over_hull. No machine-checked statement of the integer representation (24), with integer multipliers and integer rays, was found on the platform. The mission produces that statement and, once solved, its proof.

Difficulty

The obvious attempt applies the real representation (8) and rounds. It fails twice. First, the extreme points of PPP need not be integral, and an integer point written as a real combination of vertices and rays has no reason to have integer multipliers. Second, the extreme rays of PPP generate the recession cone over R+\mathbb R_+R+​, but the integer points of that cone are not in general nonnegative integer combinations of the (scaled) extreme rays; a generating set of the lattice points of a cone must usually contain non-extreme vectors. The finiteness of QQQ is also not automatic: XXX itself is typically infinite, and taking Q=XQ = XQ=X trivializes the statement.

Rationality of the data is essential. For P={x∈R+2∣2 x1−x2⩾0}P = \{\mathbf x \in \mathbb R^2_+ \mid \sqrt2\,x_1 - x_2 \geqslant 0\}P={x∈R+2​∣2​x1​−x2​⩾0}, every integer ray has slope below 2\sqrt 22​, so finitely many base points and rays generate only points with x2⩽ρx1+Cx_2 \leqslant \rho x_1 + Cx2​⩽ρx1​+C for some ρ<2\rho < \sqrt 2ρ<2​, while XXX contains (k,⌊2k⌋)(k, \lfloor\sqrt2 k\rfloor)(k,⌊2​k⌋) for every kkk.

Formalization scope

  • Vectors are Fin n → ℝ; integer vectors are Fin n → ℤ cast coordinatewise. Both sides of (24) are sets of real vectors.
  • DDD and d\mathbf dd are ℚ-valued and cast to ℝ. This is an addition: the paper names no field, and the theorem is false for irrational data (see Difficulty). The cited source, Nemhauser–Wolsey, works with rational data.
  • The hypothesis P≠∅P \neq \emptysetP=∅ is kept as on the page. XXX may still be empty (e.g. P={1/2}P = \{1/2\}P={1/2}); then Q=∅Q = \emptysetQ=∅ and both sides of (24) are empty. The statement allows this.
  • QQQ and RRR are Fin k and Fin l for existentially chosen k,l∈Nk, l \in \mathbb Nk,l∈N; the finiteness is the content of the theorem. The multiplier vector λ∈Z+∣Q∣+∣R∣\boldsymbol\lambda \in \mathbb Z_+^{|Q|+|R|}λ∈Z+∣Q∣+∣R∣​ is written as a pair of ℕ-valued vectors.
  • "Integer rays of PPP" is read as nonzero integer vectors in the recession cone {Dr⩾0,r⩾0}\{D\mathbf r \geqslant \mathbf 0, \mathbf r \geqslant \mathbf 0\}{Dr⩾0,r⩾0}; extremality is not required, as the page does not require it (contrast (8), which says "extreme rays").
  • The constraint x∈R+n\mathbf x \in \mathbb R^n_+x∈R+n​ on the right side of (24) is kept although it is implied.
  • In the Remark, "vertices of conv(X)\mathrm{conv}(X)conv(X)" is read as extreme points of the convex hull; XXX is finite there, so the two notions agree.

A formalization with real multipliers would be the resolution theorem (8), already on the platform, and one with QQQ or RRR infinite would be trivial; both are excluded by the statement.

Useful infrastructure: lattice points of rational polyhedral cones (Hilbert bases, Gordan's lemma), the integer hull theorem, and the real resolution theorem. A proof of Gordan's lemma for rational cones in this vocabulary would be reusable well beyond this mission. Contributions toward any of these are welcome.

Selected references

  • M. E. Lübbecke and J. Desrosiers, Selected Topics in Column Generation, Operations Research 53(6):1007–1023, 2005. https://doi.org/10.1287/opre.1050.0234
  • G. L. Nemhauser and L. A. Wolsey, Integer and Combinatorial Optimization, Wiley, 1988. https://doi.org/10.1002/9781118627372
  • R. R. Meyer, On the existence of optimal solutions to integer and mixed-integer programming problems, Mathematical Programming 7:223–235, 1974. https://doi.org/10.1007/BF01585518
  • F. Vanderbeck, On Dantzig–Wolfe decomposition in integer programming and ways to perform branching in a branch-and-price algorithm, Operations Research 48(1):111–128, 2000. https://doi.org/10.1287/opre.48.1.111.12453
  • A. Schrijver, Theory of Linear and Integer Programming, Wiley, 1986.
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Complexity TheoryLinear algebraOperations Research·Captain: mikedeng1

Some NP-Complete Problems in Quadratic and Nonlinear Programming: Copositivity Testing Is NP-Hard via Subset SumResearch Paper

Motivation

Nonlinear programming algorithms are routinely advertised as finding a local minimum. Most of them only certify first-order conditions (a KKT point), and the natural next question is whether a given feasible point is in fact a local minimum. For smooth problems where the Hessian is nonsingular this is a second-order test, but in the degenerate case the test itself becomes a combinatorial question about a quadratic form restricted to a cone.

K. G. Murty and S. N. Kabadi (Math. Programming 39 (1987) 117–129) showed that this question is intractable already in its simplest instance: deciding whether x=0x = 0x=0 is a local minimum of a quadratic form xTDxx^{\mathsf T}DxxTDx on the nonnegative orthant is NP-complete, and so is deciding whether a square integer matrix is copositive. The paper is the standard reference for the hardness of copositivity testing, which matters for copositive programming, for second-order optimality checks in constrained optimization, and for the complexity of local search in nonconvex optimization.

Setting

Let DDD be a real square matrix of order nnn and Q(x)=xTDxQ(x) = x^{\mathsf T}DxQ(x)=xTDx. The matrix DDD is copositive if Q(x)≥0Q(x) \ge 0Q(x)≥0 for every x≥0x \ge 0x≥0 (coordinatewise). The paper considers the quadratic program

(7)minimize Q(x)subject to x≥0,\text{(7)}\qquad \text{minimize } Q(x) \quad \text{subject to } x \ge 0,(7)minimize Q(x)subject to x≥0,

and the following questions, each phrased so that "yes" is the interesting answer:

  • Problem 1. Is x=0x = 0x=0 not a local minimum of (7)?
  • Problem 2. Is QQQ not bounded below on {x≥0}\{x \ge 0\}{x≥0}?
  • Problem 3. Is there an x≥0x \ge 0x≥0 with Q(x)<0Q(x) < 0Q(x)<0 (is DDD not copositive)?
  • Problem 4. Given a0>0a_0 > 0a0​>0, is there an x≥0x \ge 0x≥0 with eTx=a0e^{\mathsf T}x = a_0eTx=a0​ and Q(x)<0Q(x) < 0Q(x)<0? Here eee is the all-ones vector.
  • Problems 11, 12. With h(u)=(u12,…,un2) D (u12,…,un2)Th(u) = (u_1^2, \dots, u_n^2)\,D\,(u_1^2, \dots, u_n^2)^{\mathsf T}h(u)=(u12​,…,un2​)D(u12​,…,un2​)T, the objective of the unconstrained problem (15): is u=0u = 0u=0 not a local minimum of hhh on Rn\mathbb R^nRn, and is hhh not bounded below?

The source problem is subset sum (Problem 5): given positive integers d0;d1,…,dnd_0; d_1, \dots, d_nd0​;d1​,…,dn​, is there y∈{0,1}ny \in \{0,1\}^ny∈{0,1}n with ∑jdjyj=d0\sum_j d_j y_j = d_0∑j​dj​yj​=d0​? Let lll be the total number of digits in the data. The paper fixes an integer δ>4(d0∑jdj)2n3\delta > 4\big(d_0\sum_j d_j\big)^2 n^3δ>4(d0​∑j​dj​)2n3 and a rational ε\varepsilonε with 0<ε<2−nl20 < \varepsilon < 2^{-nl^2}0<ε<2−nl2, and defines functions of 2n2n2n nonnegative variables (y,s)(y, s)(y,s):

f1(y,s)=(∑jdjyj−d0)2+δ∑j(yj+sj−1)2+∑jyjsj,f_1(y,s) = \Big(\sum_j d_j y_j - d_0\Big)^2 + \delta\sum_j (y_j + s_j - 1)^2 + \sum_j y_j s_j,f1​(y,s)=(j∑​dj​yj​−d0​)2+δj∑​(yj​+sj​−1)2+j∑​yj​sj​,

f2=f1+2d0∑jdjyj(1−yj)f_2 = f_1 + 2d_0\sum_j d_j y_j(1 - y_j)f2​=f1​+2d0​∑j​dj​yj​(1−yj​), a homogeneous quadratic f4f_4f4​ that agrees with f2f_2f2​ on the set

P={(y,s):y≥0, s≥0, ∑j(yj+sj)=n},P = \Big\{(y,s) : y \ge 0,\ s \ge 0,\ \sum_j (y_j + s_j) = n\Big\},P={(y,s):y≥0, s≥0, j∑​(yj​+sj​)=n},

and f5=f4−(ε/n2)(∑j(yj+sj))2f_5 = f_4 - (\varepsilon/n^2)\big(\sum_j (y_j + s_j)\big)^2f5​=f4​−(ε/n2)(∑j​(yj​+sj​))2. The function f5f_5f5​ is a quadratic form xTMxx^{\mathsf T}MxxTMx in x=(y,s)∈R2nx = (y, s) \in \mathbb R^{2n}x=(y,s)∈R2n; the symmetric matrix MMM, with entries computed explicitly from d0,d,δ,εd_0, d, \delta, \varepsilond0​,d,δ,ε, is the output of the reduction.

Formalization targets

Goal: the reduction is correct

For positive integer data d0;d1,…,dnd_0; d_1, \dots, d_nd0​;d1​,…,dn​ and δ,ε\delta, \varepsilonδ,ε as above, with MMM the matrix of f5f_5f5​, the following are equivalent:

subset sum is solvable  ⟺  P1(M)  ⟺  P2(M)  ⟺  P3(M)  ⟺  M not copositive  ⟺  P4(M,n)  ⟺  P11(M)  ⟺  P12(M).\text{subset sum is solvable} \iff \text{P1}(M) \iff \text{P2}(M) \iff \text{P3}(M) \iff M \text{ not copositive} \iff \text{P4}(M, n) \iff \text{P11}(M) \iff \text{P12}(M).subset sum is solvable⟺P1(M)⟺P2(M)⟺P3(M)⟺M not copositive⟺P4(M,n)⟺P11(M)⟺P12(M).

This is the mathematical content of Theorems 1–3 and §4: a polynomially computable map from subset sum instances to matrices under which every one of these questions has the answer of the subset sum instance.

Milestones along the paper's chain

  1. Problems 5 and 6 are equivalent: subset sum is solvable iff some (y,s)∈P(y,s) \in P(y,s)∈P has f1≤0f_1 \le 0f1​≤0.
  2. Problems 6 and 7 are equivalent (f1f_1f1​ vs. f2f_2f2​ on PPP).
  3. Problems 7 and 8 are equivalent (f2f_2f2​ vs. f4f_4f4​ on PPP).
  4. Lemma 2: for an integer symmetric DDD of size LLL, the minimum of QQQ over [0,1]n[0,1]^n[0,1]n is 000 or at most −2−L-2^{-L}−2−L.
  5. Problems 8 and 9 are equivalent: ∃ (y,s)∈P\exists\,(y,s)\in P∃(y,s)∈P with f4≤0f_4 \le 0f4​≤0 iff ∃ (y,s)∈P\exists\,(y,s)\in P∃(y,s)∈P with f5<0f_5 < 0f5​<0.
  6. Problem 9 is a special case of Problem 4: f5(y,s)=xTMxf_5(y,s) = x^{\mathsf T}Mxf5​(y,s)=xTMx, and Problem 9 is Problem 4 for (M,a0=n)(M, a_0 = n)(M,a0​=n).
  7. Problems 3 and 4 are equivalent, for any DDD and a0>0a_0 > 0a0​>0.
  8. Problems 1 and 2 are equivalent to Problem 3, for any DDD.
  9. Problems 11 and 12 are equivalent to Problems 1 and 2, for any DDD.

Significance

The result. The equivalence shows that checking local optimality of a feasible point, checking boundedness of a quadratic objective on a cone, and checking copositivity are all at least as hard as subset sum, hence NP-hard. Through (15) the same holds for local minimality and boundedness of a quartic polynomial with no constraints at all. These facts are the standard justification for why nonconvex solvers settle for KKT points, and the copositivity part underlies the hardness of copositive programming.

The formalization. The paper's claims are proved, and have been cited for decades, but the proof as printed is a sketch: several steps are stated as "clearly" or "it can be verified", and one step of the proof of Theorem 1 (p. 125) is false as written. The inequality (δ/2)(yj+sj−1)2+2d0djyj(1−yj)≥0(\delta/2)(y_j + s_j - 1)^2 + 2d_0 d_j y_j(1 - y_j) \ge 0(δ/2)(yj​+sj​−1)2+2d0​dj​yj​(1−yj​)≥0 for yj>1y_j > 1yj​>1 fails for yjy_jyj​ slightly above 111, and the pointwise implication "f2≤0⇒f1≤0f_2 \le 0 \Rightarrow f_1 \le 0f2​≤0⇒f1​≤0 on PPP" has an explicit counterexample. The equivalence of Problems 6 and 7 itself survives numerical checks. A machine-checked proof of the goal settles the correctness of the reduction with the paper's own constants. No machine-checked proof of these statements exists on the platform.

Difficulty

The combinatorial direction (a subset sum solution gives a point with f5<0f_5 < 0f5​<0) is a computation. The converse direction carries the content, in two places.

First, passing from f1f_1f1​ to f2f_2f2​ trades the linear penalty for a quadratic one. This is harmless on the box 0≤y≤10 \le y \le 10≤y≤1 but not for yj>1y_j > 1yj​>1, where 2d0djyj(1−yj)2d_0d_jy_j(1-y_j)2d0​dj​yj​(1−yj​) is negative. The printed argument handles this coordinate by coordinate and is wrong there; a correct argument has to show that no point of PPP with f2≤0f_2 \le 0f2​≤0 exists unless a point with f1≤0f_1 \le 0f1​≤0 does, which requires a global use of the size of δ\deltaδ.

Second, passing from f4≤0f_4 \le 0f4​≤0 to f5<0f_5 < 0f5​<0 requires a quantitative gap: if f4>0f_4 > 0f4​>0 on PPP then min⁡Pf4≥ε\min_P f_4 \ge \varepsilonminP​f4​≥ε with ε\varepsilonε of only polynomially many bits. Lemma 2 provides such a gap for the unit box and integer matrices, but PPP is not the box and f4f_4f4​ has rational coefficients, so the lemma does not apply verbatim.

The remaining equivalences (Problems 1, 2, 3, 4, 11, 12 for a fixed matrix) follow from homogeneity of the quadratic form and the substitution xj=uj2x_j = u_j^2xj​=uj2​, and are routine.

Formalization scope

The data d0,dj,δd_0, d_j, \deltad0​,dj​,δ are natural numbers and ε\varepsilonε is rational; all are cast to R\mathbb RR in f1,…,f5f_1, \dots, f_5f1​,…,f5​ and MMM. The index j=1,…,nj = 1, \dots, nj=1,…,n is Fin n, and the 2n2n2n variables of MMM are indexed by Fin n ⊕ Fin n with x=x = x= Sum.elim y s. Standing hypotheses: dj>0d_j > 0dj​>0 and d0>0d_0 > 0d0​>0 (the paper's "all positive integers"); δ>4(d0∑jdj)2n3\delta > 4(d_0\sum_j d_j)^2n^3δ>4(d0​∑j​dj​)2n3 in N\mathbb NN; ε>0\varepsilon > 0ε>0 and ε⋅2nl2<1\varepsilon \cdot 2^{nl^2} < 1ε⋅2nl2<1 in Q\mathbb QQ. The size lll counts decimal digits. Problem 1 is local minimality relative to the orthant, Problem 11 is unconstrained local minimality, both in the Euclidean topology. Lemma 2 is stated for integer symmetric DDD (as §4 of the paper says, "as before … symmetric"), with LLL Schrijver's encoding size, since the paper does not define "the size of DDD"; the "optimum is 000 or ≤−2−L\le -2^{-L}≤−2−L" is stated as a disjunction without an infimum. The milestones on f2,f4,f5f_2, f_4, f_5f2​,f4​,f5​ over PPP assume n≥1n \ge 1n≥1, which the paper assumes tacitly; the goal needs no such hypothesis.

Not formalized: membership in NP (Lemma 1), the polynomial-time computability of MMM and its encoding size, the NP-completeness of subset sum (cited by the paper from Garey–Johnson), Theorem 4, and any of the words "NP-complete" or "NP-hard". The platform's complexity layer (Turing machines over bitstrings) has no subset sum problem and no encoding of rational matrices. The matrix MMM has rational entries; a positive integer multiple of it is the integer matrix of Theorem 3, has the same answer to every question, and the rescaling is not formalized. The §3 standing assumption "D is not PSD" is not imposed; the constructed matrix can be PSD and the equivalence holds regardless.

The goal is about the explicit matrix MMM, whose entries are given in the definitions; it is not about "some matrix whose quadratic form is f5f_5f5​", and the constants δ\deltaδ and ε\varepsilonε are the paper's explicit bounds, not "sufficiently large" or "for some ε\varepsilonε". A formalization that quantifies existentially over the matrix or the precision would be trivially true and is ruled out.

Contributions welcome: proofs of the matrix identity and the homogeneity arguments (milestones 6–9), a proof of Lemma 2 (which needs a Cramer/Hadamard bound on basic solutions of the linear complementarity system (9)), and a correct proof of the f1↔f2f_1 \leftrightarrow f_2f1​↔f2​ step. The copositivity definitions and milestones 7–9 are reusable for any later work on copositive programming.

Selected references

  • K. G. Murty and S. N. Kabadi, Some NP-complete problems in quadratic and nonlinear programming, Mathematical Programming 39 (1987) 117–129. https://doi.org/10.1007/BF02592948
  • M. R. Garey and D. S. Johnson, Computers and Intractability: A Guide to the Theory of NP-Completeness, W. H. Freeman, 1979 (subset sum, problem [SP13]).
  • A. Schrijver, Theory of Linear and Integer Programming, Wiley, 1986 (encoding sizes, §2.1).
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Convex OptimizationOperations ResearchProbability·Captain: mikedeng1

Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach 1: Exact Worst-Case VaR under Known Mean and Covariance and Its SDP RepresentationsResearch Paper

Motivation

Value-at-Risk (VaR) is the standard regulatory measure of downside risk of a portfolio: the loss level that is exceeded only with a prescribed small probability ε\varepsilonε. Computing it requires the full distribution of asset returns, which is rarely known. In practice one estimates a mean vector and a covariance matrix and then assumes a Gaussian distribution, which understates the probability of large losses when returns are heavy-tailed or skewed.

El Ghaoui, Oks and Oustry (Oper. Res. 51(4), 2003) replace the distributional assumption by a worst case: the VaR is computed against every distribution consistent with the known moments. For known mean and covariance they obtain an exact closed form and several semidefinite (SDP) representations of this worst-case VaR. The SDP forms are what make the approach extend to moment uncertainty (moments only known to lie in a set, §2.2 of the paper) and to robust portfolio optimization. The equivalence between the probabilistic statement and the closed form is also a multivariate one-sided Chebyshev bound, related to Bertsimas and Popescu (SIAM J. Optim. 15(3), 2005; working paper 2000).

Setting

There are nnn assets. Their returns over one period form a random vector x∈Rnx \in \mathbb R^nx∈Rn, and a portfolio w∈Rnw \in \mathbb R^nw∈Rn earns r(w,x)=w⊤xr(w,x) = w^\top xr(w,x)=w⊤x. The paper restricts www to an admissible set that does not contain 000; only w≠0w \neq 0w=0 is used.

The distribution of xxx is unknown except for its mean x^∈Rn\hat x \in \mathbb R^nx^∈Rn and covariance matrix Γ\GammaΓ, with Γ≻0\Gamma \succ 0Γ≻0 (positive definite). Let P\mathcal PP be the set of all probability distributions on Rn\mathbb R^nRn with these two moments. For a loss level γ\gammaγ, the loss set is S={x∣γ≤−x⊤w}\mathcal S = \{x \mid \gamma \le -x^\top w\}S={x∣γ≤−x⊤w}. The worst-case VaR at level ε\varepsilonε is (Eq. (4))

VP(w)=min⁡{γ  :  sup⁡P∈PP(S)≤ε}.V_{\mathcal P}(w) = \min\Big\{\gamma \;:\; \sup_{P\in\mathcal P} P(\mathcal S) \le \varepsilon\Big\}.VP​(w)=min{γ:P∈Psup​P(S)≤ε}.

Further notation: κ(ε)=(1−ε)/ε\kappa(\varepsilon) = \sqrt{(1-\varepsilon)/\varepsilon}κ(ε)=(1−ε)/ε​ (Eq. (8)); for symmetric matrices, A⪰BA \succeq BA⪰B means A−BA - BA−B is positive semidefinite and ⟨A,B⟩=Tr⁡(AB)\langle A, B\rangle = \operatorname{Tr}(AB)⟨A,B⟩=Tr(AB). The second-moment matrix is (Eq. (6))

Σ=[Sx^x^⊤1],S=Γ+x^x^⊤.\Sigma = \begin{bmatrix} S & \hat x \\ \hat x^\top & 1\end{bmatrix}, \qquad S = \Gamma + \hat x\hat x^\top.Σ=[Sx^⊤​x^1​],S=Γ+x^x^⊤.

Formalization targets

Goal: Theorem 1 (pp. 545–546)

For Γ≻0\Gamma \succ 0Γ≻0, w≠0w \neq 0w=0, ε∈(0,1)\varepsilon \in (0,1)ε∈(0,1) and γ∈R\gamma \in \mathbb Rγ∈R, the following five propositions are equivalent:

  1. sup⁡P∈PP{γ≤−w⊤x}≤ε\sup_{P \in \mathcal P} P\{\gamma \le -w^\top x\} \le \varepsilonsupP∈P​P{γ≤−w⊤x}≤ε;
  2. κ(ε) ∥Γ1/2w∥2−x^⊤w≤γ\kappa(\varepsilon)\,\|\Gamma^{1/2} w\|_2 - \hat x^\top w \le \gammaκ(ε)∥Γ1/2w∥2​−x^⊤w≤γ;
  3. there are a symmetric MMM and τ∈R\tau \in \mathbb Rτ∈R with ⟨M,Σ⟩≤τε\langle M, \Sigma\rangle \le \tau\varepsilon⟨M,Σ⟩≤τε, M⪰0M \succeq 0M⪰0, τ≥0\tau \ge 0τ≥0, and M+[0ww⊤−τ+2γ]⪰0M + \begin{bmatrix} 0 & w\\ w^\top & -\tau + 2\gamma\end{bmatrix} \succeq 0M+[0w⊤​w−τ+2γ​]⪰0;
  4. every xxx with [Γx−x^(x−x^)⊤κ(ε)2]⪰0\begin{bmatrix}\Gamma & x - \hat x\\ (x-\hat x)^\top & \kappa(\varepsilon)^2\end{bmatrix} \succeq 0[Γ(x−x^)⊤​x−x^κ(ε)2​]⪰0 satisfies −x⊤w≤γ-x^\top w \le \gamma−x⊤w≤γ;
  5. there are a symmetric Λ\LambdaΛ and v∈Rv \in \mathbb Rv∈R with ⟨Λ,Γ⟩+κ(ε)2v−x^⊤w≤γ\langle \Lambda, \Gamma\rangle + \kappa(\varepsilon)^2 v - \hat x^\top w \le \gamma⟨Λ,Γ⟩+κ(ε)2v−x^⊤w≤γ and [Λw/2w⊤/2v]⪰0\begin{bmatrix}\Lambda & w/2\\ w^\top/2 & v\end{bmatrix} \succeq 0[Λw⊤/2​w/2v​]⪰0.

In particular

VP(w)=κ(ε) ∥Γ1/2w∥2−x^⊤w.V_{\mathcal P}(w) = \kappa(\varepsilon)\,\|\Gamma^{1/2}w\|_2 - \hat x^\top w.VP​(w)=κ(ε)∥Γ1/2w∥2​−x^⊤w.

Milestones (the steps of the paper's proof)

  • Condition C.1 (l(x)=[x⊤ 1]M[x⊤ 1]⊤≥0l(x) = [x^\top\,1] M [x^\top\,1]^\top \ge 0l(x)=[x⊤1]M[x⊤1]⊤≥0 for all xxx) is equivalent to M⪰0M \succeq 0M⪰0 (p. 546).
  • Conditions C.1 and C.2 are equivalent to the existence of τ≥0\tau \ge 0τ≥0 with M⪰0M \succeq 0M⪰0 and M+[0τwτw⊤−1+2τγ]⪰0M + \begin{bmatrix} 0 & \tau w\\ \tau w^\top & -1+2\tau\gamma\end{bmatrix} \succeq 0M+[0τw⊤​τw−1+2τγ​]⪰0 (p. 546).
  • The worst-case probability sup⁡P∈PP(S)\sup_{P\in\mathcal P} P(\mathcal S)supP∈P​P(S) equals the value of the SDP inf⁡⟨M,Σ⟩\inf \langle M, \Sigma\rangleinf⟨M,Σ⟩ under the constraints above (Eq. (14), pp. 546–547).
  • The Schur-complement reduction (19)–(20) of the constraints of the dual problem (18) (p. 547).
  • The closed form of ϕ(y)\phi(y)ϕ(y) and its maximum at y=εy = \varepsilony=ε (p. 547).
  • Condition (10) describes the ellipsoid {x∣(x−x^)⊤Γ−1(x−x^)≤κ(ε)2}\{x \mid (x-\hat x)^\top\Gamma^{-1}(x-\hat x) \le \kappa(\varepsilon)^2\}{x∣(x−x^)⊤Γ−1(x−x^)≤κ(ε)2}, and the maximal loss −x⊤w-x^\top w−x⊤w over it is κ(ε)w⊤Γw−x^⊤w\kappa(\varepsilon)\sqrt{w^\top\Gamma w} - \hat x^\top wκ(ε)w⊤Γw​−x^⊤w (p. 546).

Significance

The result. Proposition 2 turns the worst-case VaR into a second-order cone function of www, so minimizing it over a polytope of portfolios is a second-order cone program (Eq. (12)). The SDP forms 3 and 5 are the basis of the paper's §2.2–§3: they extend, with the moments only known to lie in a convex set, to a single SDP whose value is the worst-case VaR over that set. Proposition 4 gives a deterministic reading: the worst-case VaR is the largest loss when the return vector is only known to lie in an ellipsoid, which connects distributional robustness to robust optimization with ellipsoidal uncertainty.

Formalizing it. The result is proved in the paper, with two imported steps: strong duality for the moment problem (Smith 1995; Bonnans and Shapiro 2000) and a Slater-type strong duality for the one-constraint quadratic condition. No machine-checked version is known. A formal proof would supply these steps with explicit hypotheses and would produce a Lean statement of the multivariate one-sided Chebyshev (Cantelli) bound with tightness over the full moment class.

Difficulty

The matrix equivalences (2 ⇔ 4 ⇔ 5 and 2 ⇔ 3) are Schur complements and finite-dimensional SDP duality. The difficulty is Proposition 1. The upper bound (Cantelli's inequality for w⊤xw^\top xw⊤x) handles one direction, but the converse requires tightness: for every γ\gammaγ below the closed form, a distribution on Rn\mathbb R^nRn with exactly the prescribed mean and full covariance matrix Γ\GammaΓ that puts probability more than ε\varepsilonε on the loss set. A scalar extremal distribution for w⊤xw^\top xw⊤x does not by itself have the right covariance in the other directions, and a Gaussian does not reach the bound. The paper's route through the moment problem instead needs strong duality between a supremum over measures and an infimum over matrices, which is where the positive definiteness of Σ\SigmaΣ enters.

Formalization scope

  • Vectors live in EuclideanSpace ℝ (Fin n); x⊤wx^\top wx⊤w is the inner product, and matrices are Matrix (Fin n) (Fin n) ℝ. Matrices of size n+1n+1n+1 are indexed by Fin n ⊕ Fin 1 and built with Matrix.fromBlocks (the helper bordered A v c is [[A,v],[v⊤,c]][[A, v],[v^\top, c]][[A,v],[v⊤,c]]). A⪰0A \succeq 0A⪰0 is PosSemidef, Γ≻0\Gamma \succ 0Γ≻0 is PosDef, ⟨A,B⟩\langle A, B\rangle⟨A,B⟩ is (A * B).trace, and ∥Γ1/2w∥2\|\Gamma^{1/2}w\|_2∥Γ1/2w∥2​ is written w⊤Γw\sqrt{w^\top\Gamma w}w⊤Γw​.
  • The class P\mathcal PP (HasMeanCov) contains every Borel probability measure on Rn\mathbb R^nRn whose coordinates are square-integrable, with mean x^\hat xx^ and centred covariance Γ\GammaΓ. It is not restricted to densities or to Gaussians: the Gaussian class gives a different constant, −Φ−1(ε)-\Phi^{-1}(\varepsilon)−Φ−1(ε).
  • Sup, inf and max: "sup⁡P∈PP(S)≤ε\sup_{P\in\mathcal P}P(\mathcal S) \le \varepsilonsupP∈P​P(S)≤ε" is stated as "P(S)≤εP(\mathcal S) \le \varepsilonP(S)≤ε for every P∈PP \in \mathcal PP∈P". The worst-case probability SDP is stated as IsLUB/IsGLB of one real number (no attainment is claimed). The maxima over vvv, over y∈[ε,1]y \in [\varepsilon,1]y∈[ε,1] and over the ellipsoid are IsGreatest.
  • Corrections to the printed statement. The paper prints ε∈(0,1]\varepsilon \in (0,1]ε∈(0,1]; at ε=1\varepsilon = 1ε=1 Proposition 1 holds for every γ\gammaγ while Propositions 2–5 require γ≥−x^⊤w\gamma \ge -\hat x^\top wγ≥−x^⊤w, so the goal assumes 0<ε<10 < \varepsilon < 10<ε<1. The goal also assumes w≠0w \neq 0w=0, the paper's standing assumption; with w=0w = 0w=0, γ=0\gamma = 0γ=0 Proposition 1 fails and Proposition 2 holds. Milestones that remain true at ε=1\varepsilon = 1ε=1 keep ε≤1\varepsilon \le 1ε≤1.
  • A goal that omits Proposition 1 would only be matrix algebra and is not this theorem. The five-way equivalence must be proved with the probabilistic statement included.
  • Useful infrastructure, reusable beyond this mission: the homogenization lemma for quadratic functions, the S-lemma with one affine constraint, the Schur-complement criteria for bordered PSD matrices, and duality for the moment problem. Proofs of any milestone, and of lemmas building a distribution with prescribed mean and covariance, are welcome.

Selected references

  • L. El Ghaoui, M. Oks, F. Oustry, Worst-Case Value-at-Risk and Robust Portfolio Optimization: A Conic Programming Approach, Operations Research 51(4):543–556, 2003. https://doi.org/10.1287/opre.51.4.543.16101
  • D. Bertsimas, I. Popescu, Optimal Inequalities in Probability Theory: A Convex Optimization Approach, SIAM J. Optim. 15(3):780–804, 2005. https://doi.org/10.1137/S1052623401399903
  • J. E. Smith, Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis, Operations Research 43(5):807–825, 1995. https://doi.org/10.1287/opre.43.5.807
  • J. F. Bonnans, A. Shapiro, Perturbation Analysis of Optimization Problems, Springer, 2000. https://doi.org/10.1007/978-1-4612-1394-9
  • L. Vandenberghe, S. Boyd, K. Comanor, Generalized Chebyshev Bounds via Semidefinite Programming, SIAM Review 49(1):52–64, 2007. https://doi.org/10.1137/S0036144504440543
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Linear OptimizationNumber TheoryOperations Research·Captain: mikedeng1

An Application of Simultaneous Diophantine Approximation in Combinatorial Optimization: A Small Integral Objective with the Same Optimal Solutions and Dual BasesResearch Paper

Motivation

An algorithm for linear programming is strongly polynomial if the number of arithmetic operations it performs is bounded by a polynomial in the dimension of the problem alone (the number of variables and constraints), independently of the bit lengths of the numbers in the input. Many combinatorial optimization problems are linear programs over polyhedra of the form P={x∈Rn:Ax≤b}P = \{x \in \mathbb{R}^n : Ax \le b\}P={x∈Rn:Ax≤b} whose constraint matrix AAA has entries 0,+1,−10, +1, -10,+1,−1, but whose objective vector www is an arbitrary rational weight vector. Polynomial-time algorithms for such problems (for instance the ellipsoid-based algorithms of Grötschel, Lovász and Schrijver for maximum-weight cliques in perfect graphs, submodular flows, and matroid polyhedra) have running times that depend on the length of www.

Frank and Tardos (Combinatorica 1987) remove this dependence once and for all: they replace www by an integral objective w~\tilde ww~ whose entries have O(n3)O(n^3)O(n3) bits and which has exactly the same optimal solutions and the same optimal dual bases as www over every such polyhedron. Any algorithm that is polynomial in nnn and in the length of the objective then becomes strongly polynomial. The tool is simultaneous Diophantine approximation, used through the lattice-basis-reduction algorithm of Lenstra, Lenstra and Lovász (Math. Ann. 1982). The technique extends Tardos's strongly polynomial algorithm for linear programs with small constraint matrices (Oper. Res. 1986), which applies only to explicitly given programs.

Setting

For x∈Rnx \in \mathbb{R}^nx∈Rn write ∥x∥∞=max⁡j∣x(j)∣\|x\|_\infty = \max_j |x(j)|∥x∥∞​=maxj​∣x(j)∣ and ∥x∥1=∑j∣x(j)∣\|x\|_1 = \sum_j |x(j)|∥x∥1​=∑j​∣x(j)∣; sign⁡\operatorname{sign}sign takes the values −1,0,+1-1, 0, +1−1,0,+1.

Decomposition. Fix a positive integer NNN. A decomposition of w∈Rnw \in \mathbb{R}^nw∈Rn is an expression

w=∑i=1kλivi,λi>0, vi∈Zn.w = \sum_{i=1}^k \lambda_i v_i, \qquad \lambda_i > 0,\ v_i \in \mathbb{Z}^n.w=i=1∑k​λi​vi​,λi​>0, vi​∈Zn.

It satisfies condition (iii) if for i=2,…,ki = 2, \dots, ki=2,…,k the vector viv_ivi​ is nonzero and λi/λi−1≤1/(N∥vi∥∞)\lambda_i/\lambda_{i-1} \le 1/(N\|v_i\|_\infty)λi​/λi−1​≤1/(N∥vi​∥∞​): the coefficients decrease so quickly that each term is negligible against the previous one.

Preprocessing. Given a rational www and NNN, the paper's preprocessing algorithm finds a decomposition with k≤nk \le nk≤n, condition (iii), and the size bound (ii)' ∥vi∥∞≤2n2+nNn\|v_i\|_\infty \le 2^{n^2+n}N^n∥vi​∥∞​≤2n2+nNn, and outputs

w~=∑i=1kMk−ivi,M=2n2+nNn+1.\tilde w = \sum_{i=1}^k M^{k-i} v_i, \qquad M = 2^{n^2+n} N^{n+1}.w~=i=1∑k​Mk−ivi​,M=2n2+nNn+1.

Linear programs. Let AAA be an m×nm \times nm×n matrix with entries in {0,±1}\{0, \pm 1\}{0,±1} and b∈Rmb \in \mathbb{R}^mb∈Rm. The primal program is max⁡{wx:Ax≤b}\max\{wx : Ax \le b\}max{wx:Ax≤b} and the dual program is min⁡{yb:yA=w, y≥0}\min\{yb : yA = w,\ y \ge 0\}min{yb:yA=w, y≥0}. A point xˉ∈P\bar x \in Pxˉ∈P is www-maximal if wxˉ=max⁡(wx:x∈P)w\bar x = \max(wx : x \in P)wxˉ=max(wx:x∈P). A dual basis is a maximal set of row indices of AAA whose rows are linearly independent; it determines at most one yyy with yA=wyA = wyA=w supported on it (the basic dual solution), and it is an optimal dual basis if that yyy exists and is optimal for the dual program.

Formalization targets

Goal — Theorem 4.2 (p. 58)

For every w∈Qnw \in \mathbb{Q}^nw∈Qn, with N=(n+1)!+1N = (n+1)! + 1N=(n+1)!+1, there is w~∈Zn\tilde w \in \mathbb{Z}^nw~∈Zn with

∥w~∥∞≤24n3Nn(n+2)\|\tilde w\|_\infty \le 2^{4n^3} N^{n(n+2)}∥w~∥∞​≤24n3Nn(n+2)

such that for every 0,±10, \pm10,±1 matrix AAA with nnn columns and every bbb: (i) x∈Px \in Px∈P is www-maximal if and only if it is w~\tilde ww~-maximal; (ii) a set of rows of AAA is an optimal dual basis for www if and only if it is one for w~\tilde ww~. The vector w~\tilde ww~ depends on www only, not on AAA or bbb.

Milestones

  1. Dirichlet's theorem (p. 52): for N≥1N \ge 1N≥1 and α∈Rn\alpha \in \mathbb{R}^nα∈Rn there are p∈Znp \in \mathbb{Z}^np∈Zn and 1≤q≤Nn1 \le q \le N^n1≤q≤Nn with ∣qα(i)−p(i)∣<1/N|q\alpha(i) - p(i)| < 1/N∣qα(i)−p(i)∣<1/N for all iii.
  2. Theorem 3.1 (p. 53): every w∈Rnw \in \mathbb{R}^nw∈Rn has a decomposition with k≤nk \le nk≤n, ∥vi∥∞≤Nn\|v_i\|_\infty \le N^n∥vi​∥∞​≤Nn and condition (iii).
  3. Lemma 3.2 (pp. 54–55): under condition (iii), for integral bbb with ∥b∥1≤N−1\|b\|_1 \le N - 1∥b∥1​≤N−1, sign⁡(b⋅w)=sign⁡(b⋅vj)\operatorname{sign}(b \cdot w) = \operatorname{sign}(b \cdot v_j)sign(b⋅w)=sign(b⋅vj​) for the smallest jjj with b⋅vj≠0b \cdot v_j \ne 0b⋅vj​=0, and b⋅w=0b \cdot w = 0b⋅w=0 if there is no such jjj.
  4. Theorem 3.3 (p. 56): the preprocessed w~\tilde ww~ satisfies ∥w~∥∞≤24n3Nn(n+2)\|\tilde w\|_\infty \le 2^{4n^3}N^{n(n+2)}∥w~∥∞​≤24n3Nn(n+2) and sign⁡(w⋅b)=sign⁡(w~⋅b)\operatorname{sign}(w \cdot b) = \operatorname{sign}(\tilde w \cdot b)sign(w⋅b)=sign(w~⋅b) for all integral bbb with ∥b∥1≤N−1\|b\|_1 \le N-1∥b∥1​≤N−1.
  5. The case N=n+1N = n+1N=n+1 (p. 55): an integral w~\tilde ww~ with ∥w~∥∞≤24n3(n+1)n(n+2)\|\tilde w\|_\infty \le 2^{4n^3}(n+1)^{n(n+2)}∥w~∥∞​≤24n3(n+1)n(n+2) and w~(X)≤w~(Y)  ⟺  w(X)≤w(Y)\tilde w(X) \le \tilde w(Y) \iff w(X) \le w(Y)w~(X)≤w~(Y)⟺w(X)≤w(Y) for all subsets X,YX, YX,Y of coordinates.
  6. Lemma 4.1 (i) (p. 57): if sign⁡(w′⋅h)=sign⁡(w′′⋅h)\operatorname{sign}(w' \cdot h) = \operatorname{sign}(w'' \cdot h)sign(w′⋅h)=sign(w′′⋅h) for all integral hhh with ∥h∥1≤(n+1)!\|h\|_1 \le (n+1)!∥h∥1​≤(n+1)!, then w′w'w′ and w′′w''w′′ have the same maximizers over {Ax≤b}\{Ax \le b\}{Ax≤b} for every 0,±10, \pm10,±1 matrix AAA.
  7. Lemma 4.1 (ii) (p. 57): under the same hypothesis, a dual basis is optimal for w′w'w′ if and only if it is optimal for w′′w''w′′.

Significance

The result gives a general reduction: whenever a class of polyhedra with 0,±10, \pm10,±1 constraint matrices admits an optimization algorithm that is polynomial in nnn and in the length of the objective, it admits a strongly polynomial one. The paper applies this to maximum-weight cliques in perfect graphs, optimization over submodular flow polyhedra, and matroid polyhedra membership, and its Section 5 applies the same rounding to the integer programming algorithms of Lenstra and Kannan. The subset-sum corollary (milestone 5) is independently useful: every rational weight function on a finite set can be replaced by an integral one with O(n3)O(n^3)O(n3)-bit entries that orders all subset sums identically.

All statements of this mission have been proved on paper since 1987. None is formalized on Prove2Me, and Mathlib contains only the one-dimensional Dirichlet approximation theorem. The mission produces a machine-checked version of the exact statements, with the explicit constants of the paper; the complexity claims (operation counts, strong polynomiality) are not part of it.

Difficulty

The goal combines two independent parts. The number-theoretic part (milestones 1–5) needs a multidimensional Dirichlet theorem, an induction producing the decomposition, and exact inequality chains with the constants 2n2+nNn2^{n^2+n}N^n2n2+nNn and 24n3Nn(n+2)2^{4n^3}N^{n(n+2)}24n3Nn(n+2). The linear-programming part (milestones 6–7) needs bounds on the entries of inverses of nonsingular 0,±10, \pm10,±1 submatrices, the existence of optimal dual solutions supported on a dual basis, LP duality and complementary slackness. The obvious first idea, scaling www to an integer vector by a common denominator, preserves every sign but gives no bound on ∥w~∥∞\|\tilde w\|_\infty∥w~∥∞​ in terms of nnn; the bound is the content of the theorem. Likewise, rounding each coordinate of www separately to a fixed precision does not preserve the sign of w⋅bw \cdot bw⋅b when w⋅bw \cdot bw⋅b is tiny but nonzero.

Formalization scope

Vectors are functions on Fin n: the input www is rational (Fin n → ℚ) in the goal, in Theorem 3.3 and in the subset-sum corollary, as in the algorithm's input line; it is real in Theorem 3.1, Lemma 3.2 and Lemma 4.1, as on the page. Integral vectors are Fin n → ℤ, and AAA is a Matrix (Fin m) (Fin n) ℤ with every entry in {−1,0,1}\{-1, 0, 1\}{−1,0,1}, cast to R\mathbb{R}R; b∈Rmb \in \mathbb{R}^mb∈Rm is unrestricted. Decompositions are indexed by i∈{1,…,k}⊆Ni \in \{1, \dots, k\} \subseteq \mathbb{N}i∈{1,…,k}⊆N as in the paper. ∥b∥1\|b\|_1∥b∥1​ is always the explicit sum ∑j∣b(j)∣\sum_j |b(j)|∑j​∣b(j)∣, compared with N−1N - 1N−1 in Z\mathbb{Z}Z; ∥v∥∞\|v\|_\infty∥v∥∞​ of an integer vector is a natural number (supNorm). Sign equality uses SignType.sign and includes the zero case. Condition (iii) is stated multiplicatively together with vi≠0v_i \ne 0vi​=0, which the paper's quotient presupposes; without vi≠0v_i \ne 0vi​=0 Lemma 3.2 fails. An optimal dual basis is a maximal linearly independent set of row indices together with an optimal dual solution supported on it.

Two formalizations would make the goal trivial and are excluded: dropping the bound on ∥w~∥∞\|\tilde w\|_\infty∥w~∥∞​ (a multiple of www then works), and letting w~\tilde ww~ depend on AAA and bbb (the goal states ∃w~\exists \tilde w∃w~ before ∀A,b\forall A, b∀A,b). The 0,±10, \pm10,±1 assumption on AAA is part of every Section 4 statement.

A complete development needs a multidimensional pigeonhole argument, determinant and adjugate bounds for 0,±10, \pm 10,±1 matrices, and basic LP duality (strong duality, complementary slackness, basic optimal dual solutions); the last two are reusable across linear-programming missions. Proofs of individual milestones, reusable lemmas on LP duality, and alternative proofs of Dirichlet's theorem are all welcome.

Selected references

  • A. Frank and É. Tardos, An application of simultaneous diophantine approximation in combinatorial optimization, Combinatorica 7(1) (1987) 49–65. https://doi.org/10.1007/BF02579200
  • A. K. Lenstra, H. W. Lenstra Jr. and L. Lovász, Factoring polynomials with rational coefficients, Math. Ann. 261 (1982) 515–534. https://doi.org/10.1007/BF01457454
  • É. Tardos, A strongly polynomial algorithm to solve combinatorial linear programs, Operations Research 34(2) (1986) 250–256. https://doi.org/10.1287/opre.34.2.250
  • M. Grötschel, L. Lovász and A. Schrijver, The ellipsoid method and its consequences in combinatorial optimization, Combinatorica 1 (1981) 169–197. https://doi.org/10.1007/BF02579273
  • J. W. S. Cassels, An Introduction to the Theory of Numbers (title as printed in the paper's reference [2]), Springer, Berlin, 1971; cited in the paper as [2, Sect. 1.10] for Dirichlet's theorem.
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CombinatoricsGraph TheoryLinear Optimization+1·Captain: mikedeng1

Theoretical Improvements in Algorithmic Efficiency for Network Flow Problems 3: Capacity Scaling for the Hitchcock ProblemResearch Paper

Motivation

The Hitchcock transportation problem asks how to ship a commodity from mmm supply points to nnn demand points at minimum total cost. It was posed by Hitchcock in 1941 and is one of the founding problems of linear programming and network optimization; it is solved routinely in logistics, and its structure (a bipartite network with supplies, demands and per-unit costs) recurs in assignment, optimal transport and matching.

The classical algorithms for it, the Ford–Fulkerson primal–dual method among them, augment flow one path at a time. With integral data their number of augmentations is bounded only by the total supply ∑iai\sum_i a_i∑i​ai​, which is exponential in the number of binary digits used to write the data. Edmonds and Karp, Theoretical Improvements in Algorithmic Efficiency for Network Flow Problems (J. ACM 19(2), 1972, doi:10.1145/321694.321699), introduced capacity scaling: solve a coarse version of the problem first, then refine one binary digit at a time. Their Theorem 9 (p. 260) bounds the total number of augmentations by a quantity proportional to max⁡(m,n)\max(m,n)max(m,n) times the number of bits of the data, which made the transportation problem, and through standard reductions the minimum-cost flow problem, one of the first network problems with a polynomial-time ("good") algorithm in the sense of Edmonds.

Timeline. Hitchcock (1941) posed the problem; Ford and Fulkerson (1956–1962) gave the primal–dual labeling method and the optimality conditions by node potentials; Edmonds and Karp (1972) gave the scaling method and the bound formalized here. Strongly polynomial algorithms, independent of the size of the numbers, came later (Tardos 1985; Orlin 1988).

Setting

The network of Figure 1 (p. 259) has a source sss, a sink ttt, supply nodes s1,…,sms_1,\dots,s_ms1​,…,sm​ and demand nodes t1,…,tnt_1,\dots,t_nt1​,…,tn​, with m,n≥1m,n\ge 1m,n≥1. Its arcs are (s,si)(s,s_i)(s,si​) with capacity aia_iai​ and cost 000; (si,tj)(s_i,t_j)(si​,tj​) with capacity +∞+\infty+∞ and cost dij≥0d_{ij}\ge 0dij​≥0; (tj,t)(t_j,t)(tj​,t) with capacity bjb_jbj​ and cost 000; and the return arc (t,s)(t,s)(t,s) with capacity +∞+\infty+∞ and cost 000. The supplies aia_iai​ and demands bjb_jbj​ are positive integers with ∑iai=∑jbj=:B\sum_i a_i=\sum_j b_j=:B∑i​ai​=∑j​bj​=:B.

A flow assigns a nonnegative number to every arc, at most the capacity, with inflow equal to outflow at every node. Write f0i=f(s,si)f_{0i}=f(s,s_i)f0i​=f(s,si​), fij=f(si,tj)f_{ij}=f(s_i,t_j)fij​=f(si​,tj​), fj0=f(tj,t)f_{j0}=f(t_j,t)fj0​=f(tj​,t); the value of fff is f(t,s)f(t,s)f(t,s), and a maximum flow is one of largest value. Its cost is ∑i,jdijfij\sum_{i,j} d_{ij} f_{ij}∑i,j​dij​fij​; a flow is extreme if no flow of the same value is cheaper. A flow is pseudo-extreme if there are real ui,vju_i, v_jui​,vj​ with ui−vj+dij≥0u_i-v_j+d_{ij}\ge 0ui​−vj​+dij​≥0 for all i,ji,ji,j and fij=0f_{ij}=0fij​=0 whenever ui−vj+dij>0u_i-v_j+d_{ij}>0ui​−vj​+dij​>0.

An augmenting path relative to fff is a sequence of distinct nodes from sss to ttt in which each step either follows an arc with spare capacity or traverses backwards an arc carrying positive flow; augmenting pushes the minimum spare amount ε\varepsilonε along it and raises f(t,s)f(t,s)f(t,s) by ε\varepsilonε.

For p≥0p\ge 0p≥0, Problem ppp has the same network and costs, with capacities ⌊ai/2p⌋\lfloor a_i/2^p\rfloor⌊ai​/2p⌋ and ⌊bj/2p⌋\lfloor b_j/2^p\rfloor⌊bj​/2p⌋. Choose lll with every ai,bj<2la_i,b_j<2^lai​,bj​<2l. The scaling method solves Problems l−1,l−2,…,0l-1,l-2,\dots,0l−1,l−2,…,0 in turn. Each phase performs augmentations keeping every flow pseudo-extreme, until no augmenting path is left. Problem l−1l-1l−1 starts from the zero flow, and Problem p−1p-1p−1 starts from twice the final flow of Problem ppp.

Formalization targets

Goal: Theorem 9

For every run of the scaling method, the total number ∑p<lKp\sum_{p<l} K_p∑p<l​Kp​ of flow augmentations satisfies

∑p=0l−1Kp  ≤  max⁡(m,n)(2+⌊log⁡2∑i=1maimax⁡(m,n)⌋).\sum_{p=0}^{l-1} K_p \;\le\; \max(m,n)\left(2+\left\lfloor \log_2\frac{\sum_{i=1}^m a_i}{\max(m,n)}\right\rfloor\right).p=0∑l−1​Kp​≤max(m,n)(2+⌊log2​max(m,n)∑i=1m​ai​​⌋).

The bound holds for every lll admissible for the data and every choice of costs, and is stated with the paper's constant exactly.

Milestones

  1. §1.1: augmentation preserves feasibility and raises the value by ε>0\varepsilon>0ε>0; a flow is maximum iff no augmenting path exists.
  2. Theorem 8: a maximum flow is extreme iff there are potentials u0,…,umu_0,\dots,u_mu0​,…,um​, v0,…,vnv_0,\dots,v_nv0​,…,vn​ with (5a)–(5f).
  3. §2.2: a pseudo-extreme maximum flow is extreme.
  4. Lemma 3: if fff is pseudo-extreme in Problem ppp, then 2f2f2f is pseudo-extreme in Problem p−1p-1p−1.
  5. The maximum-flow value of Problem ppp is fp∗=min⁡(∑i⌊ai/2p⌋,∑j⌊bj/2p⌋)f_p^*=\min\big(\sum_i\lfloor a_i/2^p\rfloor,\sum_j\lfloor b_j/2^p\rfloor\big)fp∗​=min(∑i​⌊ai​/2p⌋,∑j​⌊bj​/2p⌋).
  6. Eq. (6): ∑pKp≤f0∗−∑p=1l−1fp∗\sum_p K_p\le f_0^*-\sum_{p=1}^{l-1} f_p^*∑p​Kp​≤f0∗​−∑p=1l−1​fp∗​.
  7. fp∗≥max⁡(0, B/2p−max⁡(m,n))f_p^*\ge\max\big(0,\,B/2^p-\max(m,n)\big)fp∗​≥max(0,B/2p−max(m,n)).

Significance

The result. Theorem 9 shows that scaling reduces the number of augmentations from order BBB to order max⁡(m,n)log⁡2(B/max⁡(m,n))\max(m,n)\log_2(B/\max(m,n))max(m,n)log2​(B/max(m,n)), which is roughly the length of the binary encoding of the data. Combined with the O(mn)O(mn)O(mn) cost of one augmentation it gives a polynomial-time algorithm for the transportation problem; through the reduction of minimum-cost flow to transportation (p. 261) it gives one for minimum-cost flow. Capacity and cost scaling became standard techniques in network optimization and in combinatorial optimization generally. Theorem 8 and the pseudo-extreme criterion are the optimality certificates for transportation, a special case of linear-programming complementary slackness.

Formalizing it. The theorem has been proved since 1972. This mission produces a machine-checked version of the bound, of the exact counting argument (eq. (6)) and of the arithmetic estimate that turns it into the stated constant, together with the potential-based optimality conditions for the transportation network. To our knowledge no machine-checked bound on the number of augmentations of a flow algorithm exists on the platform.

Difficulty

The obvious argument bounds the number of augmentations by the increase in flow value, since each augmentation raises the value by a positive integer. Applied to Problem 0 directly this gives only BBB. The scaling bound needs three things that the naive count does not supply. First, doubling the final flow of Problem ppp must give a feasible, still pseudo-extreme, starting flow for Problem p−1p-1p−1 (Lemma 3). Second, the gap between that start and the optimum of Problem p−1p-1p−1 must be small, which requires the exact maximum-flow value fp∗f_p^*fp∗​ of each scaled problem. Third, the telescoping sum of the gaps must be estimated against log⁡2(B/max⁡(m,n))\log_2(B/\max(m,n))log2​(B/max(m,n)) with the floors handled exactly. Integrality of every intermediate flow is not assumed; it has to be carried along the run from the integral capacities and the zero start.

Formalization scope

Everything lives in the namespace EdmondsKarp.Scaling. Nodes form an inductive type (s, t, src i, dst j). A flow is a structure with components f0, fx, fz, ret for the four arc families, real valued; the infinite capacities are encoded by the absence of an upper bound. IsMaxFlow is a predicate comparing values with every flow, not a supremum. Problem ppp uses natural-number division for ⌊ai/2p⌋\lfloor a_i/2^p\rfloor⌊ai​/2p⌋. Augmenting paths are lists of distinct nodes from s to t whose consecutive pairs have positive residual amount (resCap, valued in WithTop ℝ); they never use the return arc.

A run of the scaling method (IsScalingRun) is a family of phases F p 0,…,F p (K p)F\,p\,0,\dots,F\,p\,(K\,p)Fp0,…,Fp(Kp) for p<lp<lp<l. It starts from 000 in Problem l−1l-1l−1, restarts from 2F p (K p)2F\,p\,(K\,p)2Fp(Kp) in Problem p−1p-1p−1, and advances by one augmentation per step. Every flow is pseudo-extreme, and each phase ends with no augmenting path left. The paper's path-selection rule (minimum weight for the modified reduced costs Δˉ\bar\DeltaΔˉ) is abstracted to this invariant, which the paper states for it, so every run of the paper's method is covered.

The goal compares the count, cast to Z\mathbb{Z}Z, with max⁡(m,n) (2+⌊log⁡2(B/max⁡(m,n))⌋)\max(m,n)\,(2+\lfloor\log_2(B/\max(m,n))\rfloor)max(m,n)(2+⌊log2​(B/max(m,n))⌋), using Real.logb 2 and Int.floor. The constant is the printed one; neither O(⋅)O(\cdot)O(⋅) nor a weaker constant is acceptable. Positivity of all ai,bja_i,b_jai​,bj​ is a hypothesis, because without it the printed bound is false (for m=5m=5m=5, n=1n=1n=1, a=(1,0,0,0,0)a=(1,0,0,0,0)a=(1,0,0,0,0), b=(1)b=(1)b=(1) one augmentation is needed and the bound is negative). A formalization in which runs could be empty or never reach a maximum flow would trivialize the goal; the run predicate forbids this, and it is satisfiable (for instance with m=n=1m=n=1m=n=1, a=b=(1)a=b=(1)a=b=(1), l=1l=1l=1 and one augmentation).

A complete development needs max-flow/min-cut for the bipartite network, integrality of flows along a run, the exact value of fp∗f_p^*fp∗​, the telescoping identity and floor/logarithm estimates. LP duality or complementary slackness is needed only for Theorem 8. The augmenting-path and max-flow lemmas are reusable for other bipartite flow problems. Contributions welcome: proofs of any milestone, and a formalization of the paper's exact Δˉ\bar\DeltaΔˉ path rule showing that it satisfies the invariant.

Selected references

  • J. Edmonds, R. M. Karp, Theoretical Improvements in Algorithmic Efficiency for Network Flow Problems, Journal of the ACM 19(2):248–264, 1972. https://doi.org/10.1145/321694.321699
  • F. L. Hitchcock, The Distribution of a Product from Several Sources to Numerous Localities, Journal of Mathematics and Physics 20:224–230, 1941. https://doi.org/10.1002/sapm1941201224
  • L. R. Ford, D. R. Fulkerson, Flows in Networks, Princeton University Press, 1962. https://doi.org/10.1515/9781400875184
  • É. Tardos, A strongly polynomial minimum cost circulation algorithm, Combinatorica 5:247–255, 1985. https://doi.org/10.1007/BF02579369
  • J. B. Orlin, A faster strongly polynomial minimum cost flow algorithm, Proc. STOC 1988, 377–387. https://doi.org/10.1145/62212.62249
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Operations ResearchProbability·Captain: mikedeng1

On Properties of Stochastic Inventory Systems I: Using the EOQ Order Quantity in the Stochastic (Q, r) Model Raises Costs by at Most 1/8Research Paper

Motivation

The economic order quantity (EOQ) is the most widely used formula in inventory management. It assumes that demand is a deterministic constant stream. Real demand is random, and the model that accounts for this, the continuous-review (Q,r)(Q, r)(Q,r) policy with stochastic demand, has no closed-form optimum: for decades its optimal parameters were computed numerically, one instance at a time, which gave little insight into how the stochastic system behaves. Practitioners nevertheless kept using the EOQ quantity in stochastic systems and observed that the cost penalty was small (Wagner, O'Hagan and Lundh 1965; Naddor 1975; Archibald and Silver 1978), without an analytical explanation.

Zheng (Management Science 38(1), 1992) supplied that explanation. By minimising the average cost first over the reorder point and then over the order quantity, he obtained two simple optimality equations and compared the stochastic model with the EOQ model under the same cost structure. One of the results is the goal of this mission: for every leadtime-demand distribution, using the EOQ order quantity in the stochastic system raises the average cost by at most one eighth. The paper extends Federgruen and Zheng (1988), who treated the discrete-demand version of the cost function.

Setting

A single item faces demand at rate λ>0\lambda > 0λ>0. Orders are delivered after a fixed leadtime L>0L > 0L>0, and stockouts are backordered. Each order costs a fixed K>0K > 0K>0. Inventory is held at cost rate h>0h > 0h>0 per unit and backorders are penalised at cost rate p>0p > 0p>0 per unit. Let D≥0D \ge 0D≥0 be the demand during a leadtime, with mean E(D)=λLE(D) = \lambda LE(D)=λL. The newsvendor cost

G(y)=E[h(y−D)++p(D−y)+]G(y) = E\big[h(y - D)^+ + p(D - y)^+\big]G(y)=E[h(y−D)++p(D−y)+]

is the rate at which expected inventory costs accrue at time t+Lt + Lt+L when the inventory position at time ttt is yyy. It is convex, and it is assumed, as in the paper, to attain its minimum at a unique point y0y^0y0.

A (Q,r)(Q, r)(Q,r) policy orders QQQ units whenever the inventory position falls to the reorder point rrr. Its long-run average cost is

c(Q,r)=λK+∫rr+QG(y) dyQ.(1)c(Q, r) = \frac{\lambda K + \int_r^{r+Q} G(y)\,dy}{Q}. \qquad (1)c(Q,r)=QλK+∫rr+Q​G(y)dy​.(1)

For a fixed Q>0Q > 0Q>0 let r(Q)r(Q)r(Q) be an optimal reorder point, and set

H(Q)=G(r(Q)) (Q>0),H(0)=G(y0),C(Q)=c(Q,r(Q)),A(Q)=QH(Q)−∫0QH(y) dy.H(Q) = G(r(Q)) \ (Q > 0),\quad H(0) = G(y^0),\quad C(Q) = c(Q, r(Q)),\quad A(Q) = Q H(Q) - \int_0^Q H(y)\,dy .H(Q)=G(r(Q)) (Q>0),H(0)=G(y0),C(Q)=c(Q,r(Q)),A(Q)=QH(Q)−∫0Q​H(y)dy.

C(Q)C(Q)C(Q) is the average cost when the reorder point is chosen optimally for QQQ; an order quantity Q∗>0Q^* > 0Q∗>0 minimising CCC over Q>0Q > 0Q>0 is the optimal order quantity, and C∗=C(Q∗)C^* = C(Q^*)C∗=C(Q∗) is the optimal cost.

The EOQ model is the special case in which the leadtime demand is the constant λL\lambda LλL. Its cost rate is Gd(y)=h(y−λL)++p(λL−y)+G_d(y) = h(y - \lambda L)^+ + p(\lambda L - y)^+Gd​(y)=h(y−λL)++p(λL−y)+, and its optimal order quantity is

Qd∗=2λK(h+p)hp.Q^*_d = \sqrt{\frac{2\lambda K(h+p)}{hp}} .Qd∗​=hp2λK(h+p)​​.

The subscript ddd marks every object of the EOQ model (rdr_drd​, HdH_dHd​, AdA_dAd​).

Formalization targets

Goal: Theorem 5

R=C(Qd∗)−C∗C∗  ≤  18−12(12−Qd∗Q∗)2  ≤  18.R = \frac{C(Q^*_d) - C^*}{C^*} \;\le\; \frac18 - \frac12\left(\frac12 - \frac{Q^*_d}{Q^*}\right)^2 \;\le\; \frac18 .R=C∗C(Qd∗​)−C∗​≤81​−21​(21​−Q∗Qd∗​​)2≤81​.

C(Qd∗)C(Q^*_d)C(Qd∗​) is the stochastic cost at the EOQ quantity with the reorder point re-optimised for it. The bound holds for every leadtime-demand distribution and every value of the parameters.

Milestones

In the order the goal's proof uses them:

  • Lemma 1 (joint convexity of ccc), Lemma 2 (r=r(Q)  ⟺  G(r)=G(r+Q)r = r(Q) \iff G(r) = G(r+Q)r=r(Q)⟺G(r)=G(r+Q)), Lemma 3 (properties of r(Q)r(Q)r(Q)), Corollary 1 (G(r(Q))≤max⁡(G(r),G(r+Q))G(r(Q)) \le \max(G(r), G(r+Q))G(r(Q))≤max(G(r),G(r+Q)));
  • Eq. (7) (C(Q)=(λK+∫0QH)/QC(Q) = (\lambda K + \int_0^Q H)/QC(Q)=(λK+∫0Q​H)/Q), Lemma 4 (HHH increasing, convex, asymptotic slope hp/(h+p)hp/(h+p)hp/(h+p)), Lemma 5 (CCC convex), Eq. (8) (H(Q∗)=C(Q∗)H(Q^*) = C(Q^*)H(Q∗)=C(Q∗)), Theorem 1 ((Q,r)(Q, r)(Q,r) optimal iff c(Q,r)=G(r)=G(r+Q)c(Q,r) = G(r) = G(r+Q)c(Q,r)=G(r)=G(r+Q)), Lemma 6 (AAA increasing convex, Q=Q∗  ⟺  A(Q)=λKQ = Q^* \iff A(Q) = \lambda KQ=Q∗⟺A(Q)=λK, comparative statics in KKK);
  • Eqs. (18), (20) (the EOQ model: Hd(Q)=hpQ/(h+p)H_d(Q) = hpQ/(h+p)Hd​(Q)=hpQ/(h+p) and the formula for Qd∗Q^*_dQd∗​), Eq. (22) (Gd≤GG_d \le GGd​≤G), Lemma 7 (H0≤Hd≤HH_0 \le H_d \le HH0​≤Hd​≤H, A≤AdA \le A_dA≤Ad​), and the first inequality of Theorem 2, Qd∗≤Q∗Q^*_d \le Q^*Qd∗​≤Q∗.

Significance

The theorem is a distribution-free worst-case guarantee for the most common heuristic in inventory practice. It says that the EOQ formula, which needs only the mean demand rate and three cost parameters, loses at most 12.5%12.5\%12.5% against the true optimum, and that the loss is smaller when Qd∗/Q∗Q^*_d/Q^*Qd∗​/Q∗ is close to 12\frac1221​ or to 111. Combined with the paper's Theorem 2 (the gap Q∗−Qd∗Q^* - Q^*_dQ∗−Qd∗​ is bounded as KKK grows), it implies that the relative loss vanishes as the fixed ordering cost grows. The milestones along the way (the optimality conditions of Theorem 1, the monotonicity of the optimal reorder point, the comparison of HHH with its EOQ counterpart) are the standard structural facts about continuous (Q,r)(Q, r)(Q,r) systems and are reused throughout the inventory literature.

The result is proved in the paper. No machine-checked version of it, or of the (Q,r)(Q, r)(Q,r) optimality conditions for the continuous cost (1), is known to exist. The platform has related but different formalizations: the discrete cost function with integer QQQ (InventoryControl_rqDiscrete), the (R,Q)(R, Q)(R,Q) cost under normal demand (InventoryControl_rq), and the EOQ without backorders (InventoryControl_eoq). A complete development here provides the continuous (Q,r)(Q, r)(Q,r) machinery for an arbitrary leadtime-demand distribution.

Difficulty

The paper's proofs differentiate r(Q)r(Q)r(Q) and H(Q)H(Q)H(Q) twice (Eqs. (4), (5)), which presupposes a leadtime demand with a smooth density. The formalization does not assume one, so that discrete demand, such as the Poisson demand of the paper's own numerical study, is covered. Every step that the paper takes through derivatives, in particular the convexity of HHH and the slope bound H′≤hp/(h+p)H' \le hp/(h+p)H′≤hp/(h+p), has to be established by other means: through one-sided derivatives or chord arguments for the convex function GGG, whose kinks are where the derivative-based argument breaks. The definition of r(Q)r(Q)r(Q) as a minimiser also means its existence and uniqueness must be proved before any property of HHH, CCC or AAA can be used.

Formalization scope

  • The model is a probability measure μ\muμ on R\mathbb{R}R (the law of DDD), concentrated on [0,∞)[0,\infty)[0,∞), integrable, with mean λL\lambda LλL; GGG is the integral of hmax⁡(y−x,0)+pmax⁡(x−y,0)h\max(y-x,0) + p\max(x-y,0)hmax(y−x,0)+pmax(x−y,0) against μ\muμ. The standing assumptions are bundled in IsQRModel: λ,L,h,p>0\lambda, L, h, p > 0λ,L,h,p>0, the conditions on μ\muμ, and the unique minimiser of GGG (paper, p. 90). K>0K > 0K>0 is a separate hypothesis. No density is assumed.
  • ccc, r(Q)r(Q)r(Q), y0y^0y0, HHH, H0H_0H0​, CCC, AAA and optimality of an order quantity are defined for an arbitrary cost rate GGG and applied both to the newsvendor cost and to GdG_dGd​; the EOQ objects rdr_drd​, HdH_dHd​, AdA_dAd​ are these definitions at GdG_dGd​, and Eqs. (18), (20) are theorems.
  • r(Q)r(Q)r(Q) is a chosen minimiser of c(Q,⋅)c(Q,\cdot)c(Q,⋅) (never defined by G(r)=G(r+Q)G(r) = G(r+Q)G(r)=G(r+Q), which is Lemma 2). H(0):=G(y0)H(0) := G(y^0)H(0):=G(y0); right-continuity of HHH at 000 is part of the Lemma 4 milestone. Order quantities range over (0,∞)(0,\infty)(0,∞) for ccc and CCC and over [0,∞)[0,\infty)[0,∞) for HHH, H0H_0H0​, AAA.
  • Q∗Q^*Q∗ in the goal is any Q>0Q > 0Q>0 with C(Q)≤C(Q′)C(Q) \le C(Q')C(Q)≤C(Q′) for all Q′>0Q' > 0Q′>0; Lemma 6 asserts that exactly one exists, so the goal is not vacuous. Qd∗Q^*_dQd∗​ is the explicit square-root formula.
  • Readings of informal words: "increasing" in Lemmas 4 and 6 means strictly increasing on [0,∞)[0,\infty)[0,∞); "Q∗Q^*Q∗ increasing, r∗r^*r∗ decreasing in KKK" means strictly; "asymptotic slope hp/(h+p)hp/(h+p)hp/(h+p)" means that every chord of HHH on [0,∞)[0,\infty)[0,∞) has slope at most hp/(h+p)hp/(h+p)hp/(h+p) and H(Q)/Q→hp/(h+p)H(Q)/Q \to hp/(h+p)H(Q)/Q→hp/(h+p); Lemma 3 part 3 is stated as strict monotonicity of r(Q)r(Q)r(Q) and r(Q)+Qr(Q) + Qr(Q)+Q, and its derivative clause −1<r′(Q)<0-1 < r'(Q) < 0−1<r′(Q)<0 is omitted because rrr need not be differentiable without a density; "the optimal order quantity" means existence and uniqueness; Lemma 7 is stated for Q≥0Q \ge 0Q≥0.
  • A trivializing formalization is ruled out: C(Qd∗)C(Q^*_d)C(Qd∗​) is the stochastic cost with the reorder point re-optimised in the stochastic model (not the EOQ reorder point rd∗r^*_drd∗​), and no positivity of C∗C^*C∗ is assumed (it follows from the model).
  • Out of scope: the discrete cost (2), the §4 numerical study, and the unnumbered remarks after Theorem 5.
  • Needed infrastructure: interval integrals of convex functions, partial minimisation of jointly convex functions, Jensen's inequality for μ\muμ, and one-sided derivatives of convex functions. The generic (Q,r)(Q, r)(Q,r) machinery (optimality conditions for arbitrary convex GGG) is reusable for other continuous-review models. Proofs of any milestone, and alternative proofs that avoid the paper's differentiability assumptions, are welcome.

Selected references

  • Yu-Sheng Zheng, On Properties of Stochastic Inventory Systems, Management Science 38(1):87–103, 1992. https://doi.org/10.1287/mnsc.38.1.87
  • Awi Federgruen and Yu-Sheng Zheng, An Efficient Algorithm for Computing an Optimal (r, Q) Policy in Continuous Review Stochastic Inventory Systems, Operations Research 40(4):808–813, 1992. https://doi.org/10.1287/opre.40.4.808
  • Paul H. Zipkin, Inventory Service-Level Measures: Convexity and Approximation, Management Science 32(8):975–981, 1986. https://doi.org/10.1287/mnsc.32.8.975
  • George Hadley and Thomson M. Whitin, Analysis of Inventory Systems, Prentice-Hall, 1963.
  • Daniel P. Heyman and Matthew J. Sobel, Stochastic Models in Operations Research, Vol. II, McGraw-Hill, 1984.
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AnalysisOperations Research·Captain: mikedeng1

Robust Mean-Covariance Solutions for Stochastic Optimization II: An Inverse S-Shaped Derivative with Finite Limits Gives the Two-Point Support PropertyResearch Paper

Motivation

In stochastic optimization the law of a random return rrr is rarely known exactly, while its mean and variance can be estimated. A robust mean-covariance decision maker therefore evaluates a utility uuu by its worst case

U=inf⁡{ Eν[u(r)]:ν a law on R with mean μ and variance σ2 }.U=\inf\{\,E_\nu[u(r)] : \nu \text{ a law on } \mathbb R \text{ with mean } \mu \text{ and variance } \sigma^2\,\}.U=inf{Eν​[u(r)]:ν a law on R with mean μ and variance σ2}.

Popescu (Operations Research 55(1), 2007) shows that for large classes of utilities this infinite-dimensional problem collapses to a one-dimensional one. The paper projects multivariate problems to a single dimension (the subject of the first mission of this series) and then asks for which uuu the univariate worst case sits on laws with two support points. This mission formalizes the answer the paper gives for utilities whose marginal utility u′u'u′ is decreasing and changes curvature once, with finite limits: log-logistic utilities C+log⁡11+e−axC+\log\frac{1}{1+e^{-ax}}C+log1+e−ax1​ used in statistics and classification, and catenary-type utilities C−bcosh⁡(ax)C-b\cosh(ax)C−bcosh(ax), each plus a concave quadratic.

The result has a bounded-support precursor: Birge and Dulá (Annals of Operations Research 30, 1991, Theorem 5.1, as cited on p. 102 of Popescu 2007) proved an analogous two-point statement for functions on a bounded interval. Popescu's Proposition 5 is the unbounded version on the whole real line.

Setting

Let u:R→Ru:\mathbb R\to\mathbb Ru:R→R.

  • The family Q\mathcal QQ collects the coefficient triples of quadratics lying below uuu: Q={(A,B,C)∣q(y)=Ay2+By+C≤u(y) ∀y∈R}\mathcal Q=\{(A,B,C) \mid q(y)=Ay^2+By+C\le u(y)\ \forall y\in\mathbb R\}Q={(A,B,C)∣q(y)=Ay2+By+C≤u(y) ∀y∈R}.
  • A two-point law with support {a,b}\{a,b\}{a,b}, a<ba<ba<b, puts mass p∈(0,1)p\in(0,1)p∈(0,1) on aaa and 1−p1-p1−p on bbb. It has mean μ\muμ and variance σ2\sigma^2σ2 when pa+(1−p)b=μpa+(1-p)b=\mupa+(1−p)b=μ and p(a−μ)2+(1−p)(b−μ)2=σ2p(a-\mu)^2+(1-p)(b-\mu)^2=\sigma^2p(a−μ)2+(1−p)(b−μ)2=σ2.
  • Two-point support property (Definition 1). uuu has it with respect to (μ,σ2)(\mu,\sigma^2)(μ,σ2) if some quadratic qqq with coefficients in Q\mathcal QQ meets uuu at two points a<ba<ba<b, i.e. q(a)=u(a)q(a)=u(a)q(a)=u(a), q(b)=u(b)q(b)=u(b)q(b)=u(b), and a two-point law with support {a,b}\{a,b\}{a,b}, mean μ\muμ and variance σ2\sigma^2σ2 exists. uuu has the two-point support property if this holds for every μ∈R\mu\in\mathbb Rμ∈R and every σ>0\sigma>0σ>0.
  • Shapes (Definition 2). f:R→Rf:\mathbb R\to\mathbb Rf:R→R is convex-concave if for some x0x_0x0​ it is convex on (−∞,x0)(-\infty,x_0)(−∞,x0​) and concave on (x0,∞)(x_0,\infty)(x0​,∞); concave-convex if −f-f−f is convex-concave; S-shaped if increasing and convex-concave; inverse S-shaped if −f-f−f is S-shaped. So an inverse S-shaped fff is decreasing, concave on (−∞,x0)(-\infty,x_0)(−∞,x0​) and convex on (x0,∞)(x_0,\infty)(x0​,∞).
  • Lemma 1's quadratic. For a<ba<ba<b and slopes qa,qbq_a,q_bqa​,qb​, set
A=qb−qa2(b−a),B=bqa−aqbb−a,C=bu(a)−au(b)b−a−ab qa−qb2(b−a),A=\frac{q_b-q_a}{2(b-a)},\quad B=\frac{bq_a-aq_b}{b-a},\quad C=\frac{bu(a)-au(b)}{b-a}-ab\,\frac{q_a-q_b}{2(b-a)},A=2(b−a)qb​−qa​​,B=b−abqa​−aqb​​,C=b−abu(a)−au(b)​−ab2(b−a)qa​−qb​​,

and q(y)=Ay2+By+Cq(y)=Ay^2+By+Cq(y)=Ay2+By+C (lemma1Quad).

  • The function ggg. For μ∈R\mu\in\mathbb Rμ∈R, σ>0\sigma>0σ>0 and y<μy<\muy<μ let z=μ+σ2/(μ−y)z=\mu+\sigma^2/(\mu-y)z=μ+σ2/(μ−y) (partnerPoint) and g(y)=u(z)−u(y)z−y−u′(y)+u′(z)2g(y)=\frac{u(z)-u(y)}{z-y}-\frac{u'(y)+u'(z)}{2}g(y)=z−yu(z)−u(y)​−2u′(y)+u′(z)​ (prop5Gap).

Formalization targets

Goal: Proposition 5 (p. 102)

If uuu is differentiable, u′u'u′ is inverse S-shaped, and the limits lim⁡y→−∞u′(y)\lim_{y\to-\infty}u'(y)limy→−∞​u′(y) and lim⁡y→+∞u′(y)\lim_{y\to+\infty}u'(y)limy→+∞​u′(y) exist and are finite, then

u satisfies the two-point support property.u \text{ satisfies the two-point support property.}u satisfies the two-point support property.

Milestones

  1. Proof of Lemma 1, first sentence. If a<ba<ba<b and u(b)−u(a)b−a=qa+qb2\frac{u(b)-u(a)}{b-a}=\frac{q_a+q_b}{2}b−au(b)−u(a)​=2qa​+qb​​, then q(a)=u(a)q(a)=u(a)q(a)=u(a) and q(b)=u(b)q(b)=u(b)q(b)=u(b).
  2. Tangency (p. 110). q′(a)=qaq'(a)=q_aq′(a)=qa​ and q′(b)=qbq'(b)=q_bq′(b)=qb​.
  3. Lemma 1. uuu has two-point support if and only if for all μ\muμ and σ>0\sigma>0σ>0 there are a<ba<ba<b and qa,qbq_a,q_bqa​,qb​ with
(b−μ)(μ−a)=σ2,u(b)−u(a)b−a=qa+qb2,q≤u on R.(b-\mu)(\mu-a)=\sigma^2,\qquad \frac{u(b)-u(a)}{b-a}=\frac{q_a+q_b}{2},\qquad q\le u \text{ on } \mathbb R.(b−μ)(μ−a)=σ2,b−au(b)−u(a)​=2qa​+qb​​,q≤u on R.
  1. Limits of ggg (p. 110). Under the goal's hypotheses, with ℓ±=lim⁡y→±∞u′(y)\ell_\pm=\lim_{y\to\pm\infty}u'(y)ℓ±​=limy→±∞​u′(y),
lim⁡y→−∞g(y)=ℓ−−u′(μ)2>0,lim⁡y→μ−g(y)=ℓ+−u′(μ)2<0.\lim_{y\to-\infty}g(y)=\frac{\ell_--u'(\mu)}{2}>0,\qquad \lim_{y\to\mu^-}g(y)=\frac{\ell_+-u'(\mu)}{2}<0 .y→−∞lim​g(y)=2ℓ−​−u′(μ)​>0,y→μ−lim​g(y)=2ℓ+​−u′(μ)​<0.
  1. A zero of ggg (p. 110). There is a<μa<\mua<μ with g(a)=0g(a)=0g(a)=0; with b=μ+σ2/(μ−a)b=\mu+\sigma^2/(\mu-a)b=μ+σ2/(μ−a) one has a<ba<ba<b, (b−μ)(μ−a)=σ2(b-\mu)(\mu-a)=\sigma^2(b−μ)(μ−a)=σ2 and u(b)−u(a)b−a=u′(a)+u′(b)2\frac{u(b)-u(a)}{b-a}=\frac{u'(a)+u'(b)}{2}b−au(b)−u(a)​=2u′(a)+u′(b)​.

Significance

The result. Through the paper's Proposition 4, two-point support turns the worst-case expected utility over all laws with mean μ\muμ and variance σ2\sigma^2σ2 into a minimization over a single parameter p∈(0,1)p\in(0,1)p∈(0,1) of pu(μ+(1−p)/p σ)+(1−p)u(μ−p/(1−p) σ)pu(\mu+\sqrt{(1-p)/p}\,\sigma)+(1-p)u(\mu-\sqrt{p/(1-p)}\,\sigma)pu(μ+(1−p)/p​σ)+(1−p)u(μ−p/(1−p)​σ). Combined with the projection property of the paper's Section 2, this gives tractable robust counterparts of multivariate stochastic programs whose objective depends on a linear combination x′Rx'Rx′R of random returns. Proposition 5 is the paper's sufficient condition that places a concrete class of utilities in this regime; it is also closed under adding any quadratic.

Formalizing it. The result is proved on paper; no machine-checked version is known. The formalization produces a checked characterization of two-point support (Lemma 1), a reusable encoding of convex-concave and S-shaped functions, and a proof of Proposition 5. The printed final step of the paper's proof is incomplete (see Difficulty), so a complete formal proof requires an argument the paper does not spell out.

Difficulty

Conditions (a) and (b) of Lemma 1 come from a sign change of ggg on (−∞,μ)(-\infty,\mu)(−∞,μ): the two limits in milestone 4 need a l'Hôpital-type argument and the continuity of a monotone derivative. The central difficulty is condition (c): showing that the quadratic built from a pair (a,b)(a,b)(a,b) lies below uuu on the whole line. The obvious argument takes any zero aaa of ggg and counts the intersections of the linear q′q'q′ with the inverse S-shaped u′u'u′. This fails when u′u'u′ is affine on an interval: a zero of ggg can then produce a quadratic that coincides with uuu on [a,b][a,b][a,b] but crosses above uuu just left of aaa. A proof must therefore choose the zero of ggg, or the pair (a,b)(a,b)(a,b), with care, and the curvature hypotheses are not strict.

Formalization scope

  • Functions are ℝ → ℝ; u′u'u′ is deriv u, and the goal assumes Differentiable ℝ u. Finite limits are Tendsto (deriv u) atBot (𝓝 l) and Tendsto (deriv u) atTop (𝓝 l) for some real l; the one-sided limit at μ\muμ is along 𝓝[<] μ.
  • "Increasing" in Definition 2 is strict (StrictMono); the paper writes "nondecreasing" for the weak notion. Convexity and concavity are ConvexOn/ConcaveOn on the open half-lines Set.Iio x₀, Set.Ioi x₀, as printed.
  • A two-point law is encoded by its mass p∈(0,1)p\in(0,1)p∈(0,1) on aaa, with a<ba<ba<b; this is equivalent to a probability measure on R\mathbb RR with support {a,b}\{a,b\}{a,b}, mean μ\muμ and variance σ2\sigma^2σ2.
  • "Intersects it at two points a,ba,ba,b" is read as q(a)=u(a)q(a)=u(a)q(a)=u(a) and q(b)=u(b)q(b)=u(b)q(b)=u(b) for some a<ba<ba<b (at least two contact points). This is the reading under which Lemma 1 is an equivalence.
  • The two-point support property quantifies over σ>0\sigma>0σ>0: no two-point law has variance 000, so including σ=0\sigma=0σ=0 would make the property false for every uuu.
  • The two-point support property is defined from Definition 1 (supporting quadratic plus feasible law), not from Lemma 1's conditions, so Lemma 1 is not a tautology. Every division by b−ab-ab−a, z−yz-yz−y or μ−y\mu-yμ−y occurs under a<ba<ba<b or y<μy<\muy<μ.

Useful infrastructure: l'Hôpital's rule at infinity (Analysis/Calculus/LHopital), Darboux's theorem for derivatives, the intermediate value theorem, and one-sided limits of monotone functions. The shape definitions of Definition 2 are reusable for S-shaped value functions elsewhere (prospect theory, sigmoidal utilities). Proofs of the milestones, of the goal, and alternative arguments for condition (c) are all welcome. Related platform work: Wasserstein Distributionally Robust Optimization II.

Selected references

  • I. Popescu, Robust Mean-Covariance Solutions for Stochastic Optimization, Operations Research 55(1):98–112, 2007. https://doi.org/10.1287/opre.1060.0353
  • J. R. Birge, J. H. Dulá, Bounding separable recourse functions with limited distribution information, Annals of Operations Research 30:277–298, 1991 (cited in Popescu 2007, reference list)
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Convex OptimizationMachine LearningOperations Research·Captain: mikedeng1

Logarithmic Regret Algorithms for Online Convex Optimization 1: Logarithmic Regret of Online Gradient DescentResearch Paper

Motivation

Online convex optimization is a repeated game between a learner and an adversary. In each round t=1,…,Tt=1,\dots,Tt=1,…,T the learner commits to a point xtx_txt​ of a convex set P⊆Rn\mathcal P\subseteq\mathbb R^nP⊆Rn; only then is a convex cost function ftf_tft​ revealed, and the learner pays ft(xt)f_t(x_t)ft​(xt​). The learner is judged by its regret: its total cost minus the total cost of the best fixed point chosen in hindsight. The model covers online portfolio selection, online regression, prediction with expert advice and the analysis of stochastic gradient methods, and it is the standard language of online learning theory.

Zinkevich (ICML 2003) showed that projected gradient descent with step sizes of order 1/t1/\sqrt t1/t​ has regret O(GDT)O(GD\sqrt T)O(GDT​) for any convex costs with gradients bounded by GGG on a set of diameter DDD, and this rate cannot be improved for linear costs. Hazan, Agarwal and Kale (Machine Learning 69, 2007) asked what curvature buys. Their first result, the subject of this mission, is that the same algorithm with the faster step sizes 1/(Ht)1/(Ht)1/(Ht) has regret only logarithmic in TTT once every cost function is HHH-strongly convex. The paper's other three results (the Online Newton Step, Follow the Approximate Leader and Exponentially Weighted Online Optimization, for exp-concave costs) are the subject of the other missions of this series.

Setting

Fix n∈Nn\in\mathbb Nn∈N and a nonempty, closed, bounded, convex set P⊆Rn\mathcal P\subseteq\mathbb R^nP⊆Rn, with the Euclidean norm ∥⋅∥2\|\cdot\|_2∥⋅∥2​ (§2.1, p. 171).

  • Cost functions. A sequence f1,f2,⋯:Rn→Rf_1,f_2,\dots:\mathbb R^n\to\mathbb Rf1​,f2​,⋯:Rn→R. Write ∇ft(x)\nabla f_t(x)∇ft​(x) for the gradient and ∇2ft(x)\nabla^2 f_t(x)∇2ft​(x) for the Hessian.
  • Gradient bound. A number GGG with ∥∇ft(x)∥2≤G\|\nabla f_t(x)\|_2\le G∥∇ft​(x)∥2​≤G for all x∈Px\in\mathcal Px∈P and all rounds ttt (p. 172).
  • HHH-strong convexity (p. 172). For H>0H>0H>0, fff is HHH-strongly convex on P\mathcal PP when it is twice differentiable and ∇2f(x)⪰HIn\nabla^2 f(x)\succeq H I_n∇2f(x)⪰HIn​ for every x∈Px\in\mathcal Px∈P, i.e. v⊤∇2f(x)v≥H∥v∥22v^\top\nabla^2 f(x)v\ge H\|v\|_2^2v⊤∇2f(x)v≥H∥v∥22​ for all vvv.
  • Euclidean projection. ΠP(y)\Pi_{\mathcal P}(y)ΠP​(y) is the point of P\mathcal PP nearest to yyy, ΠP(y)=arg⁡min⁡x∈P∥x−y∥2\Pi_{\mathcal P}(y)=\arg\min_{x\in\mathcal P}\|x-y\|_2ΠP​(y)=argminx∈P​∥x−y∥2​ (IsProj P y z).
  • Online Gradient Descent (Fig. 1, p. 174), with step sizes η1,η2,…\eta_1,\eta_2,\dotsη1​,η2​,…: x1∈Px_1\in\mathcal Px1​∈P is arbitrary, and in iteration t>1t>1t>1
xt=ΠP(xt−1−ηt∇ft−1(xt−1))x_t=\Pi_{\mathcal P}\bigl(x_{t-1}-\eta_t\nabla f_{t-1}(x_{t-1})\bigr)xt​=ΠP​(xt−1​−ηt​∇ft−1​(xt−1​))

(IsOGDRun P η f x).

  • Regret (p. 171): RegretT=∑t=1Tft(xt)−min⁡x∈P∑t=1Tft(x)\mathrm{Regret}_T=\sum_{t=1}^T f_t(x_t)-\min_{x\in\mathcal P}\sum_{t=1}^T f_t(x)RegretT​=∑t=1T​ft​(xt​)−minx∈P​∑t=1T​ft​(x), and RegretT(OGD)\mathrm{Regret}_T(\mathrm{OGD})RegretT​(OGD) is its supremum over all cost sequences.

Formalization targets

Goal: Theorem 1 (p. 175)

For H>0H>0H>0, cost functions that are HHH-strongly convex on P\mathcal PP with gradients bounded by GGG on P\mathcal PP, and any run of Online Gradient Descent whose step after round ttt is ηt+1=1/(Ht)\eta_{t+1}=1/(Ht)ηt+1​=1/(Ht), for every T≥1T\ge1T≥1 and every u∈Pu\in\mathcal Pu∈P:

∑t=1T(ft(xt)−ft(u)) ≤ G22H (1+log⁡T).\sum_{t=1}^{T}\bigl(f_t(x_t)-f_t(u)\bigr)\ \le\ \frac{G^2}{2H}\,\bigl(1+\log T\bigr).t=1∑T​(ft​(xt​)−ft​(u)) ≤ 2HG2​(1+logT).

This is LogRegretOCO.OGD.ogd_regret_bound. The constant is the paper's, and at T=1T=1T=1 the bound reads G2/(2H)G^2/(2H)G2/(2H).

Milestones

  1. Eq. (1), the strong-convexity inequality: for x,y∈Px,y\in\mathcal Px,y∈P, 2(f(x)−f(y))≤2∇f(x)⊤(x−y)−H∥y−x∥222(f(x)-f(y))\le 2\nabla f(x)^\top(x-y)-H\|y-x\|_2^22(f(x)−f(y))≤2∇f(x)⊤(x−y)−H∥y−x∥22​.
  2. Lemma 8 with A=InA=I_nA=In​: for a convex P\mathcal PP, z=ΠP(y)z=\Pi_{\mathcal P}(y)z=ΠP​(y) and a∈Pa\in\mathcal Pa∈P, ∥y−a∥22≥∥z−a∥22\|y-a\|_2^2\ge\|z-a\|_2^2∥y−a∥22​≥∥z−a∥22​. This is already on the platform, proved, as UnderstandingML.projection_lemma, and is reused as a reference item.
  3. Eq. (2), the one-step inequality: for z=ΠP(x−ηg)z=\Pi_{\mathcal P}(x-\eta g)z=ΠP​(x−ηg), η>0\eta>0η>0, ∥g∥2≤G\|g\|_2\le G∥g∥2​≤G and u∈Pu\in\mathcal Pu∈P, 2g⊤(x−u)≤(∥x−u∥22−∥z−u∥22)/η+ηG22g^\top(x-u)\le(\|x-u\|_2^2-\|z-u\|_2^2)/\eta+\eta G^22g⊤(x−u)≤(∥x−u∥22​−∥z−u∥22​)/η+ηG2.

The last step of the argument is the harmonic-sum bound ∑t=1T1/t≤1+log⁡T\sum_{t=1}^T 1/t\le 1+\log T∑t=1T​1/t≤1+logT, which Mathlib already provides (harmonic_le_one_add_log).

Significance

The result. Theorem 1 separates two regimes of online convex optimization: Θ(T)\Theta(\sqrt T)Θ(T​) regret for general convex costs and O(log⁡T)O(\log T)O(logT) for strongly convex ones, with an algorithm that costs one gradient and one projection per round. Through the online-to-batch conversion, the same step-size schedule gives the O(log⁡T/T)O(\log T/T)O(logT/T) rate of stochastic gradient descent on strongly convex objectives. The theorem is also the reference point for the paper's weaker exp-concavity assumption, under which the other three algorithms obtain O(nlog⁡T)O(n\log T)O(nlogT) regret.

Formalizing it. The result is proved and well known; what this mission adds is a machine-checked proof with the paper's exact constant. The Prove2Me platform holds a statement of the textbook version of this theorem (Hazan, Introduction to Online Convex Optimization, Theorem 3.3), OnlineConvexOpt.FirstOrder.online_gradient_descent_strongly_convex_regret, but it is Disproved: its regret is written with a real infimum over the decision set, which Lean evaluates to a junk value. No proved version of the logarithmic bound is on the platform. The strong-convexity inequality, the one-step projected-gradient inequality and the telescoping argument are reusable by every later formalization of gradient methods on the platform.

Difficulty

The argument is short, and its difficulty lies in the bookkeeping. The telescoping sum of squared distances cancels exactly only with the right step-size indexing: the step taken after round ttt must be 1/(Ht)1/(Ht)1/(Ht). Reading Fig. 1 literally with ηt=1/(Ht)\eta_t=1/(Ht)ηt​=1/(Ht) makes the step after round ttt equal to 1/(H(t+1))1/(H(t+1))1/(H(t+1)), and the sum then leaves an uncancelled term H2∥x1−x∗∥22\frac H2\|x_1-x^*\|_2^22H​∥x1​−x∗∥22​ that the printed bound does not contain. Strong convexity is a statement about the Hessian, so the curvature inequality (1) needs a second-order Taylor expansion along a segment of P\mathcal PP; convexity of P\mathcal PP keeps the segment inside the set where the Hessian bound holds. The projection step needs the obtuse-angle property of Euclidean projection onto a convex set.

Formalization scope

Points are EuclideanSpace ℝ (Fin n), so ∥⋅∥\|\cdot\|∥⋅∥ is the Euclidean norm (the sup norm of Fin n → ℝ would change the gradient bound). Cost functions are functions on all of Rn\mathbb R^nRn, as the paper's use of gradients and Hessians presupposes; the gradient is Mathlib's gradient, and the Hessian quadratic form is the second Fréchet derivative applied to (v,v)(v,v)(v,v). Rounds are 1-based: x 0, f 0 and η 1 are never read, and sums run over Finset.Icc 1 T. The run of the algorithm is a predicate on the whole trajectory, required at every round; the projection is a predicate (nearest point of P\mathcal PP), which is unique for nonempty closed convex P\mathcal PP.

Choices and corrections relative to the printed text:

  • Step-size index. Theorem 1 prints "step sizes ηt=1Ht\eta_t=\frac1{Ht}ηt​=Ht1​", while its proof sets ηt+1=1/(Ht)\eta_{t+1}=1/(Ht)ηt+1​=1/(Ht) for the step after round ttt. The goal uses the proof's indexing, as a hypothesis η (t + 1) = 1 / (H * t) for t≥1t\ge1t≥1 on the step sizes of Fig. 1.
  • Eq. (2). The paper prints "5∇t⊤(xt−x∗)5\nabla_t^\top(x_t-x^*)5∇t⊤​(xt​−x∗)"; the 555 is a typo for 222, and the milestone states 222. The verbatim milestone text keeps the printed 555.
  • Regret. Regret is stated against every comparator u∈Pu\in\mathcal Pu∈P; the minimum over the compact set P\mathcal PP is attained, so this is the paper's statement. The expectation in the paper's regret is vacuous for this deterministic algorithm, and the supremum over cost sequences is the universal quantifier over fff.
  • Hypotheses. Strong convexity and the gradient bound are required for the rounds 1,…,T1,\dots,T1,…,T only. Convexity of each ftf_tft​, a standing assumption of §2.2, follows from HHH-strong convexity on the convex set P\mathcal PP and is not added. No diameter bound enters Theorem 1.

A regret bound written with a real ⨅/sInf over P\mathcal PP, or a bound for an arbitrary sequence satisfying Eq. (2) instead of a run of the paper's algorithm, would not be Theorem 1; the goal quantifies over every comparator in P\mathcal PP and carries the run predicate, the Hessian hypothesis and the gradient bound. The hypotheses are jointly satisfiable: on the closed unit ball, ft(x)=H2∥x∥22f_t(x)=\frac H2\|x\|_2^2ft​(x)=2H​∥x∥22​ with G=HG=HG=H meets all of them.

Contributions welcome: proofs of the two inequalities and of the goal; a general projection lemma for positive semidefinite AAA (Lemma 8 in full, needed by the Online Newton Step mission) is reusable beyond this mission.

Selected references

  • E. Hazan, A. Agarwal, S. Kale, Logarithmic regret algorithms for online convex optimization, Machine Learning 69 (2007), 169–192. https://doi.org/10.1007/s10994-007-5016-8
  • M. Zinkevich, Online convex programming and generalized infinitesimal gradient ascent, ICML 2003. https://www.aaai.org/Papers/ICML/2003/ICML03-120.pdf
  • E. Hazan, Introduction to Online Convex Optimization, 2nd ed., MIT Press 2022 (Theorem 3.3). https://arxiv.org/abs/1909.05207
  • S. Shalev-Shwartz, S. Ben-David, Understanding Machine Learning: From Theory to Algorithms, Cambridge University Press 2014 (Lemma 14.9, the projection lemma). https://doi.org/10.1017/CBO9781107298019
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