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Information TheoryMathematical PhysicsQuantum Information·Captain: wurtle

The entropy photon-number inequalityResearch Paper

Motivation

Shannon's entropy power inequality bounds the entropy of a sum of independent random vectors below by the entropies of the summands; it is a basic tool for classical Gaussian channel capacities. In optical communication, addition is replaced by passive mixing of bosonic modes at a beam splitter. Guha, Erkmen and Shapiro conjectured the sharp bosonic analogue, the entropy photon-number inequality (EPnI), stated in terms of the photon number of the thermal state with the same entropy (ITA 2008). If true, it settles the minimum output entropy of thermal attenuators at fixed input entropy and the capacity regions of bosonic broadcast and wiretap channels, which had been reduced to this inequality (PRA 2007).

This mission asks for a formal proof of the EPnI for finite-energy inputs in any finite number of modes, as stated in an OpenAI preprint dated September 24, 2026 (source). The preprint has not been peer reviewed and its claims have not been independently verified; on the platform the Lean goal is open.

Background

  • 1948–1965 — Shannon introduces entropy power; Stam (1959) and Blachman (IEEE IT 1965) prove the entropy power inequality.
  • 2004 — Capacity of the pure-loss bosonic channel (PRL 2004) and the minimum-output-entropy conjecture (PRA 2004).
  • 2007–2008 — Guha, Shapiro and Erkmen relate broadcast capacity to a minimum-output-entropy conjecture; Guha, Erkmen and Shapiro state the EPnI.
  • 2011 — Special cases (one-mode number-diagonal inputs) by Das, Sharma and Muthukrishnan (arXiv:1107.2365).
  • 2014 — König and Smith prove a quantum entropy power inequality, including S(ρC)≥ηS(ρA)+(1−η)S(ρB)S(\rho_C)\ge\eta S(\rho_A)+(1-\eta)S(\rho_B)S(ρC​)≥ηS(ρA​)+(1−η)S(ρB​) (IEEE IT 2014); De Palma, Mari and Giovannetti prove the exponential form eS(ρC)/n≥ηeS(ρA)/n+(1−η)eS(ρB)/ne^{S(\rho_C)/n}\ge\eta e^{S(\rho_A)/n}+(1-\eta)e^{S(\rho_B)/n}eS(ρC​)/n≥ηeS(ρA​)/n+(1−η)eS(ρB​)/n (Nat. Photonics 2014).
  • 2015 — Giovannetti, Holevo and García-Patrón solve the Gaussian optimizer conjecture for unconstrained minimum output entropy (CMP 2015).
  • 2016–2018 — De Palma, Trevisan and Giovannetti settle one-mode constrained problems (IEEE IT 2017; PRL 2017); De Palma and Trevisan give a rigorous finite-energy conditional EPI (CMP 2018).
  • September 2026 — The OpenAI preprint claims the two-input EPnI for all finite-energy inputs (Theorem 1.1, p. 2).

Setting

An nnn-mode bosonic system has Fock space ℓ2(Nn)\ell^2(\mathbb N^n)ℓ2(Nn) with number basis ∣k⟩|k\rangle∣k⟩, k∈Nnk\in\mathbb N^nk∈Nn. A state is a positive trace-one operator ρ\rhoρ; it has finite energy if Tr⁡ρ∑jaj†aj=∑k(k1+⋯+kn)⟨k∣ρ∣k⟩<∞\operatorname{Tr}\rho\sum_ja_j^\dagger a_j=\sum_k(k_1+\dots+k_n)\langle k|\rho|k\rangle<\inftyTrρ∑j​aj†​aj​=∑k​(k1​+⋯+kn​)⟨k∣ρ∣k⟩<∞. The von Neumann entropy is S(ρ)=−Tr⁡ρlog⁡ρS(\rho)=-\operatorname{Tr}\rho\log\rhoS(ρ)=−Trρlogρ (natural log). The thermal entropy per mode is

g(t)=(t+1)log⁡(t+1)−tlog⁡t,t≥0,g(t)=(t+1)\log(t+1)-t\log t,\qquad t\ge0,g(t)=(t+1)log(t+1)−tlogt,t≥0,

increasing from 000 to ∞\infty∞, and the entropy photon number of ρ\rhoρ is N(ρ)=g−1(S(ρ)/n)N(\rho)=g^{-1}(S(\rho)/n)N(ρ)=g−1(S(ρ)/n), the mean photon number per mode of the product thermal state with the same entropy. For independent inputs ρA,ρB\rho_A,\rho_BρA​,ρB​ and transmissivity 0≤η≤10\le\eta\le10≤η≤1, the beam-splitter output ρC\rho_CρC​ is the reduced state of the modes cj=η aj+1−η bjc_j=\sqrt\eta\,a_j+\sqrt{1-\eta}\,b_jcj​=η​aj​+1−η​bj​ after passive mixing of ρA⊗ρB\rho_A\otimes\rho_BρA​⊗ρB​. No independence among the modes within either input is assumed.

Formalization targets

Goal: Theorem 1.1 (p. 2)

For every finite n≥1n\ge1n≥1, every pair of finite-energy nnn-mode states ρA,ρB\rho_A,\rho_BρA​,ρB​ and every 0≤η≤10\le\eta\le10≤η≤1,

g−1 ⁣(S(ρC)n) ≥ η g−1 ⁣(S(ρA)n)+(1−η) g−1 ⁣(S(ρB)n).g^{-1}\!\Bigl(\frac{S(\rho_C)}n\Bigr)\ \ge\ \eta\,g^{-1}\!\Bigl(\frac{S(\rho_A)}n\Bigr)+(1-\eta)\,g^{-1}\!\Bigl(\frac{S(\rho_B)}n\Bigr).g−1(nS(ρC​)​) ≥ ηg−1(nS(ρA​)​)+(1−η)g−1(nS(ρB​)​).

Thermal inputs with a common mean photon number within each port give equality.

Significance

The result itself. The EPnI is sharper than the exponential quantum entropy power inequality when the two input entropies differ, which is exactly the regime needed for constrained minimum output entropy. The preprint derives the exact minimum output entropy at fixed input entropy for every tensor power of an identical thermal attenuator, with inputs entangled across modes (Corollary 1.2, p. 2), and the exact capacity region of the degraded two-receiver pure-loss broadcast channel (Corollary 7.1, p. 26), completing the converse of Guha, Shapiro and Erkmen.

Formalizing it. The statement involves infinite-dimensional Fock space, trace-class positive operators, continuous functional calculus for the entropy, and the partial trace after a passive unitary. The Lean development builds these concretely in the number basis. A formal proof would give machine-checked infrastructure for quantum entropy on infinite-dimensional spaces, which Mathlib currently lacks. No machine-checked version of any quantum entropy power inequality is known.

Difficulty

Heat-flow (quantum Fisher information) proofs give the linear and exponential bounds, but these are attained only for equal entropies and do not recover the thermal comparison at unequal entropy levels. The preprint instead minimizes a regularized functional over pairs of inputs and must show that minimizers are thermal. This requires an interpolation theorem for diagonal form comparisons (Theorem 3.1, p. 8), attainment and Gibbs regularity of minimizers in infinite dimensions (Lemma 4.1, Proposition 4.2, pp. 15–16), a component entropy-Hessian estimate, and a stationarity identity whose cancellation forces convergence to thermal inputs (Section 6). Compactness relies on the finite-energy hypothesis; without it entropies can be infinite.

Formalization scope

  • Fock n is lp (fun _ : Fin n → ℕ => ℂ) 2. A State is a positive bounded operator whose diagonal in the number basis sums (HasSum) to 111.
  • FiniteEnergy ρ is summability of ∑k∣k∣ ⟨k∣ρ∣k⟩\sum_k|k|\,\langle k|\rho|k\rangle∑k​∣k∣⟨k∣ρ∣k⟩.
  • entropy ρ is the sum of diagonal entries of cfc(−tlog⁡t)(ρ)\mathrm{cfc}(-t\log t)(\rho)cfc(−tlogt)(ρ); for finite-energy states it is finite, so the tsum is the true entropy.
  • gInv s = sInf {t ≥ 0 | s ≤ g t}, the inverse of ggg on [0,∞)[0,\infty)[0,∞).
  • IsBeamSplitterOutput η ρA ρB ρC requires every number-basis entry of ρC\rho_CρC​ to be the (convergent) partial-trace sum of the explicitly given beam-splitter coefficients applied to ρA⊗ρB\rho_A\otimes\rho_BρA​⊗ρB​; the inputs are arbitrary density matrices, so internal entanglement is allowed.
  • The hypotheses are satisfiable (e.g. vacuum or thermal inputs) and the conclusion is the inequality as stated.

Selected references

  • OpenAI, The entropy photon-number inequality, OpenAI Math Release preprint, September 24, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/The-entropy-photon-number-inequality-September-24-2026/paper.pdf
  • S. Guha, B. I. Erkmen, J. H. Shapiro, The entropy photon-number inequality and its consequences, ITA Workshop 2008, 128–130. https://doi.org/10.1109/ITA.2008.4601037
  • S. Guha, J. H. Shapiro, B. I. Erkmen, Classical capacity of bosonic broadcast communication and a minimum output entropy conjecture, Phys. Rev. A 76 (2007), 032303. https://doi.org/10.1103/PhysRevA.76.032303
  • R. König, G. Smith, The entropy power inequality for quantum systems, IEEE Trans. Inf. Theory 60 (2014), 1536–1548. https://doi.org/10.1109/TIT.2014.2298436
  • G. De Palma, A. Mari, V. Giovannetti, A generalization of the entropy power inequality to bosonic quantum systems, Nat. Photonics 8 (2014), 958–964. https://doi.org/10.1038/nphoton.2014.252
  • G. De Palma, D. Trevisan, The conditional entropy power inequality for bosonic quantum systems, Comm. Math. Phys. 360 (2018), 639–662. https://doi.org/10.1007/s00220-017-3082-8
  • V. Giovannetti, A. S. Holevo, R. García-Patrón, A solution of Gaussian optimizer conjecture for quantum channels, Comm. Math. Phys. 334 (2015), 1553–1571. https://doi.org/10.1007/s00220-014-2150-6
  • V. Giovannetti, S. Guha, S. Lloyd, L. Maccone, J. H. Shapiro, H. P. Yuen, Classical capacity of the lossy bosonic channel: the exact solution, Phys. Rev. Lett. 92 (2004), 027902. https://doi.org/10.1103/PhysRevLett.92.027902
  • C. E. Shannon, A mathematical theory of communication, Bell Syst. Tech. J. 27 (1948). https://doi.org/10.1002/j.1538-7305.1948.tb00917.x
61 thms3 active usersReviewed
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AlgebraGroup Theory·Captain: wurtle

The Kervaire theorem for groupsResearch Paper

Motivation

Given a group AAA, adjoin one new generator ttt and impose one relation w=1w=1w=1, where www is a word in ttt and elements of AAA. Can the result collapse to the trivial group when AAA is nontrivial? The Kervaire conjecture says no. It arose from Kervaire's 1965 characterization of high-dimensional knot groups, which involves groups normally generated by a single element, and it is one of the best-known problems about equations over groups: when does an equation w(t)=1w(t)=1w(t)=1 with coefficients in AAA have a solution in some group containing AAA?

Timeline

  • 1962. Gerstenhaber and Rothaus prove that nonsingular systems of equations over finite groups are solvable in finite overgroups, using unitary groups and degree theory (doi:10.1073/pnas.48.9.1531); this gives the result for residually finite groups.
  • 1965. Kervaire characterizes high-dimensional knot groups (doi:10.24033/bsmf.1624); the group-theoretic Kervaire problem is traced to this setting.
  • 1983. Howie studies equations of length three over groups (doi:10.1017/S0013091500028108).
  • 1993. Klyachko proves unimodular injectivity for torsion-free groups (doi:10.1080/00927879308824692).
  • 2005. Klyachko records the reduction showing that universal nontriviality is equivalent to unimodular injectivity (doi:10.1007/s10469-005-0023-y).
  • 2008. Pestov records the extension to hyperlinear groups (doi:10.2178/bsl/1231081461).
  • 2012. Klyachko and Lurye prove injectivity for arbitrary coefficient groups after imposing wm=1w^m=1wm=1, m≥2m\ge2m≥2 (doi:10.1016/j.jpaa.2011.06.020).
  • 2017. Klyachko and Thom develop new topological methods for equations over groups (doi:10.2140/agt.2017.17.331).
  • 2024–2026. Kawauchi publishes a proposed resolution via ribbon sphere-links; Chen gives a new proof of the torsion-free case via the complexity of surfaces (arXiv:2302.09811).

The source of this mission, an OpenAI preprint dated September 24, 2026, proves unimodular coefficient injectivity for every group by a route through spectral phase and a fixed-space theorem for unitary matrices.

Setting

Let AAA be a group, ⟨t⟩≅Z\langle t\rangle\cong\mathbb Z⟨t⟩≅Z, and H=A∗⟨t⟩H=A*\langle t\rangleH=A∗⟨t⟩ the free product. Let p:H→Zp:H\to\mathbb Zp:H→Z be the homomorphism that kills AAA and sends ttt to 111; p(w)p(w)p(w) is the exponent sum of ttt in www. A word w∈Hw\in Hw∈H is unimodular if p(w)=±1p(w)=\pm1p(w)=±1. Write ⟨ ⁣⟨w⟩ ⁣⟩H\langle\!\langle w\rangle\!\rangle_H⟨⟨w⟩⟩H​ for the normal closure of www in HHH. The coefficient map is the composite

A↪H↠H/⟨ ⁣⟨w⟩ ⁣⟩H.A\hookrightarrow H\twoheadrightarrow H/\langle\!\langle w\rangle\!\rangle_H.A↪H↠H/⟨⟨w⟩⟩H​.

Its injectivity is equivalent to solvability of w(t)=1w(t)=1w(t)=1 over AAA: there is an overgroup B⊇AB\supseteq AB⊇A and b∈Bb\in Bb∈B with w(b)=1w(b)=1w(b)=1.

Formalization targets

Goal: Theorem 1.1

∀A, ∀w∈A∗⟨t⟩ with p(w)=±1:A⟶(A∗⟨t⟩)/⟨ ⁣⟨w⟩ ⁣⟩H is injective.\forall A,\ \forall w\in A*\langle t\rangle\ \text{with}\ p(w)=\pm1:\qquad A\longrightarrow (A*\langle t\rangle)/\langle\!\langle w\rangle\!\rangle_H\ \text{is injective}.∀A, ∀w∈A∗⟨t⟩ with p(w)=±1:A⟶(A∗⟨t⟩)/⟨⟨w⟩⟩H​ is injective.

The Lean statement OAI.Kervaire.coefficient_injective is open on the platform.

Significance

Theorem 1.1 immediately gives the Kervaire conjecture (Corollary 1.2): if A≠1A\ne1A=1 then (A∗⟨t⟩)/⟨ ⁣⟨w⟩ ⁣⟩≠1(A*\langle t\rangle)/\langle\!\langle w\rangle\!\rangle\ne1(A∗⟨t⟩)/⟨⟨w⟩⟩=1 for every www, since for p(w)=d≠±1p(w)=d\ne\pm1p(w)=d=±1 the quotient maps onto Z/dZ\mathbb Z/d\mathbb ZZ/dZ. It proves the unimodular case of the stronger Kervaire–Laudenbach conjecture with no hypothesis on AAA: no torsion-freeness, residual finiteness, hyperlinearity or countability. The paper's companion work extends the method to nonsingular systems of equations (Howie's conjecture).

The result is proved in an OpenAI preprint; it has not been peer reviewed, and no machine-checked proof exists. The statement is short and entirely algebraic, which makes it an attractive formalization target; Mathlib already provides free products and normal closures.

Difficulty

The classical Gerstenhaber–Rothaus argument solves the equation in a unitary group and needs AAA to embed in (an ultraproduct of) unitary groups, which is not known for arbitrary groups. Torsion in AAA blocks the diagrammatic and topological arguments that work in the torsion-free case. A proof for every group therefore needs a representation available for all groups (the left regular representation, with its faithful finite trace) together with an argument that does not rely on finite-dimensional approximation of AAA.

Formalization scope

  • The free product is Monoid.Coprod A (Multiplicative ℤ); the exponent sum is Multiplicative.toAdd (Monoid.Coprod.snd w).
  • Unimodular w is exponentSum w = 1 ∨ exponentSum w = -1.
  • The quotient is by Subgroup.normalClosure {w}, and coefficientMap w is the quotient map composed with Monoid.Coprod.inl.
  • No hypothesis is placed on AAA; the group may live in any universe.

A complete development needs the group von Neumann algebra of AAA (or at least its trace), the spectral phase of unitaries and its subadditivity, a degree computation on a compact manifold of unitaries with fixed kkk-planes, and corner-labelled planar diagrams with Euler-characteristic estimates. Contributions formalizing Corollary 1.2 from Theorem 1.1, Lemma 2.1 (subadditivity of spectral phase) and Lemma 3.1 (fixed-space lemma) are welcome.

Selected references

  • OpenAI, The Kervaire theorem for groups, preprint, September 24, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/The-Kervaire-Theorem-for-Groups-September-24-2026/The-Kervaire-Theorem-for-Groups-September-24-2026.pdf
  • M. A. Kervaire, Les nœuds de dimensions supérieures, Bull. Soc. Math. France, 1965. https://doi.org/10.24033/bsmf.1624
  • M. Gerstenhaber, O. S. Rothaus, The solution of sets of equations in groups, Proc. Natl. Acad. Sci. USA, 1962. https://doi.org/10.1073/pnas.48.9.1531
  • A. A. Klyachko, A funny property of sphere and equations over groups, Comm. Algebra, 1993. https://doi.org/10.1080/00927879308824692
  • A. A. Klyachko, The Kervaire–Laudenbach conjecture and presentations of simple groups, Algebra and Logic, 2005. https://doi.org/10.1007/s10469-005-0023-y
  • A. A. Klyachko, D. E. Lurye, Relative hyperbolicity and similar properties of one-generator one-relator relative presentations with powered unimodular relator, J. Pure Appl. Algebra, 2012. https://doi.org/10.1016/j.jpaa.2011.06.020
  • V. G. Pestov, Hyperlinear and sofic groups: a brief guide, Bull. Symb. Log., 2008. https://doi.org/10.2178/bsl/1231081461
  • A. Klyachko, A. Thom, New topological methods to solve equations over groups, Algebr. Geom. Topol., 2017. https://doi.org/10.2140/agt.2017.17.331
  • L. Chen, The Kervaire conjecture and the minimal complexity of surfaces, Trans. Amer. Math. Soc., 2026. https://arxiv.org/abs/2302.09811
48 thms3 active usersReviewed
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Mathematical LogicModel Theory·Captain: wurtle

A CH obstruction to a prescribed categoricity thresholdResearch Paper

Motivation: categoricity transfer beyond first-order logic

A class of structures is categorical in a cardinal λ\lambdaλ if it has exactly one model of size λ\lambdaλ up to isomorphism. Morley's theorem (1965) says that a complete first-order theory in a countable language categorical in one uncountable cardinal is categorical in all of them. Abstract elementary classes (AECs), introduced by Shelah in the 1970s, axiomatize classes of structures with a well-behaved notion of strong substructure (closure under isomorphism, coherence, unions of chains, a Löwenheim–Skolem number) without requiring first-order axiomatizability; they cover classes defined in infinitary logics and many classes of modules. Shelah's categoricity conjecture for AECs, in its eventual form, asks whether categoricity in one sufficiently large cardinal transfers to all sufficiently large cardinals. A sharper, prescribed-threshold form names the threshold explicitly: with H(K)=ℶ(2LS(K))+H(K)=\beth_{(2^{\mathrm{LS}(K)})^+}H(K)=ℶ(2LS(K))+​ (the Hanf number for existence of arbitrarily large models), categoricity in some λ≥H(K)\lambda\ge H(K)λ≥H(K) should imply categoricity in every μ≥H(K)\mu\ge H(K)μ≥H(K). Deciding which form holds is a central question in non-elementary model theory.

Timeline

  • 1965 — Morley proves the categoricity theorem for countable first-order theories (Trans. AMS 1965).
  • 1970s — Shelah introduces abstract elementary classes (see the survey of Boney–Vasey 2017, §2).
  • 1990 — Hart and Shelah show categoricity in Lω1,ωL_{\omega_1,\omega}Lω1​,ω​ can stop at ℵk\aleph_kℵk​ while holding for ℵ0,…,ℵk−1\aleph_0,\dots,\aleph_{k-1}ℵ0​,…,ℵk−1​, using finite-support group constructions (Israel J. Math. 1990).
  • 1999 — Shelah proves categoricity transfer for AECs with amalgamation and records H(K)H(K)H(K) as the existence bound (APAL 1999).
  • 2016 — Kolesnikov and Lambie-Hanson study Hanf numbers for amalgamation of coloring classes (JSL 2016).
  • 2017 — Vasey proves downward transfer from a successor cardinal ≥H(K)\ge H(K)≥H(K) under amalgamation and tameness (APAL 2017).
  • 2021 — Grossberg distinguishes the prescribed-bound and eventual forms of the conjecture (A Course in Model Theory I, draft, Ch. 2 §4).
  • 2022–2023 — Espíndola announces a proof of eventual categoricity and, for arbitrary AECs, a transfer at the prescribed bound via accessible categories (arXiv:1906.09169, arXiv:2301.13167).
  • 2024 — Šaroch and Trlifaj state the prescribed-threshold formulation with both endpoints included (Bull. LMS 2024, §2.3).
  • 2026 — An OpenAI preprint, A CH obstruction to a prescribed categoricity threshold (OpenAI Math Release, September 24, 2026), claims that under CH there is an AEC with LS(K)=ℵ0\mathrm{LS}(K)=\aleph_0LS(K)=ℵ0​, categorical on a tail but with two nonisomorphic models at H(K)=ℶω2H(K)=\beth_{\omega_2}H(K)=ℶω2​​; this conflicts with the transfer claimed in Espíndola 2023 (Theorem 4.1). The preprint has not been peer reviewed and its theorem is not formally verified.

Setting

Work with relational structures in a finitary relational language LLL (a set of relation symbols, each with a finite arity). An abstract elementary class is a class KKK of LLL-structures with a relation M⪯KNM\preceq_K NM⪯K​N ("strong substructure") such that: ⪯K\preceq_K⪯K​ is a partial order on KKK refining substructure; KKK and ⪯K\preceq_K⪯K​ are closed under isomorphism; coherence holds (M0⊆M1M_0\subseteq M_1M0​⊆M1​, M0⪯KM2M_0\preceq_K M_2M0​⪯K​M2​, M1⪯KM2M_1\preceq_K M_2M1​⪯K​M2​ imply M0⪯KM1M_0\preceq_K M_1M0​⪯K​M1​); unions of ⪯K\preceq_K⪯K​-chains are in KKK, are ⪯K\preceq_K⪯K​-extensions of each member, and are ⪯K\preceq_K⪯K​-below any common strong extension (Tarski–Vaught chain axioms); and there is a Löwenheim–Skolem number LS(K)≥ℵ0+∣L∣\mathrm{LS}(K)\ge\aleph_0+|L|LS(K)≥ℵ0​+∣L∣, the least θ\thetaθ such that every subset AAA of a model MMM lies in some N⪯KMN\preceq_K MN⪯K​M with ∣N∣≤∣A∣+θ|N|\le|A|+\theta∣N∣≤∣A∣+θ.

KKK is categorical in μ\muμ if it has a model of size μ\muμ and any two models of size μ\muμ are isomorphic. The beth numbers are ℶ0=ℵ0\beth_0=\aleph_0ℶ0​=ℵ0​, ℶα+1=2ℶα\beth_{\alpha+1}=2^{\beth_\alpha}ℶα+1​=2ℶα​ and suprema at limits. CH is 2ℵ0=ℵ12^{\aleph_0}=\aleph_12ℵ0​=ℵ1​.

Formalization targets

Goal: the CH counterexample (Theorem 1.1)

Assume CH. There is a countable finitary relational language LLL and an AEC KKK in LLL such that

LS(K)=ℵ0,ℶω2=H(K)=ℶ(2ℵ0)+,\mathrm{LS}(K)=\aleph_0,\qquad \beth_{\omega_2}=H(K)=\beth_{(2^{\aleph_0})^+},LS(K)=ℵ0​,ℶω2​​=H(K)=ℶ(2ℵ0​)+​,

KKK has two nonisomorphic models of cardinality ℶω2\beth_{\omega_2}ℶω2​​, and, with Λ=ℶ(2ℵ1)+\Lambda=\beth_{(2^{\aleph_1})^+}Λ=ℶ(2ℵ1​)+​,

K is categorical in every cardinal μ≥Λ.K\ \text{is categorical in every cardinal } \mu\ge\Lambda .K is categorical in every cardinal μ≥Λ.

Hence Λ+>H(K)\Lambda^+>H(K)Λ+>H(K) is a categoricity cardinal from which downward transfer to H(K)H(K)H(K) fails, while eventual categoricity holds for this KKK. The goal statement is published on the platform with status Open: no machine-checked proof exists yet.

Significance

The result itself. Combined with Gödel's relative consistency of CH, the theorem shows that, if ZFC is consistent, the prescribed-threshold form of Shelah's categoricity conjecture is not provable in ZFC (Corollary 6.1 of the source). The example has no amalgamation or joint embedding, which explains why transfer theorems that assume these properties are unaffected, and it is compatible with qualitative eventual categoricity. It also bears directly on a published claim of transfer at the prescribed bound for arbitrary AECs.

Formalizing it. Because the result contradicts a claimed theorem in the literature, an independent machine check is especially valuable. The formal statement verifies every AEC axiom explicitly, not just the two cardinal-arithmetic conclusions. Mathlib has cardinal and ordinal arithmetic, beth numbers and ZFC sets; the AEC framework built here would be reusable for further formal work in non-elementary model theory.

Difficulty

Most known non-transfer examples (Hart–Shelah) fail categoricity at small cardinals; here the failure must happen exactly at the Hanf-type bound ℶω2\beth_{\omega_2}ℶω2​​ while categoricity holds on a tail, with LS(K)=ℵ0\mathrm{LS}(K)=\aleph_0LS(K)=ℵ0​. One must build two nonisomorphic models at ℶω2\beth_{\omega_2}ℶω2​​ and simultaneously rule out any two nonisomorphic models above Λ\LambdaΛ, without appealing to a general eventual-categoricity theorem. All AEC axioms — in particular coherence and smoothness of unions of arbitrary directed chains — must survive the exceptional sets used to separate models, which is where naive constructions break.

Formalization scope

  • Structures are RelModel L with carrier a ZFSet (so cardinalities are cardinals of genuine sets in universe u) and relations indexed by arity; L:N→L:\mathbb N\toL:N→ Type with ΣnLn\Sigma_n L_nΣn​Ln​ countable.
  • ClassData packages a predicate of objects and a strong-substructure relation; IsAEC lists the axioms above, including invariance under isomorphisms compatible with inclusion, coherence, and the union axioms for chains indexed by any nonzero ordinal.
  • HasLSNumber ℵ₀ asserts both that ℵ0\aleph_0ℵ0​ is a Löwenheim–Skolem bound and that it is the least one.
  • hanf κ = beth (succ (2^κ)).ord, endpoint = beth (ω_2), tailThreshold = beth (succ (2^{ℵ₁})).ord. The equality endpoint = hanf ℵ₀ is part of the goal (it follows from CH).
  • Categorical μ includes existence of a model of size μ\muμ; TwoModels asks for two nonisomorphic models of the given size.
  • CH is a hypothesis of the theorem, in the same universe; the consistency corollary is not part of the goal.

Selected references

  • M. Morley, Categoricity in power, Trans. Amer. Math. Soc. (1965). https://doi.org/10.1090/S0002-9947-1965-0175782-0
  • K. Gödel, The consistency of the axiom of choice and of the generalized continuum-hypothesis, Proc. Nat. Acad. Sci. USA (1938). https://doi.org/10.1073/pnas.24.12.556
  • B. Hart and S. Shelah, Categoricity over P for first order T or categoricity for φ∈L_{ω1ω} can stop at ℵ_k while holding for ℵ_0,…,ℵ_{k−1}, Israel J. Math. (1990). https://doi.org/10.1007/BF02807869
  • S. Shelah, Categoricity for abstract classes with amalgamation, Ann. Pure Appl. Logic (1999). https://doi.org/10.1016/S0168-0072(98)00016-5
  • S. Vasey, Downward categoricity from a successor inside a good frame, Ann. Pure Appl. Logic (2017). https://doi.org/10.1016/j.apal.2016.10.003
  • W. Boney and S. Vasey, A survey on tame abstract elementary classes, 2017. https://arxiv.org/abs/1512.00060
  • A. Kolesnikov and C. Lambie-Hanson, The Hanf number for amalgamation of coloring classes, J. Symb. Logic (2016). https://doi.org/10.1017/jsl.2015.48
  • J. Šaroch and J. Trlifaj, Deconstructible abstract elementary classes of modules and categoricity, Bull. London Math. Soc. (2024). https://doi.org/10.1112/blms.13172
  • C. Espíndola, A complete classification of categoricity spectra of accessible categories with directed colimits, preprint, 2023. https://arxiv.org/abs/2301.13167
  • OpenAI, A CH obstruction to a prescribed categoricity threshold, OpenAI Math Release preprint, September 24, 2026 (source of the goal; Theorem 1.1, p. 2). https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/A-CH-Obstruction-to-a-Prescribed-Categoricity-Threshold-September-24-2026/paper.pdf
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A Sharp Threshold Bound for Monotone Graph PropertiesResearch Paper

Motivation: how sharp is the threshold of a graph property?

Many questions about random graphs ask when a property — connectivity, containing a triangle, having a perfect matching — appears in the Erdős–Rényi random graph G(n,p)G(n,p)G(n,p), where each of the (n2)\binom n2(2n​) possible edges is present independently with probability ppp. For an increasing property the probability μp(P)\mu_p(\mathcal P)μp​(P) rises from 000 to 111 as ppp grows, and the threshold width measures how quickly: the length of the interval of ppp over which μp(P)\mu_p(\mathcal P)μp​(P) climbs from ε\varepsilonε to 1−ε1-\varepsilon1−ε. Friedgut and Kalai showed in 1996 that symmetry alone forces every such transition to be narrow, and conjectured the optimal universal width. This question links probabilistic combinatorics with the Fourier analysis of Boolean functions, and the influence inequalities developed for it are now standard tools in theoretical computer science and statistical physics.

Timeline

  • 1981 — Russo's formula (the Margulis–Russo identity) expresses ddpμp(P)\frac{d}{dp}\mu_p(\mathcal P)dpd​μp​(P) as a total influence (Russo 1981).
  • 1988 — Kahn, Kalai and Linial prove that every balanced Boolean function has a coordinate of influence Ω(log⁡N/N)\Omega(\log N/N)Ω(logN/N) (KKL, FOCS 1988).
  • 1992 — Bourgain, Kahn, Kalai, Katznelson and Linial extend the influence theorem to product measures (BKKKL, Israel J. Math. 1992).
  • 1996 — Friedgut and Kalai prove that every monotone graph property on nnn vertices has threshold width at most Clog⁡(1/(2ε))/log⁡nC\log(1/(2\varepsilon))/\log nClog(1/(2ε))/logn (Theorem 1.1) and conjecture the bound with (log⁡n)2(\log n)^2(logn)2 in the denominator (Conjecture 1.2) (Friedgut–Kalai, Proc. AMS 1996). The property of containing a clique of order proportional to log⁡n\log nlogn shows (log⁡n)−2(\log n)^{-2}(logn)−2 would be optimal.
  • 1997 — Bourgain and Kalai, using the action of the symmetry group on sets of coordinates, obtain width Cη,ε(log⁡n)−2+ηC_{\eta,\varepsilon}(\log n)^{-2+\eta}Cη,ε​(logn)−2+η for every η>0\eta>0η>0 (Bourgain–Kalai, GAFA 1997).
  • 2020 — Kelman, Kindler, Lifshitz, Minzer and Safra prove, at p=1/2p=1/2p=1/2, the graph-symmetric influence bound I1/2(f)≥c (log⁡n)2(log⁡log⁡n)−2Var⁡1/2(f)I_{1/2}(f)\ge c\,(\log n)^2(\log\log n)^{-2}\operatorname{Var}_{1/2}(f)I1/2​(f)≥c(logn)2(loglogn)−2Var1/2​(f) (KKLMS, GAFA 2020).
  • 2022 — Friedgut surveys the influence method (ICM 2022).
  • 2026 — An OpenAI preprint, A Sharp Threshold Bound for Monotone Graph Properties (OpenAI Math Release, September 25, 2026), claims the conjectured bound with explicit constant 2192^{19}219. The preprint has not been peer reviewed and its theorem is not formally verified.

Setting

Fix an integer n≥2n\ge2n≥2 and let En=([n]2)E_n=\binom{[n]}{2}En​=(2[n]​) be the set of unordered pairs of vertices. A graph configuration is a map x:En→{0,1}x:E_n\to\{0,1\}x:En​→{0,1} (in Lean GraphConfig n := GraphEdge n → Bool, where GraphEdge n is the type of 2-element subsets of Fin n). A Boolean function fff on configurations is

  • vertex invariant if f(π⋅x)=f(x)f(\pi\cdot x)=f(x)f(π⋅x)=f(x) for every permutation π\piπ of the vertices, where π\piπ acts on edges by relabelling endpoints;
  • increasing if x≤yx\le yx≤y edgewise and f(x)=1f(x)=1f(x)=1 imply f(y)=1f(y)=1f(y)=1;
  • nontrivial if it takes both values.

For p∈Rp\in\mathbb Rp∈R the graph mean is μp(f)=∑x∏epxe(1−p)1−xe f(x)\mu_p(f)=\sum_x \prod_{e} p^{x_e}(1-p)^{1-x_e}\, f(x)μp​(f)=∑x​∏e​pxe​(1−p)1−xe​f(x), the probability that G(n,p)G(n,p)G(n,p) has the property when p∈[0,1]p\in[0,1]p∈[0,1]. For 0<a<10<a<10<a<1 the quantile is

pa(f)=inf⁡{p∈[0,1]: μp(f)≥a}.p_a(f)=\inf\{p\in[0,1]:\ \mu_p(f)\ge a\}.pa​(f)=inf{p∈[0,1]: μp​(f)≥a}.

Formalization targets

Goal: the Friedgut–Kalai sharp-threshold conjecture (Theorem 1.1)

For every n≥2n\ge2n≥2, every vertex-invariant, increasing, nontrivial fff, and every 0<ε<1/20<\varepsilon<1/20<ε<1/2,

p1−ε(f)−pε(f) ≤ 219(log⁡n)2 log⁡12ε.p_{1-\varepsilon}(f)-p_\varepsilon(f)\ \le\ \frac{2^{19}}{(\log n)^2}\,\log\frac{1}{2\varepsilon}.p1−ε​(f)−pε​(f) ≤ (logn)2219​log2ε1​.

The constant 2192^{19}219 is the source's explicit choice and is not claimed to be sharp; the content is the order (log⁡n)−2(\log n)^{-2}(logn)−2 with linear dependence on log⁡(1/(2ε))\log(1/(2\varepsilon))log(1/(2ε)). The goal statement is published on the platform with status Open: no machine-checked proof exists yet.

Significance

The result itself. The bound is uniform over all monotone graph properties and is of optimal order in nnn for fixed ε\varepsilonε, as the clique example of Friedgut and Kalai shows. It settles the exponent question left open between the (log⁡n)−1(\log n)^{-1}(logn)−1 bound of 1996 and the (log⁡n)−2+η(\log n)^{-2+\eta}(logn)−2+η bound of 1997. The driving estimate in the source, Theorem 1.2 (variance is at most 217(log⁡n)−22^{17}(\log n)^{-2}217(logn)−2 times total influence, for every 0<p<10<p<10<p<1 and without monotonicity), is a graph-symmetric influence inequality of independent interest; it removes the (log⁡log⁡n)2(\log\log n)^2(loglogn)2 loss of the 2020 bound and holds at every bias.

Formalizing it. A formal proof would certify a universal statement over all graph properties with an explicit constant. The supporting library — Fourier–Walsh analysis on biased product spaces, pivotal influences, the Margulis–Russo derivative formula, and random restrictions — is reusable for other threshold and influence results, none of which are currently formalized in Mathlib in this form.

Difficulty

The classical route bounds the derivative ddpμp\frac{d}{dp}\mu_pdpd​μp​ from below through the largest influence, using only that the symmetry group acts transitively on edges; transitivity alone cannot give better than (log⁡n)−1(\log n)^{-1}(logn)−1, because there are transitive families (on non-graph coordinate sets) whose thresholds are that wide. Reaching (log⁡n)−2(\log n)^{-2}(logn)−2 requires using the vertex structure of the symmetry group, and the bound must hold uniformly for every bias p∈(0,1)p\in(0,1)p∈(0,1), including very small ppp where hypercontractive estimates degrade. Influence estimates at p=1/2p=1/2p=1/2 alone do not suffice, since a width bound requires control throughout the transition interval.

Formalization scope

  • Configurations are GraphEdge n → Bool; the measure is the explicit finite sum graphMean p f with product weights ppp or 1−p1-p1−p; logarithms are natural (Real.log).
  • graphQuantile a f is sInf of {p∈[0,1]:μp(f)≥a}\{p\in[0,1]:\mu_p(f)\ge a\}{p∈[0,1]:μp​(f)≥a}. For a nontrivial increasing fff, μ1(f)=1\mu_1(f)=1μ1​(f)=1, so this set is nonempty and the infimum is not a junk value; the hypotheses NontrivialGraphProperty and 0<ε<1/20<\varepsilon<1/20<ε<1/2 exclude the degenerate cases.
  • The theorem quantifies over all n≥2n\ge 2n≥2, all such fff, and all real ε∈(0,1/2)\varepsilon\in(0,1/2)ε∈(0,1/2); no asymptotic or "sufficiently large nnn" assumption is used.
  • Needed infrastructure: biased Fourier expansion on {0,1}En\{0,1\}^{E_n}{0,1}En​, influences and the Russo derivative formula, the action of SnS_nSn​ on edges, and integration of a differential inequality for the quantile. Contributions formalizing Theorem 1.2 (variance–influence) or Russo's formula separately are welcome as stepping stones.

Selected references

  • E. Friedgut and G. Kalai, Every monotone graph property has a sharp threshold, Proc. Amer. Math. Soc. 124 (1996), 2993–3002. https://doi.org/10.1090/S0002-9939-96-03732-X
  • J. Bourgain and G. Kalai, Influences of variables and threshold intervals under group symmetries, Geom. Funct. Anal. 7 (1997), 438–461. https://doi.org/10.1007/s000390050015
  • J. Kahn, G. Kalai and N. Linial, The influence of variables on Boolean functions, FOCS 1988, 68–80. https://doi.org/10.1109/SFCS.1988.21923
  • J. Bourgain, J. Kahn, G. Kalai, Y. Katznelson and N. Linial, The influence of variables in product spaces, Israel J. Math. 77 (1992), 55–64. https://doi.org/10.1007/BF02808010
  • L. Russo, On the critical percolation probabilities, Z. Wahrsch. Verw. Gebiete 56 (1981), 229–237. https://doi.org/10.1007/BF00535742
  • E. Kelman, G. Kindler, N. Lifshitz, D. Minzer and M. Safra, Towards a proof of the Fourier–entropy conjecture?, Geom. Funct. Anal. 30 (2020), 1097–1138. https://doi.org/10.1007/s00039-020-00544-2
  • E. Friedgut, KKL's influence on me, Proc. ICM 2022, Vol. 6, 4568–4581. https://doi.org/10.4171/ICM2022/78
  • OpenAI, A Sharp Threshold Bound for Monotone Graph Properties, OpenAI Math Release preprint, September 25, 2026 (source of the goal; Theorem 1.1, p. 1). https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/A-Sharp-Threshold-Bound-for-Monotone-Graph-Properties-September-25-2026/paper.pdf
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The circulant Hadamard conjectureResearch Paper

Motivation

A Hadamard matrix of order nnn is an n×nn\times nn×n matrix with entries ±1\pm1±1 whose rows are mutually orthogonal, HHT=nInHH^{\mathsf T}=nI_nHHT=nIn​. Such matrices are extremal for Hadamard's determinant bound and are used throughout coding theory, experimental design and signal processing. Imposing a circulant structure, where every row is a cyclic shift of the first, links the problem to cyclic difference sets and to binary sequences with ideal periodic autocorrelation. The order-4 example with first row (−1,1,1,1)(-1,1,1,1)(−1,1,1,1) is easy to find; the circulant Hadamard conjecture, traditionally attributed to Ryser (1963), asserts that apart from the trivial order 1 there are no others.

The question is closely tied to Barker sequences, binary sequences with the smallest possible aperiodic autocorrelations, which are used as radar pulse-compression codes. Only lengths 2,3,4,5,7,11,132,3,4,5,7,11,132,3,4,5,7,11,13 are known, and the long-standing Barker-sequence conjecture says there are no others.

Timeline

  • 1961. Turyn and Storer prove that Barker sequences of odd length greater than 13 do not exist, and relate even-length Barker sequences to vanishing periodic autocorrelations (doi:10.1090/S0002-9939-1961-0125026-2).
  • 1963. Ryser's monograph Combinatorial Mathematics records the circulant Hadamard problem (doi:10.5948/UPO9781614440147).
  • 1965. Turyn, using cyclotomic character sums, shows that any order greater than four must be 4u24u^24u2 with uuu odd and not a prime power (doi:10.2140/pjm.1965.15.319).
  • 1999–2016. B. Schmidt's field descent (doi:10.1090/S0894-0347-99-00298-2) and the work of Leung and Schmidt (2005, 2012, 2016) give much stronger arithmetic restrictions (doi:10.1007/s10623-011-9493-1, doi:10.1016/j.jcta.2015.11.005).
  • 2016. Schmidt and Willms give a new proof of the odd-length Barker classification (doi:10.1007/s10623-015-0104-4).
  • 2017. Logan and Mossinghoff exclude all but 4,489 candidate orders 4<n≤4⋅10304<n\le4\cdot10^{30}4<n≤4⋅1030 using double Wieferich prime pairs.
  • 2024. Steinerberger shows that approximately orthogonal sign circulants exist in every order (doi:10.1007/s10623-024-01430-w), so the exact equality is essential.

Several complete proofs have been claimed (Oh-Hashi 2016, Orozco López 2019, Morris 2023, Gallardo 2024, Manjhi–Kumar 2025). The source of this mission is an OpenAI preprint dated September 23, 2026, which proves the conjecture by an argument with cyclotomic character values over the group ring Z[i][Cu2]\mathbb Z[i][C_{u^2}]Z[i][Cu2​].

Setting

A real n×nn\times nn×n matrix HHH is circulant if there is a function h:Z/nZ→Rh:\mathbb Z/n\mathbb Z\to\mathbb Rh:Z/nZ→R with Hij=h(j−i)H_{ij}=h(j-i)Hij​=h(j−i), indices taken modulo nnn. It is a sign Hadamard matrix if every entry is 111 or −1-1−1 and

HHT=n In.HH^{\mathsf T}=n\,I_n.HHT=nIn​.

For a circulant sign matrix with first row hhh, the periodic autocorrelations are Ph(t)=∑jhjhj+tP_h(t)=\sum_{j}h_jh_{j+t}Ph​(t)=∑j​hj​hj+t​; the Hadamard condition says Ph(t)=0P_h(t)=0Ph​(t)=0 for 1≤t<n1\le t<n1≤t<n.

A Barker sequence of length nnn is a∈{−1,1}na\in\{-1,1\}^na∈{−1,1}n with aperiodic autocorrelations

Ca(t)=∑j=0n−t−1ajaj+t,∣Ca(t)∣≤1(1≤t<n).C_a(t)=\sum_{j=0}^{n-t-1}a_ja_{j+t},\qquad |C_a(t)|\le1\quad(1\le t<n).Ca​(t)=j=0∑n−t−1​aj​aj+t​,∣Ca​(t)∣≤1(1≤t<n).

Formalization targets

Goal: Theorem 1.1

For n≥1:∃ a real circulant Hadamard matrix of order n  ⟺  n∈{1,4}.\text{For } n\ge1:\quad \exists\ \text{a real circulant Hadamard matrix of order } n\iff n\in\{1,4\}.For n≥1:∃ a real circulant Hadamard matrix of order n⟺n∈{1,4}.

The Lean statement OAI.CirculantHadamard.exists_iff_order_one_or_four is open on the platform.

Milestone: Corollary 1.2, even case

a∈{−1,1}n Barker, n≥1 even ⟹ n∈{2,4}.a\in\{-1,1\}^n\ \text{Barker},\ n\ge1\ \text{even}\ \Longrightarrow\ n\in\{2,4\}.a∈{−1,1}n Barker, n≥1 even ⟹ n∈{2,4}.

Combined with the classical odd-length classification, this gives the Barker length list {2,3,4,5,7,11,13}\{2,3,4,5,7,11,13\}{2,3,4,5,7,11,13}.

Significance

Theorem 1.1 closes a problem open since the early 1960s and, through the even-length reduction, completes the classification of Barker-sequence lengths. Equivalently, it shows that cyclic difference sets with parameters (4u2, 2u2−u, u2−u)(4u^2,\,2u^2-u,\,u^2-u)(4u2,2u2−u,u2−u) exist only for u=1u=1u=1. It also explains, in a single statement, the computational evidence of Logan and Mossinghoff and the arithmetic restrictions of Turyn and of Leung–Schmidt.

The result is proved in an OpenAI preprint that has not been peer reviewed; given the number of earlier claimed proofs, an independent machine-checked proof would be especially valuable. No formal proof of either statement exists; the formalization would also produce reusable group-ring and cyclotomic machinery.

Difficulty

The orthogonality condition is a norm equation hh∗=nhh^*=nhh∗=n in the group ring Z[Cn]\mathbb Z[C_n]Z[Cn​], and every character sends hhh to a cyclotomic integer of absolute value n\sqrt nn​. Classical arguments use such character values one at a time, through factorization of ideals in cyclotomic fields, and stop at the case n=4u2n=4u^2n=4u2 with uuu odd and divisible by several primes. The obstruction must combine information from all prime divisors of uuu simultaneously and use the fact that the coefficients are signs, not arbitrary integers; norm equations alone do have solutions at these orders.

Formalization scope

  • RealMatrix n := Matrix (Fin n) (Fin n) ℝ; IsCirculant H asks for h : Fin n → ℝ with H i j = h (j - i), where subtraction in Fin n is modular.
  • IsSignHadamard H is entrywise IsSign (equal to 111 or −1-1−1) together with H * H.transpose = (n : ℝ) • 1.
  • The goal assumes 0 < n, matching the paper's "positive integer nnn".
  • The Barker milestone uses integer sequences Fin n → ℤ with IsSign entries and aperiodic h k = Σ_{j<n-k} h_j h_{j+k}, bounded by 111 in absolute value for 0<k<n0<k<n0<k<n.

A complete development needs group rings of finite cyclic groups, characters and cyclotomic integers, localization at primes above ppp, and Kronecker's theorem that an algebraic integer all of whose conjugates have absolute value one is a root of unity. Contributions formalizing Proposition 2.2 (the order restriction n=4u2n=4u^2n=4u2, uuu odd), Lemma 3.1 (character comparison) and Proposition 3.4 (alternating character products are roots of unity of odd order) are welcome.

Selected references

  • OpenAI, The circulant Hadamard conjecture, preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/The-circulant-Hadamard-conjecture-September-23-2026/paper.pdf
  • H. J. Ryser, Combinatorial Mathematics, Carus Mathematical Monographs, 1963. https://doi.org/10.5948/UPO9781614440147
  • R. J. Turyn, Character sums and difference sets, Pacific J. Math., 1965. https://doi.org/10.2140/pjm.1965.15.319
  • R. Turyn, J. Storer, On binary sequences, Proc. Amer. Math. Soc., 1961. https://doi.org/10.1090/S0002-9939-1961-0125026-2
  • B. Schmidt, Cyclotomic integers and finite geometry, J. Amer. Math. Soc., 1999. https://doi.org/10.1090/S0894-0347-99-00298-2
  • K. H. Leung, B. Schmidt, New restrictions on possible orders of circulant Hadamard matrices, Des. Codes Cryptogr., 2012. https://doi.org/10.1007/s10623-011-9493-1
  • K.-U. Schmidt, J. Willms, Barker sequences of odd length, Des. Codes Cryptogr., 2016. https://doi.org/10.1007/s10623-015-0104-4
  • B. Logan, M. J. Mossinghoff, Double Wieferich pairs and circulant Hadamard matrices, J. Combin. Math. Combin. Comput., 2017.
  • S. Steinerberger, A note on approximate Hadamard matrices, Des. Codes Cryptogr., 2024. https://doi.org/10.1007/s10623-024-01430-w
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The Euclidean plane is not five-colorableResearch Paper

Motivation

The Hadwiger–Nelson problem asks for the chromatic number of the plane χ(R2)\chi(\mathbb R^2)χ(R2): the least number of colours needed to colour every point of the Euclidean plane so that any two points at distance exactly 111 receive different colours. Equivalently, it is the chromatic number of the infinite graph whose vertices are the points of the plane and whose edges are the unit-distance pairs. Since 1950 the answer has been known to lie between 444 and 777, and it is one of the best known open problems in combinatorial geometry. Its difficulty is that the colour classes may be arbitrary sets: no measurability or regularity is assumed, so analytic tools that work for measurable colourings do not apply directly.

This mission asks for a formal proof that five colours do not suffice, as claimed in an OpenAI preprint dated September 23, 2026 (source), so that 6≤χ(R2)≤76\le\chi(\mathbb R^2)\le76≤χ(R2)≤7. The preprint has not been peer reviewed and its claims have not been independently verified; on the platform the Lean goal is open.

Background

  • 1950 — Nelson poses the problem and observes χ≥4\chi\ge4χ≥4; Isbell finds a hexagonal 777-colouring (recounted by Soifer, Mathematics Competitions 2003).
  • 1951 — de Bruijn and Erdős: an infinite graph is kkk-colourable iff every finite subgraph is (Indag. Math. 1951).
  • 1961 — Hadwiger publishes the problem with bounds 444 and 777 (Elem. Math. 1961); the Moser spindle gives a 7-vertex obstruction to three colours (Canad. Math. Bull. 1961).
  • 1973–2005 — Woodall studies region colourings (JCTA 1973); Townsend proves map-type colourings need six colours (JCTA 1981; Geombinatorics 2005).
  • 1981 — Falconer proves that measurable colourings need at least five colours (JCTA 1981).
  • 2018–2020 — de Grey constructs a finite unit-distance graph that is not 444-colourable, so χ≥5\chi\ge5χ≥5 (arXiv:1804.02385); Heule and Parts shrink it (arXiv:1805.12181, arXiv:2010.12665); Exoo–Ismailescu give another proof (DCG 2020).
  • 2025 — Sokolov and Voronov prove seven colours are needed for polygonal map-type colourings (arXiv:2502.01958).
  • September 2026 — The OpenAI preprint claims χ(R2)≥6\chi(\mathbb R^2)\ge6χ(R2)≥6 for arbitrary colourings (Theorem 1.1, p. 2).

Setting

A proper kkk-colouring of the plane is any function c:R2→{1,…,k}c:\mathbb R^2\to\{1,\dots,k\}c:R2→{1,…,k} such that c(x)≠c(y)c(x)\ne c(y)c(x)=c(y) whenever ∥x−y∥=1\|x-y\|=1∥x−y∥=1, with ∥⋅∥\|\cdot\|∥⋅∥ the Euclidean norm. No measurability, continuity or regularity of the colour classes c−1(i)c^{-1}(i)c−1(i) is assumed. χ(R2)\chi(\mathbb R^2)χ(R2) is the least kkk admitting a proper kkk-colouring.

Formalization targets

Milestone: the upper bound χ(R2)≤7\chi(\mathbb R^2)\le7χ(R2)≤7 (Theorem 1.1, p. 2)

There is a proper 777-colouring of the plane: colour the Voronoi hexagons of a triangular lattice (circumradius r=2/5r=2/5r=2/5) by the seven cosets of an index-seven similar sublattice, assigning boundary points to any incident hexagon. This classical construction is reproved in the deduction of Theorem 1.1 (pp. 2–3), including all boundary points.

Goal: no proper five-colouring (Theorem 1.1, p. 2)

There is no function c:R2→{1,…,5}c:\mathbb R^2\to\{1,\dots,5\}c:R2→{1,…,5} with c(x)≠c(y)c(x)\ne c(y)c(x)=c(y) whenever ∥x−y∥=1\|x-y\|=1∥x−y∥=1. Together with the milestone this gives 6≤χ(R2)≤76\le\chi(\mathbb R^2)\le76≤χ(R2)≤7.

Significance

The result itself. It raises the lower bound for the chromatic number of the plane from five (de Grey, 2018) to six, leaving only 666 and 777. Unlike de Grey's bound it is not witnessed by a finite graph; the proof transfers the problem to measurable colourings for every number of colours (Theorem 1.3, p. 2) and then excludes weak measurable five-colourings (Theorem 1.4, p. 2). The transfer theorem is of independent interest: in ZFC, a proper kkk-colouring exists iff a weak measurable kkk-colouring does. The preprint also derives a positive lower bound on the invariant-mean frequency of monochromatic unit pairs for every five-colouring (Corollary 1.5, p. 5).

Formalizing it. The statements are elementary, but the proof uses ergodic theory (a Furstenberg–Zimmer compact-extension tower and rigidity of invariant measures on a character group, Theorem 2.3, p. 6), spectral theory, density points, Fourier decay of circle measure, and planar topology. A formal proof would remove any doubt about a long and varied argument. The finite-graph bound χ≥5\chi\ge5χ≥5 has been checked by SAT solvers, but no formal proof of a bound that is not witnessed by a finite graph is known.

Difficulty

By de Bruijn–Erdős, χ≥6\chi\ge6χ≥6 is equivalent to the existence of a finite unit-distance graph that is not 555-colourable, but no such graph is known, and SAT-based searches have not produced one. Measurable methods (Falconer's density-point argument) cannot be applied to arbitrary colour classes, and a measurable colouring can have boundaries far too irregular for map-type interface arguments such as Townsend's or Sokolov–Voronov's. The preprint must therefore (i) produce measurable data from an arbitrary colouring without losing the unit-distance exclusions, via invariant averaging over algebraic rotations and translations and the rigidity Theorem 2.3, and (ii) construct the connected interfaces needed for a geometric contradiction from measure estimates alone (Sections 5–7), before excluding label cycles of length 333, 444 and 555 (Section 8).

Formalization scope

  • The goal works in ℂ with ‖p - q‖ = 1; a colouring is any function ℂ → Fin 5. ProperColoring 5 c requires distinct colours at every unit-distance pair. No measurability is assumed, so the statement is about arbitrary colourings, as in the source.
  • The milestone works in EuclideanSpace ℝ (Fin 2) with dist x y = 1 and asks for some c : Plane → Fin 7; the two planes are isometric.
  • Both statements are in ZFC-style classical Lean; no choice-free reading is intended. Neither is vacuous.

Welcome contributions: the de Bruijn–Erdős compactness theorem, the Moser spindle, Lebesgue density points in R2\mathbb R^2R2, and the measurable/unrestricted transfer of Theorem 1.3.

Selected references

  • OpenAI, The Euclidean plane is not five-colorable, OpenAI Math Release preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/The-Euclidean-plane-is-not-five-colorable-September-23-2026/paper.pdf
  • H. Hadwiger, Ungelöste Probleme Nr. 40, Elem. Math. (1961).
  • L. Moser, W. Moser, Solution to Problem 10, Canad. Math. Bull. (1961). https://doi.org/10.1017/S0008439500025765
  • N. G. de Bruijn, P. Erdős, A colour problem for infinite graphs and a problem in the theory of relations, Indag. Math. (1951). https://users.renyi.hu/~p_erdos/1951-01.pdf
  • K. J. Falconer, The realization of distances in measurable subsets covering Rn\mathbb R^nRn, J. Combin. Theory Ser. A (1981). https://doi.org/10.1016/0097-3165(81)90014-5
  • D. R. Woodall, Distances realized by sets covering the plane, J. Combin. Theory Ser. A (1973). https://doi.org/10.1016/0097-3165(73)90020-4
  • S. P. Townsend, Every 5-coloured map in the plane contains a monochrome unit, J. Combin. Theory Ser. A (1981). https://doi.org/10.1016/0097-3165(81)90046-7
  • A. D. N. J. de Grey, The chromatic number of the plane is at least 5, Geombinatorics (2018). https://arxiv.org/abs/1804.02385v3
  • M. J. H. Heule, Computing small unit-distance graphs with chromatic number 5, Geombinatorics (2018). https://arxiv.org/abs/1805.12181
  • G. Exoo, D. Ismailescu, The chromatic number of the plane is at least 5: a new proof, Discrete Comput. Geom. (2020). https://doi.org/10.1007/s00454-019-00058-1
  • G. Sokolov, V. Voronov, On the chromatic number of the plane for map-type colorings, arXiv:2502.01958 (2025). https://arxiv.org/abs/2502.01958v1
  • A. Soifer, The 50th anniversary of one problem: the chromatic number of the plane & its relatives, Mathematics Competitions (2003). https://www.wfnmc.org/Journal%202003%201.pdf
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Approximate counting of common bases of two matroidsResearch Paper

Motivation: counting common bases of two matroids

A matroid abstracts linear independence: a finite ground set with a family of "independent" subsets that is closed under subsets and satisfies the augmentation axiom. Its maximal independent sets, the bases, all have the same size, the rank. Matroid intersection, finding a common basis of two matroids, is one of the central polynomially solvable problems of combinatorial optimization (Edmonds, 1979). Counting common bases is much harder. It contains counting bases of a single matroid (take both matroids equal) and counting perfect matchings of a bipartite graph (take two partition matroids), and exact counting is #P-hard. The natural goal is therefore a fully polynomial randomized approximation scheme (FPRAS): an algorithm whose output is within relative error ϵ\epsilonϵ with probability at least 1−δ1-\delta1−δ, in time polynomial in the input size, ϵ−1\epsilon^{-1}ϵ−1 and log⁡δ−1\log\delta^{-1}logδ−1. The matroids should be accessible only through independence oracles.

Background and timeline

  • 1979 — Edmonds gives a polynomial-time algorithm for matroid intersection (Ann. Discrete Math. 4).
  • 1992 — Feder and Mihail give sampling and approximate counting for balanced matroids (STOC 1992).
  • 2004 — Jerrum, Sinclair and Vigoda give an FPRAS for the permanent of nonnegative matrices, covering bipartite perfect matchings (J. ACM 51).
  • 2007 — Barvinok and Samorodnitsky obtain coarse logarithmic estimates via random weighting (Israel J. Math. 158).
  • 2016–2017 — Anari, Oveis Gharan and Rezaei prove rapid mixing for strongly Rayleigh distributions (COLT 2016); Anari and Oveis Gharan obtain exponential-factor approximations from real-stable polynomials (arXiv:1702.02937).
  • 2020 — Brändén and Huh develop Lorentzian polynomials (Ann. of Math. 192).
  • 2021 — Anari, Oveis Gharan and Vinzant give a deterministic 2O(r)2^{O(r)}2O(r)-factor approximation for common bases of rank-rrr matroids (Duke Math. J. 170); Cryan, Guo and Mousa ask for a rapidly mixing chain for common bases (Ann. Probab. 49).
  • 2023–2024 — Liu's dissertation records the FPRAS question for two arbitrary oracle matroids (Section 13.2, Problem 1, thesis); Anari, Liu, Oveis Gharan and Vinzant give an FPRAS for bases of a single matroid (Ann. of Math. 199).
  • 2026 — An OpenAI preprint, Approximate counting of common bases of two matroids (OpenAI Math Release, September 23, 2026), claims an independence-oracle FPRAS for common bases of two arbitrary matroids of equal rank. It has not been peer reviewed, and its proof is not formally verified.

Setting

Let M1,M2M_1,M_2M1​,M2​ be matroids of the same rank rrr on the ground set [n][n][n], supplied by exact independence oracles: a query is an nnn-bit indicator of a subset, and the answer says whether it is independent. The quantity to estimate is

Z(M1,M2)=∣B(M1)∩B(M2)∣,Z(M_1,M_2)=\bigl|\mathcal B(M_1)\cap\mathcal B(M_2)\bigr|,Z(M1​,M2​)=​B(M1​)∩B(M2​)​,

the number of common bases. The input also contains rationals ϵ,δ∈(0,1)\epsilon,\delta\in(0,1)ϵ,δ∈(0,1); ℓ\ellℓ denotes the binary encoding length of n,r,ϵ,δn,r,\epsilon,\deltan,r,ϵ,δ. Oracle calls are counted separately from the bit operations used to build queries and process answers.

Formalization targets

Goal: an FPRAS for common bases in the independence-oracle model (Theorem 1.1)

There is a single randomized oracle algorithm and a fixed polynomial ppp such that, for all rank-rrr matroids M1,M2M_1,M_2M1​,M2​ on [n][n][n] and rational ϵ,δ∈(0,1)\epsilon,\delta\in(0,1)ϵ,δ∈(0,1), it outputs a nonnegative rational Z^\widehat ZZ with

Pr⁡[(1−ϵ)Z≤Z^≤(1+ϵ)Z] ≥ 1−δ,\Pr\bigl[(1-\epsilon)Z\le\widehat Z\le(1+\epsilon)Z\bigr]\ \ge\ 1-\delta,Pr[(1−ϵ)Z≤Z≤(1+ϵ)Z] ≥ 1−δ,

the output is always 000 when Z=0Z=0Z=0, and on every execution the numbers of oracle calls and bit operations are at most p(n,ℓ,ϵ−1,log⁡δ−1)p(n,\ell,\epsilon^{-1},\log\delta^{-1})p(n,ℓ,ϵ−1,logδ−1). The algorithm uses only independent fair random bits. The goal statement is published on the platform with status Open.

Significance

The result itself. Theorem 1.1 answers the question recorded by Liu (2023) and extends both the single-matroid FPRAS of Anari–Liu–Oveis Gharan–Vinzant and, in the bipartite-matching case, the permanent FPRAS of Jerrum–Sinclair–Vigoda. It needs no representation of either matroid and holds for unrestricted rank, whereas the previous oracle-model scheme was fully polynomial only for r=O(log⁡n)r=O(\log n)r=O(logn). The source derives FPRASs and almost-uniform samplers for common independent sets of prescribed, unrestricted or maximum size, even for matroids of different ranks (Corollary 9.1).

Formalizing it. The Lean goal fixes a concrete machine model, so it states a complete complexity-theoretic claim with no informal "polynomial-time" left. A proof would combine Lorentzian-polynomial inequalities (Brändén–Huh), a transport inequality, a Markov-chain Poincaré bound, and simulated annealing with explicit bit accounting. Each layer is reusable: Mathlib has matroids, but no Lorentzian polynomials, no mixing-time theory of this kind and no randomized-algorithm framework.

Difficulty

For one matroid, the bases-exchange walk mixes rapidly because the basis generating polynomial is log-concave. The intersection of two matroids has no such structure: its common bases need not be connected by short exchanges, and the natural chain on transversals of the paired construction passes through states of exponentially small weight, so positivity and connectivity alone give no polynomial bound. Earlier approaches either lost exponential factors or needed real-stable polynomials that an independence oracle does not provide. The proof must balance defect classes, as in Jerrum–Sinclair–Vigoda, and establish a Poincaré inequality for observables from matroid-theoretic inequalities alone.

Formalization scope

  • Matroids are Mathlib Matroid (Fin n) with ground set univ and eRank = r for both. Oracles are functions Bool → (Fin n → Bool) → Bool, required to answer independence queries exactly.
  • The algorithm is one fixed Program k s for a register machine with k+8k+8k+8 binary stacks: push/pop, fair coin, oracle query on an nnn-bit register, and halt with output (register 6)/(register 7) as a rational. Inputs n,r,ϵ,δn,r,\epsilon,\deltan,r,ϵ,δ are loaded in binary.
  • The resource bound is B=C(1+n+ℓ+⌈ϵ−1⌉+⌈log⁡2⌈δ−1⌉⌉)dB=C(1+n+\ell+\lceil\epsilon^{-1}\rceil+\lceil\log_2\lceil\delta^{-1}\rceil\rceil)^dB=C(1+n+ℓ+⌈ϵ−1⌉+⌈log2​⌈δ−1⌉⌉)d with constants C>0,dC>0,dC>0,d fixed before the instance. For every infinite bit stream, the run halts within BBB steps with at most BBB oracle calls and BBB bit operations, outputs a nonnegative rational, and outputs 000 when Z=0Z=0Z=0.
  • The success probability is expressed by counting: at least (1−δ)2B(1-\delta)2^B(1−δ)2B of the 2B2^B2B bit strings of length BBB lead to an output within relative error ϵ\epsilonϵ of ZZZ.
  • A trivializing reading is excluded: the program and constants come first and must work for every n,rn,rn,r, matroid pair, oracle and ϵ,δ\epsilon,\deltaϵ,δ.
  • Needed infrastructure: Lorentzian polynomials and the homogeneous Tutte inequalities, Markov chains on finite state spaces with Poincaré/variance bounds, annealing estimators, and correctness proofs for the register machine. Contributions on any layer are welcome.

Selected references

  • J. Edmonds, Matroid intersection, Ann. Discrete Math. 4 (1979), 39–49. https://doi.org/10.1016/S0167-5060(08)70817-3
  • T. Feder and M. Mihail, Balanced matroids, STOC 1992. https://doi.org/10.1145/129712.129716
  • M. Jerrum, A. Sinclair and E. Vigoda, A polynomial-time approximation algorithm for the permanent of a matrix with nonnegative entries, J. ACM 51 (2004), 671–697. https://doi.org/10.1145/1008731.1008738
  • A. Barvinok and A. Samorodnitsky, Random weighting, asymptotic counting, and inverse isoperimetry, Israel J. Math. 158 (2007). https://doi.org/10.1007/s11856-007-0008-8
  • P. Brändén and J. Huh, Lorentzian polynomials, Ann. of Math. 192 (2020), 821–891. https://doi.org/10.4007/annals.2020.192.3.4
  • N. Anari, S. Oveis Gharan and C. Vinzant, Log-concave polynomials I, Duke Math. J. 170 (2021). https://doi.org/10.1215/00127094-2020-0091
  • M. Cryan, H. Guo and G. Mousa, Modified log-Sobolev inequalities for strongly log-concave distributions, Ann. Probab. 49 (2021). https://doi.org/10.1214/20-AOP1453
  • N. Anari, K. Liu, S. Oveis Gharan and C. Vinzant, Log-concave polynomials II: high-dimensional walks and an FPRAS for counting bases of a matroid, Ann. of Math. 199 (2024). https://doi.org/10.4007/annals.2024.199.1.4
  • K. Liu, Spectral Independence: A New Tool to Analyze Markov Chains, PhD thesis, University of Washington, 2023. https://kuikuiliu.github.io/files/dissertation.pdf
  • OpenAI, Approximate counting of common bases of two matroids, OpenAI Math Release preprint, September 23, 2026 (Theorem 1.1, p. 2). https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Approximate-counting-of-common-bases-of-two-matroids-September-23-2026/main.pdf
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Short Egyptian fractionsResearch Paper

Motivation: how short can an Egyptian fraction be?

An Egyptian-fraction expansion writes a positive rational number as a sum of distinct unit fractions 1/n1/n1/n. Every fraction a/ba/ba/b with 1≤a<b1\le a<b1≤a<b has one, by the greedy algorithm, but greedy expansions can be long. The basic quantitative question is how many terms are needed in the worst case for a fixed denominator bbb. Let N(a,b)N(a,b)N(a,b) be the least length of an expansion of a/ba/ba/b with denominators ≥2\ge2≥2, and N(b)=max⁡1≤a<bN(a,b)N(b)=\max_{1\le a<b}N(a,b)N(b)=max1≤a<b​N(a,b). Erdős proved in 1950 that N(b)≪log⁡b/log⁡log⁡bN(b)\ll\log b/\log\log bN(b)≪logb/loglogb, showed that N(b)≫log⁡log⁡bN(b)\gg\log\log bN(b)≫loglogb (already for a=b−1a=b-1a=b−1), and conjectured that the double-logarithmic order is correct. The question appears in Erdős–Graham's 1980 problem book and as Erdős Problem 304. The same circle of questions asks how many expansions of 111 with exactly kkk terms exist, and which integers can appear as denominators in them (Erdős Problem 293).

Timeline

  • 1940 — Nakayama studies N(a,b)N(a,b)N(a,b) through arithmetic criteria for expansions with few terms (Tohoku Math. J. 46).
  • 1950 — Erdős reports de Bruijn's bound N(b)≪log⁡b/log⁡log⁡log⁡bN(b)\ll\log b/\log\log\log bN(b)≪logb/logloglogb, improves it to N(b)≪log⁡b/log⁡log⁡bN(b)\ll\log b/\log\log bN(b)≪logb/loglogb, proves the lower bound N(b)≫log⁡log⁡bN(b)\gg\log\log bN(b)≫loglogb, and conjectures the matching upper bound (Mat. Lapok 1950).
  • 1980 — Erdős and Graham restate the problem and ask for estimates of the number of kkk-term expansions of 111 and for the least missing denominator (Old and New Problems…).
  • 1985 — Vose proves N(b)≪log⁡bN(b)\ll\sqrt{\log b}N(b)≪logb​ (Bull. LMS 17).
  • 1990 — Tenenbaum and Yokota give length (1+ε)log⁡b/log⁡log⁡b(1+\varepsilon)\log b/\log\log b(1+ε)logb/loglogb with denominators O(b(log⁡b)2log⁡log⁡b)O(b(\log b)^2\log\log b)O(b(logb)2loglogb) (J. Number Theory).
  • 2014–2021 — Konyagin proves a lower bound for the number F(k)F(k)F(k) of kkk-term expansions of 111 with log⁡log⁡F(k)≫k/log⁡k\log\log F(k)\gg k/\log kloglogF(k)≫k/logk (Mat. Zametki); Elsholtz extends it to restricted denominators (Q. J. Math.); Elsholtz and Planitzer prove log⁡log⁡F(k)=O(k)\log\log F(k)=O(k)loglogF(k)=O(k) (Bull. LMS).
  • 2026 — van Doorn and Tang prove v(k)≥exp⁡(ck2)v(k)\ge\exp(ck^2)v(k)≥exp(ck2) for the least missing denominator (Math. Proc. Cambridge Philos. Soc.).
  • 2026 — An OpenAI preprint, Short Egyptian fractions (OpenAI Math Release, September 25, 2026), claims N(b)≍log⁡log⁡bN(b)\asymp\log\log bN(b)≍loglogb, settling Erdős's conjecture, together with log⁡log⁡F(k)≍k\log\log F(k)\asymp kloglogF(k)≍k and log⁡log⁡v(k)≍k\log\log v(k)\asymp kloglogv(k)≍k. It has not been peer reviewed, and its proofs are not formally verified.

Setting

For integers 1≤a<b1\le a<b1≤a<b, an expansion of a/ba/ba/b is a finite list 2≤n1<⋯<nk2\le n_1<\dots<n_k2≤n1​<⋯<nk​ of integers with

ab=1n1+⋯+1nk.\frac ab=\frac1{n_1}+\dots+\frac1{n_k}.ba​=n1​1​+⋯+nk​1​.

The fraction need not be in lowest terms and the denominators are unbounded. N(a,b)N(a,b)N(a,b) is the least such kkk, and

N(b)=max⁡1≤a<bN(a,b).N(b)=\max_{1\le a<b}N(a,b).N(b)=1≤a<bmax​N(a,b).

For k≥1k\ge1k≥1, F(k)F(k)F(k) is the number of tuples 1≤n1<⋯<nk1\le n_1<\dots<n_k1≤n1​<⋯<nk​ with ∑1/ni=1\sum 1/n_i=1∑1/ni​=1; DkD_kDk​ is the set of integers m≥2m\ge2m≥2 occurring as some nin_ini​ in such a tuple; and v(k)=min⁡({2,3,… }∖Dk)v(k)=\min(\{2,3,\dots\}\setminus D_k)v(k)=min({2,3,…}∖Dk​).

Formalization targets

Goal: the optimal order of the shortest expansions (Theorem 1.1)

Every a/ba/ba/b with 1≤a<b1\le a<b1≤a<b has an expansion, and there are absolute constants c1,c2>0c_1,c_2>0c1​,c2​>0 and b0b_0b0​ such that for every b≥b0b\ge b_0b≥b0​

c1log⁡log⁡b  ≤  N(b)  ≤  c2log⁡log⁡b.c_1\log\log b\;\le\;N(b)\;\le\;c_2\log\log b .c1​loglogb≤N(b)≤c2​loglogb.

No values of the constants are fixed. The goal statement is published on the platform with status Open.

Milestones

  • Theorem 1.1, second formulation, stated with the definitions shared by the corollaries below.
  • Corollary 1.2: there are c,C>0c,C>0c,C>0 and k0k_0k0​ with ck≤log⁡log⁡F(k)≤Ckck\le\log\log F(k)\le Ckck≤loglogF(k)≤Ck for every k≥k0k\ge k_0k≥k0​.
  • Lemma 7.2: for r≥3r\ge3r≥3, any exact rrr-term expansion of 111 containing the denominator mmm can be lengthened to an exact (r+1)(r+1)(r+1)-term expansion still containing mmm; hence Dr⊆Dr+1D_r\subseteq D_{r+1}Dr​⊆Dr+1​.
  • Proposition 8.1: for every ε>0\varepsilon>0ε>0, every sufficiently large mmm is a denominator in an expansion of 111 with at most (257/log⁡2+ε)log⁡log⁡m(257/\log2+\varepsilon)\log\log m(257/log2+ε)loglogm terms.
  • Corollary 1.3: eventually exp⁡(exp⁡(k/600))≤v(k)≤1+k2k−1\exp(\exp(k/600))\le v(k)\le1+k^{2^{k-1}}exp(exp(k/600))≤v(k)≤1+k2k−1, and log⁡2/257≤lim inf⁡klog⁡log⁡v(k)/k≤lim sup⁡klog⁡log⁡v(k)/k≤log⁡2\log2/257\le\liminf_k \log\log v(k)/k\le\limsup_k\log\log v(k)/k\le\log2log2/257≤liminfk​loglogv(k)/k≤limsupk​loglogv(k)/k≤log2.

Significance

The result itself. Theorem 1.1 answers Erdős's 1950 conjecture (Erdős Problem 304) affirmatively. The lower bound is classical; the content is the uniform upper bound for every numerator. As consequences, the paper determines the double-logarithmic order of the number of representations of 111 (Corollary 1.2) and of the least integer absent from all kkk-term expansions of 111 (Corollary 1.3), improving van Doorn–Tang's exp⁡(ck2)\exp(ck^2)exp(ck2) lower bound to a double exponential.

Formalizing it. All statements are elementary, with no analytic objects beyond logarithms, so a formal proof would give a complete machine-checked account of a problem from Erdős's list. The proof uses residue distribution of divisors, uniform divisor moments and a probabilistic construction, none of which is machine-checked. The elementary pieces — finiteness of F(k)F(k)F(k), the denominator bound ni≤k2i−1n_i\le k^{2^{i-1}}ni​≤k2i−1, and the padding lemma — are independently checkable and useful for other unit-fraction problems.

Difficulty

The greedy algorithm and divisor methods (Erdős; Tenenbaum–Yokota) lose a factor log⁡b/(log⁡log⁡b)2\log b/(\log\log b)^2logb/(loglogb)2 because they treat each numerator individually. The proof instead builds an auxiliary denominator MMM for which almost every numerator in a large range has a short expansion, and descends through O(log⁡log⁡b)O(\log\log b)O(loglogb) ranges. The obstacle is that the exceptional numerators at each level could accumulate during the descent; controlling them requires a uniform moment bound for small divisors in shifted intervals. For Corollary 1.3, an additional difficulty is that the exact term 1/m1/m1/m must survive every operation that lengthens the expansion.

Formalization scope

  • The goal uses OAI.ShortEgyptian: expansions are List ℕ that are strictly increasing (Pairwise (· < ·)), with entries ≥2\ge2≥2 and rational sum a/ba/ba/b; minLength a b is an sInf and maxMinLength b the maximum over 1≤a<b1\le a<b1≤a<b. The existence conjunct guarantees that sInf is taken over a nonempty set, so the bounds cannot hold through a junk value.
  • The Problem337 milestones use Fin k → ℕ tuples (StrictMono, entries ≥2\ge2≥2 for a/ba/ba/b and ≥1\ge1≥1 for expansions of 111); F(k)F(k)F(k) is Set.ncard, and v(k)v(k)v(k) is sInf of the missing denominators. Finiteness of DkD_kDk​ and of the expansion sets, which make these values meaningful, are separate statements in the proposal. In Corollary 1.3 the slopes are real liminf/limsup, accompanied by the explicit eventual bounds.
  • Logarithms are Real.log; all constants are existential, apart from the explicit 600600600, 257/log⁡2257/\log 2257/log2 and log⁡2\log2log2 of the source.
  • Needed infrastructure: divisor-counting and residue-distribution estimates, elementary prime-number bounds (the counting corollary uses the prime number theorem), and finite probabilistic constructions. Contributions proving the elementary pieces are welcome.

Selected references

  • M. Nakayama, On the decomposition of a rational number into "Stammbrüche", Tohoku Math. J. 46 (1940). https://www.jstage.jst.go.jp/article/tmj1911/46/0/46_0_1/_article/-char/en
  • P. Erdős, Az 1/x1+1/x2+⋯+1/xn=a/b1/x_1+1/x_2+\dots+1/x_n=a/b1/x1​+1/x2​+⋯+1/xn​=a/b egyenlet egész számú megoldásairól, Mat. Lapok (1950). https://users.renyi.hu/~p_erdos/1950-02.pdf
  • P. Erdős and R. L. Graham, Old and New Problems and Results in Combinatorial Number Theory, 1980. https://mathweb.ucsd.edu/~ronspubs/80_11_number_theory.pdf
  • T. F. Bloom, Erdős Problem 304. https://www.erdosproblems.com/304
  • M. D. Vose, Egyptian fractions, Bull. London Math. Soc. 17 (1985). https://doi.org/10.1112/blms/17.1.21
  • G. Tenenbaum and H. Yokota, Length and denominators of Egyptian fractions, III, J. Number Theory (1990). https://doi.org/10.1016/0022-314X(90)90109-5
  • S. V. Konyagin, Double exponential lower bound for the number of representations of unity by Egyptian fractions, Mat. Zametki (2014). https://doi.org/10.4213/mzm10417
  • C. Elsholtz and S. Planitzer, Sums of four and more unit fractions and approximate parametrizations, Bull. London Math. Soc. (2021). https://doi.org/10.1112/blms.12452
  • W. van Doorn and Q. Tang, The smallest denominator not contained in a unit fraction decomposition of 1 with fixed length, Math. Proc. Cambridge Philos. Soc. (2026). https://doi.org/10.1017/S0305004126102102
  • OpenAI, Short Egyptian fractions, OpenAI Math Release preprint, September 25, 2026 (Theorem 1.1, p. 2; Corollaries 1.2–1.3, p. 3; Lemma 7.2, p. 26; Proposition 8.1, p. 27). https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Short-Egyptian-fractions-September-25-2026/Short-Egyptian-fractions-September-25-2026.pdf
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What Can We Learn Privately? V: Masked Parity Is Learnable by Adaptive but Not by Nonadaptive Statistical Queries Under the Uniform DistributionResearch Paper

Motivation

In the local model of differential privacy, each individual randomizes their own data before handing it to an untrusted learner. Local protocols are the deployed form of private data collection, and in practice every round of interaction with the population is expensive: the learner must broadcast new instructions and wait for new reports. Kasiviswanathan, Lee, Nissim, Raskhodnikova and Smith, What Can We Learn Privately? (arXiv:0803.0924v3, published in SIAM J. Comput. 40(3) (2011) 793–826, DOI 10.1137/090756090; theorem numbers below are those of arXiv v3) show that local learning is equivalent to learning with statistical queries (SQ) in the sense of Kearns (1998), and that the equivalence maps noninteractive local learners to nonadaptive SQ learners. The question whether interaction is ever necessary in the local model therefore becomes the question whether adaptivity is ever necessary for SQ learning.

This mission formalizes the paper's answer (§5.3, Theorem 5.16): a concept class, MASKED-PARITY, that an adaptive SQ learner learns exactly with d+1d+1d+1 queries in two rounds, while every nonadaptive SQ learner with fewer than exponentially many queries fails against a specific valid oracle, under the uniform distribution on examples.

Setting

Fix ddd, a power of two. The domain is D={0,1}d×{0,1}log⁡d×{0,1}D=\{0,1\}^d\times\{0,1\}^{\log d}\times\{0,1\}D={0,1}d×{0,1}logd×{0,1}, with points u=(x,i,b)u=(x,i,b)u=(x,i,b), and examples are drawn from the uniform distribution D\mathcal DD on DDD. For r∈{0,1}dr\in\{0,1\}^dr∈{0,1}d and a∈{0,1}a\in\{0,1\}a∈{0,1}, the concept cr,a:D→{+1,−1}c_{r,a}:D\to\{+1,-1\}cr,a​:D→{+1,−1} is

cr,a(x,i,b)={(−1)r⊙x+ab=0,(−1)rib=1,c_{r,a}(x,i,b)=\begin{cases}(-1)^{r\odot x+a}&b=0,\\(-1)^{r_i}&b=1,\end{cases}cr,a​(x,i,b)={(−1)r⊙x+a(−1)ri​​b=0,b=1,​

where r⊙xr\odot xr⊙x is the inner product modulo 2. MASKED-PARITY is the class {cr,a}\{c_{r,a}\}{cr,a​}: on the half b=0b=0b=0 it is the parity rrr or its negation, according to the mask aaa; on the half b=1b=1b=1 it reveals the bit rir_iri​.

A statistical query is a function g(u,y)g(u,y)g(u,y) of an example and a label together with a tolerance τ\tauτ. The SQ oracle for the target ccc answers with any real vvv such that ∣v−Eu∼D[g(u,c(u))]∣≤τ|v-\mathbb E_{u\sim\mathcal D}[g(u,c(u))]|\le\tau∣v−Eu∼D​[g(u,c(u))]∣≤τ; the learner must succeed for every such answer. An SQ learner is nonadaptive if it fixes all its queries before receiving any answer, and adaptive otherwise. Write ⟨f,h⟩=Eu∼D[f(u)h(u)]\langle f,h\rangle=\mathbb E_{u\sim\mathcal D}[f(u)h(u)]⟨f,h⟩=Eu∼D​[f(u)h(u)] and err(f,h)=Pr⁡u∼D[f(u)≠h(u)]\mathrm{err}(f,h)=\Pr_{u\sim\mathcal D}[f(u)\ne h(u)]err(f,h)=Pru∼D​[f(u)=h(u)].

The lower bound uses the decomposition of a query into fg(u)=g(u,1)−g(u,−1)2f_g(u)=\frac{g(u,1)-g(u,-1)}2fg​(u)=2g(u,1)−g(u,−1)​ and Cg=12E[g(u,1)+g(u,−1)]C_g=\frac12\mathbb E[g(u,1)+g(u,-1)]Cg​=21​E[g(u,1)+g(u,−1)], the restrictions cr,asc^s_{r,a}cr,as​, fgsf^s_gfgs​ of cr,ac_{r,a}cr,a​ and fgf_gfg​ to the half b=sb=sb=s (equation (6)), and the oracle

Ocr,a,D(g,τ)={Cg+⟨fg1,cr,a1⟩if ∣⟨fg0,cr,a0⟩∣<τ,E[g(u,cr,a(u))]otherwise.\mathcal O_{c_{r,a},\mathcal D}(g,\tau)=\begin{cases}C_g+\langle f^1_g,c^1_{r,a}\rangle&\text{if }|\langle f^0_g,c^0_{r,a}\rangle|<\tau,\\ \mathbb E[g(u,c_{r,a}(u))]&\text{otherwise.}\end{cases}Ocr,a​,D​(g,τ)={Cg​+⟨fg1​,cr,a1​⟩E[g(u,cr,a​(u))]​if ∣⟨fg0​,cr,a0​⟩∣<τ,otherwise.​

Formalization targets

Goal: Theorem 5.16 (p. 27)

  1. There is a two-round SQ learner (ddd queries, then one), with {0,1}\{0,1\}{0,1}-valued queries of tolerance at least 14d+1\frac1{4d+1}4d+11​, that outputs cr,ac_{r,a}cr,a​ for every target and every valid answers.
  2. O\mathcal OO is a valid SQ oracle, and every nonadaptive learner making ttt queries with values ±1\pm1±1 and tolerance at least 2−d/32^{-d/3}2−d/3, run against O\mathcal OO on a uniformly random target, satisfies
Pr⁡crˉ,aˉ[err(crˉ,aˉ,h)≥14]≥12−t2d/3+2.\Pr_{c_{\bar r,\bar a}}\Bigl[\mathrm{err}(c_{\bar r,\bar a},h)\ge\tfrac14\Bigr]\ge\frac12-\frac t{2^{d/3+2}}.crˉ,aˉ​Pr​[err(crˉ,aˉ​,h)≥41​]≥21​−2d/3+2t​.

Milestones

  • Proposition 5.18 (p. 28): the learner AMP\mathcal A_{\mathrm{MP}}AMP​ recovers r^=r\hat r=rr^=r and a^=a\hat a=aa^=a from every valid answers.
  • Equation (7) (p. 29): E[g(u,cr,a(u))]=Cg+⟨fg0,cr,a0⟩+⟨fg1,cr,a1⟩\mathbb E[g(u,c_{r,a}(u))]=C_g+\langle f^0_g,c^0_{r,a}\rangle+\langle f^1_g,c^1_{r,a}\rangleE[g(u,cr,a​(u))]=Cg​+⟨fg0​,cr,a0​⟩+⟨fg1​,cr,a1​⟩.
  • The oracle (p. 30): O\mathcal OO is valid and answers identically on cr,0c_{r,0}cr,0​ and cr,1c_{r,1}cr,1​ when ∣⟨fg0,cr,00⟩∣<τ|\langle f^0_g,c^0_{r,0}\rangle|<\tau∣⟨fg0​,cr,00​⟩∣<τ.
  • Orthogonality (p. 30): ⟨cr,a0,cr′,a0⟩\langle c^0_{r,a},c^0_{r',a}\rangle⟨cr,a0​,cr′,a0​⟩ is 1/21/21/2 if r=r′r=r'r=r′ and 000 otherwise.
  • Bessel bound (p. 30): ∑(r,a)2⟨fg0,cr,a0⟩2≤1\sum_{(r,a)}2\langle f^0_g,c^0_{r,a}\rangle^2\le1∑(r,a)​2⟨fg0​,cr,a0​⟩2≤1 for ±1\pm1±1-valued ggg.
  • Counting (p. 30): at most 22d/3−12^{2d/3-1}22d/3−1 pairs (r,a)(r,a)(r,a) have ∣⟨fg0,cr,a0⟩∣≥2−d/3|\langle f^0_g,c^0_{r,a}\rangle|\ge2^{-d/3}∣⟨fg0​,cr,a0​⟩∣≥2−d/3.
  • Pr⁡[Good]≥1−t/2d/3+2\Pr[\mathit{Good}]\ge1-t/2^{d/3+2}Pr[Good]≥1−t/2d/3+2 (p. 30).

Significance

The result. Combined with the paper's equivalence between local and SQ learning (Theorem 5.14), Theorem 5.16 shows that interaction is sometimes necessary in local differential privacy: there is a class learnable by an interactive local protocol with polynomially many examples, but not by any noninteractive one with fewer than exponentially many (Corollary 5.17). The separation concerns strong learning under a fixed distribution; the paper notes that adaptive and nonadaptive SQ learning coincide for weak learning, and that a distribution-free separation was left open.

Formalizing it. The result is proved in the paper and has, to our knowledge, no machine-checked proof. The mission produces a self-contained Lean model of statistical query learning with labelled queries and adversarial oracles, a finite Fourier calculus for parities on {0,1}d\{0,1\}^d{0,1}d (orthogonality and a Bessel inequality for ±1\pm1±1-valued functions), and the counting and union-bound argument of SQ lower bounds. The proof of part (2) contains several printed slips (listed below); a formal proof settles the corrected argument.

Difficulty

The upper bound is a direct computation. The difficulty is in part (2): the learner's hypothesis may be any function, not a concept of the class, and the lower bound must hold for every nonadaptive strategy at once. A naive argument that each query "reveals little about aaa" fails, because the true answer to a query does depend on aaa; the argument needs an oracle that is valid (within tolerance of the truth) and yet independent of aaa on most targets, and a quantitative bound on how many targets any single ±1\pm1±1-valued query can correlate with on the half b=0b=0b=0. That bound is an L2L^2L2 statement over all 2d+12^{d+1}2d+1 concepts, not a pointwise one.

Formalization scope

  • Domain and distribution. The index i∈{0,1}log⁡di\in\{0,1\}^{\log d}i∈{0,1}logd is encoded as Fin d, and every theorem assumes d=2md=2^md=2m (implicit in the paper). Vectors are Fin d → ZMod 2, with 0-based bits. Expectations are averages over the finite domain; probabilities over the target are counts of pairs (r,a)(r,a)(r,a) divided by 2d+12^{d+1}2d+1.
  • Values. Concepts, hypotheses and queries are real-valued; labels ±1\pm1±1 are reals. Queries in part (1) take values in {0,1}\{0,1\}{0,1}, as AMP\mathcal A_{\mathrm{MP}}AMP​'s do; queries in part (2) take values ±1\pm1±1 on labels ±1\pm1±1, as in the paper's proof. The paper allows non-Boolean queries (p. 19); a version of part (2) for real queries with values in [−1,1][-1,1][−1,1] is a true strengthening that the same argument supports, and is not stated.
  • Oracles. An SQ oracle is adversarial within the tolerance: the upper bound holds for every valid answer. Part (2) exhibits the paper's oracle O\mathcal OO and asserts its validity for every τ>0\tau>0τ>0. Without that conjunct an "oracle" that ignores the tolerance would make part (2) trivial; the statement rules this out.
  • Learners. Learners are deterministic structures (a nonadaptive learner is a list of queries and tolerances plus an output map; a two-round learner's second-round queries are functions of the first-round answers). A randomized learner is a mixture over its coins and the bounds hold coin by coin. "Efficient" is not modelled. The informal "with a polynomial number of queries" is formalized through its quantitative "Specifically" sentence.
  • Real powers. 2d/32^{d/3}2d/3, 22d/3−12^{2d/3-1}22d/3−1 and 2d/3+22^{d/3+2}2d/3+2 are real powers; no natural-number division is used.
  • Corrections of the proof (not of the theorem). The event Good\mathit{Good}Good on p. 30 is printed with crˉ,aˉc_{\bar r,\bar a}crˉ,aˉ​ and ≤\le≤; the milestone uses crˉ,aˉ0c^0_{\bar r,\bar a}crˉ,aˉ0​ and the strict <<<, which is what the counting display and the oracle's test require. The quotient 22d/3−1/2d+12^{2d/3-1}/2^{d+1}22d/3−1/2d+1 is printed as 2−d/32^{-d/3}2−d/3 and equals 2−d/3−22^{-d/3-2}2−d/3−2; "cr,00=−cr,00c^0_{r,0}=-c^0_{r,0}cr,00​=−cr,00​" should read cr,10=−cr,00c^0_{r,1}=-c^0_{r,0}cr,10​=−cr,00​. The final display of the proof gives 12(1−t/2d/3+2)\frac12(1-t/2^{d/3+2})21​(1−t/2d/3+2), which is at least the theorem's bound.

Contributions welcome: the Fourier facts for {0,1}d\{0,1\}^d{0,1}d (reusable for any parity-based SQ lower bound), the general decomposition (7), and the probability bound of part (2) from the milestones.

Selected references

  • S. P. Kasiviswanathan, H. K. Lee, K. Nissim, S. Raskhodnikova, A. Smith, What Can We Learn Privately?, SIAM J. Comput. 40(3) (2011) 793–826. arXiv:0803.0924v3, DOI 10.1137/090756090.
  • M. Kearns, Efficient noise-tolerant learning from statistical queries, J. ACM 45(6) (1998) 983–1006. DOI 10.1145/293347.293351.
  • A. Blum, M. Furst, J. Jackson, M. Kearns, Y. Mansour, S. Rudich, Weakly learning DNF and characterizing statistical query learning using Fourier analysis, STOC 1994. DOI 10.1145/195058.195147.
  • N. Bshouty, V. Feldman, On using extended statistical queries to avoid membership queries, J. Mach. Learn. Res. 2 (2002) 359–395. JMLR.
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Flows and Decompositions of Games: Harmonic and Potential Games 4: Changing Only the Nonstrategic Component Makes the Pure Nash Equilibria Coincide with the Pareto Optimal ProfilesResearch Paper

Motivation

A finite strategic game can be changed in ways that no player can detect strategically. Adding to player mmm's utility any function that does not depend on player mmm's own strategy leaves every unilateral comparison "is strategy aaa better for me than strategy bbb, given what the others do?" unchanged, so it leaves every best response and every pure Nash equilibrium unchanged. Such changes are not irrelevant, however: they move the payoff levels, and therefore change which outcomes are efficient.

Candogan, Menache, Ozdaglar and Parrilo (arXiv:1005.2405; Math. Oper. Res. 36(3), 2011, DOI 10.1287/moor.1110.0500) make this precise. They decompose every finite game uniquely into a potential component, a harmonic component and a nonstrategic component (their Theorem 4.1). The first two determine all pairwise comparisons; the third determines nothing about equilibria. Section 5.3 of the paper asks what the third component can do to efficiency, and answers with Theorem 5.9: by changing only the nonstrategic component, the pure Nash equilibria of a game can be made to coincide exactly with its Pareto optimal profiles. This mission formalizes that result.

The question matters wherever a designer can transfer payoffs without altering incentives (for instance side payments to a player that depend only on the other players' actions): the theorem says such transfers can always align equilibrium with efficiency, provided an equilibrium exists.

Setting

There is a finite set M\mathcal MM of players. Player mmm has a finite nonempty set EmE^mEm of strategies; a strategy profile is p=(pm)m∈M∈E=∏mEmp = (p^m)_{m\in\mathcal M} \in E = \prod_m E^mp=(pm)m∈M​∈E=∏m​Em, and (qm,p−m)(q^m, p^{-m})(qm,p−m) denotes ppp with player mmm's strategy replaced by qmq^mqm. A game is a family of utilities u=(um)mu = (u^m)_mu=(um)m​, um:E→Ru^m : E \to \mathbb Rum:E→R.

Two profiles are mmm-comparable if they differ, and differ only in player mmm's strategy. The game graph has node set EEE and an edge between every pair of profiles that are mmm-comparable for some mmm. On this graph:

  • C0C_0C0​ is the space of functions E→RE \to \mathbb RE→R with ⟨φ,ψ⟩0=∑pφ(p)ψ(p)\langle \varphi, \psi\rangle_0 = \sum_p \varphi(p)\psi(p)⟨φ,ψ⟩0​=∑p​φ(p)ψ(p);
  • C1C_1C1​ is the space of edge flows XXX (X(p,q)=−X(q,p)X(p,q) = -X(q,p)X(p,q)=−X(q,p) on edges, 000 off edges) with ⟨X,Y⟩1=12∑(p,q)X(p,q)Y(p,q)\langle X, Y\rangle_1 = \tfrac12\sum_{(p,q)} X(p,q)Y(p,q)⟨X,Y⟩1​=21​∑(p,q)​X(p,q)Y(p,q), summed over ordered adjacent pairs;
  • δ0:C0→C1\delta_0 : C_0 \to C_1δ0​:C0​→C1​, (δ0φ)(p,q)=φ(q)−φ(p)(\delta_0\varphi)(p,q) = \varphi(q) - \varphi(p)(δ0​φ)(p,q)=φ(q)−φ(p) on edges, is the combinatorial gradient;
  • Dm:C0→C1D_m : C_0 \to C_1Dm​:C0​→C1​ is the same difference restricted to mmm-comparable pairs, and Du=∑mDmumD u = \sum_m D_m u^mDu=∑m​Dm​um. For mmm-comparable p,qp,qp,q, (Du)(p,q)=um(q)−um(p)(Du)(p,q) = u^m(q) - u^m(p)(Du)(p,q)=um(q)−um(p): DDD records the game's pairwise comparisons.

Games form the space C0MC_0^MC0M​ with the inner product ∑m⟨um,vm⟩0\sum_m\langle u^m, v^m\rangle_0∑m​⟨um,vm⟩0​. With †\dagger† the Moore–Penrose pseudoinverse for these inner products, the potential and harmonic components of a game are

uP=D†δ0δ0†Du,uH=D†(I−δ0δ0†)Du,u_{\mathcal P} = D^\dagger\delta_0\delta_0^\dagger D u, \qquad u_{\mathcal H} = D^\dagger(I - \delta_0\delta_0^\dagger) D u ,uP​=D†δ0​δ0†​Du,uH​=D†(I−δ0​δ0†​)Du,

and the nonstrategic component is what remains. A profile ppp is a pure Nash equilibrium of uuu if um(qm,p−m)≤um(p)u^m(q^m, p^{-m}) \le u^m(p)um(qm,p−m)≤um(p) for all mmm and qmq^mqm, and it is Pareto optimal (Definition 5.3) if no profile qqq has um(q)≥um(p)u^m(q) \ge u^m(p)um(q)≥um(p) for all mmm and uk(q)>uk(p)u^k(q) > u^k(p)uk(q)>uk(p) for some kkk.

Formalization targets

Goal: Theorem 5.9

For every game uuu that has a pure Nash equilibrium there is a game uˉ\bar uuˉ with

uˉP=uP,uˉH=uH,{p:p pure NE of uˉ}={p:p Pareto optimal in uˉ}.\bar u_{\mathcal P} = u_{\mathcal P},\qquad \bar u_{\mathcal H} = u_{\mathcal H},\qquad \{p : p \text{ pure NE of } \bar u\} = \{p : p \text{ Pareto optimal in } \bar u\}.uˉP​=uP​,uˉH​=uH​,{p:p pure NE of uˉ}={p:p Pareto optimal in uˉ}.

The statement is existential and fixes nothing about uˉ\bar uuˉ beyond its potential and harmonic components; it asserts the full equality of the two sets, not one inclusion.

Milestones

  1. §5.3, p. 32. Games with the same potential and harmonic components have the same pure Nash equilibria.
  2. Lemma 5.4. For every game uuu there is a game u^\hat uu^ with u^P=uP\hat u_{\mathcal P} = u_{\mathcal P}u^P​=uP​, u^H=uH\hat u_{\mathcal H} = u_{\mathcal H}u^H​=uH​, and u^m(p)=0\hat u^m(p) = 0u^m(p)=0 for every player mmm at every pure Nash equilibrium ppp of uuu.

Significance

The result. The nonstrategic component has no influence on the pairwise comparisons, and hence on equilibria, yet Theorem 5.9 shows that it controls efficiency completely: whenever a pure equilibrium exists, some choice of it makes every equilibrium Pareto optimal and every Pareto optimal profile an equilibrium. Read the other way, two games that are strategically indistinguishable can have opposite efficiency properties, so any efficiency statement about a class of games (a price-of-anarchy bound, for instance) must depend on more than the strategic structure. The paper also uses Lemma 5.4 as a normalisation: the payoff levels at equilibria are a free parameter of the nonstrategic component.

Formalizing it. The theorem has a short proof on paper, but the proof works with the pairwise comparisons, whereas the statement is about the components uPu_{\mathcal P}uP​, uHu_{\mathcal H}uH​ defined through pseudoinverses. Connecting the two requires the identities of the decomposition: that uP+uH=D†Duu_{\mathcal P} + u_{\mathcal H} = D^\dagger D uuP​+uH​=D†Du and that DD†D=DD D^\dagger D = DDD†D=D. The mission therefore produces a machine-checked link between the linear-algebraic decomposition of games and their equilibrium sets, which other results of the paper (and of the literature on near-potential games) also need. To the best of our knowledge, none of these statements has been formalized before; the result itself is proved in the paper.

Difficulty

The construction on pp. 31–33 is explicit, so the difficulty is not finding uˉ\bar uuˉ but keeping two descriptions of "differ only in the nonstrategic component" consistent. The statement uses the component maps; the proof checks pointwise that um(p)−um(q)=uˉm(p)−uˉm(q)u^m(p) - u^m(q) = \bar u^m(p) - \bar u^m(q)um(p)−um(q)=uˉm(p)−uˉm(q) for mmm-comparable p,qp, qp,q. Passing from the second to the first needs the pseudoinverse identities for DDD and δ0\delta_0δ0​ with respect to the specific inner products of C0MC_0^MC0M​ and C1C_1C1​; a naive argument that treats D†D^\daggerD† as an inverse fails because DDD has a large kernel. A second point is the case analysis in the definition of uˉ\bar uuˉ: whether a profile is mmm-comparable to an equilibrium must be shown independent of which of two mmm-comparable profiles is examined, and the case where a non-equilibrium profile is mmm-comparable to an equilibrium for every player mmm needs the separate argument of p. 33.

Formalization scope

Players form a finite type ι with decidable equality; strategy sets E m are finite, nonempty and have decidable equality. A game is an element of PiLp 2 (fun _ => EuclideanSpace ℝ (∀ k, E k)), i.e. C0MC_0^MC0M​ with the unweighted sum inner product of Section 4; the weighted inner product of Section 6 is not used. C1C_1C1​ carries the inner product with the factor 12\tfrac1221​. The pseudoinverse is defined directly (Mathlib has none) as the inverse of LLL on (ker⁡L)⊥(\ker L)^\perp(kerL)⊥ composed with the orthogonal projection onto the range. Pure Nash equilibrium is AGT.IsPureNash from the published agt_games bundle; Pareto optimality is Definition 5.3, stated for a plain utility function.

Added hypothesis. The paper leaves implicit that GGG has a pure Nash equilibrium, and the goal carries it as a hypothesis. It is necessary: every finite game has a Pareto optimal profile (a maximizer of ∑mum\sum_m u^m∑m​um), while a game without pure equilibria, such as matching pennies, has none in any game with the same potential and harmonic components, so the set equality would fail. The paper's proof uses an equilibrium in the step "deviation to a NE increases the payoff of at least one player". Lemma 5.4 needs no such hypothesis.

"Same potential and harmonic components" is stated as equality of the two component maps of Theorem 4.1, never as membership of u−uˉu - \bar uu−uˉ in ker⁡D\ker DkerD; the two are equivalent only through the decomposition theorem. Without condition (i) the goal would be trivial (take uˉ\bar uuˉ constant, so that every profile is both an equilibrium and Pareto optimal), so condition (i) is what makes the statement nontrivial.

Needed infrastructure: the Penrose identities for the pseudoinverse; DD†D=DD D^\dagger D = DDD†D=D; the fact that DuDuDu determines each DmumD_m u^mDm​um (the mmm-comparable edge sets for different mmm are disjoint); and the explicit constructions of u^\hat uu^ and uˉ\bar uuˉ. The pseudoinverse lemmas and the "same comparisons, same equilibria" bridge are reusable throughout the series. Proofs of the milestones, of the bridge in either direction, and of the Penrose identities are welcome as separate contributions.

Selected references

  • O. Candogan, I. Menache, A. Ozdaglar, P. A. Parrilo, Flows and Decompositions of Games: Harmonic and Potential Games, arXiv:1005.2405v2, 2010. https://arxiv.org/abs/1005.2405 — journal version: Mathematics of Operations Research 36(3):474–503, 2011. https://doi.org/10.1287/moor.1110.0500
  • D. Monderer, L. S. Shapley, Potential Games, Games and Economic Behavior 14(1):124–143, 1996. https://doi.org/10.1006/game.1996.0044
  • R. Penrose, A generalized inverse for matrices, Mathematical Proceedings of the Cambridge Philosophical Society 51(3):406–413, 1955. https://doi.org/10.1017/S0305004100030401
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Robust Dynamic Programming 3: The Worst-Case Expectation over a Chi-Square Ball Equals a Mean–Standard-Deviation DualResearch Paper

Motivation

Robust dynamic programming replaces the single transition law of a Markov decision process by a set of laws, and values a policy by its worst-case expected reward over that set. Iyengar (Robust dynamic programming, CORC Tech Report TR-2002-07, 2004; Math. Oper. Res. 30(2), 2005) and Nilim and El Ghaoui (Robust control of Markov decision processes with uncertain transition matrices, Oper. Res. 53(5), 2005) showed that under a rectangularity assumption the robust value satisfies a robust Bellman equation. Each step of that equation solves, for every state–action pair, an inner problem

inf⁡p∈P Ep[v],\inf_{p\in\mathcal P}\ \mathbf E^p[v],p∈Pinf​ Ep[v],

the worst-case expectation of a value vector vvv over the ambiguity set P\mathcal PP. Robust value iteration is only as practical as this inner problem is cheap.

The ambiguity sets of interest come from statistics: when transition probabilities are estimated from data, natural sets are confidence regions around the empirical distribution. Section 4 of Iyengar's report studies three such families: relative-entropy balls (Lemma 4), a χ² approximation of them (Lemma 5), and an L1L_1L1​ outer approximation (Lemma 6). This mission formalizes the χ² case. The relative-entropy case is already posed on the platform as RobustMDP.EntropyInner.kl_ball_inner_problem_dual (Nilim–El Ghaoui series), up to the sign change v→−vv\to -vv→−v.

Setting

Let S\mathcal SS be a finite set of states and let M(S)={p:S→R: p≥0, ∑sp(s)=1}\mathcal M(\mathcal S)=\{p:\mathcal S\to\mathbb R:\ p\ge 0,\ \sum_s p(s)=1\}M(S)={p:S→R: p≥0, ∑s​p(s)=1} be the probability measures on S\mathcal SS. For p∈M(S)p\in\mathcal M(\mathcal S)p∈M(S) and x:S→Rx:\mathcal S\to\mathbb Rx:S→R write

Ep[x]=∑sp(s)x(s),Varq[x]=∑sq(s)(x(s)−Eq[x])2.\mathbf E^p[x]=\sum_{s}p(s)x(s),\qquad \mathbf{Var}^q[x]=\sum_s q(s)\big(x(s)-\mathbf E^q[x]\big)^2 .Ep[x]=s∑​p(s)x(s),Varq[x]=s∑​q(s)(x(s)−Eq[x])2.

Fix a centre q∈M(S)q\in\mathcal M(\mathcal S)q∈M(S) with q(s)>0q(s)>0q(s)>0 for every sss (in the paper qqq is the empirical next-state distribution of one state–action pair) and a radius t≥0t\ge 0t≥0. The χ² set (46) is

P={p∈M(S): ∑s∈S(p(s)−q(s))2q(s)≤t}.\mathcal P=\Big\{p\in\mathcal M(\mathcal S):\ \sum_{s\in\mathcal S}\frac{(p(s)-q(s))^2}{q(s)}\le t\Big\}.P={p∈M(S): s∈S∑​q(s)(p(s)−q(s))2​≤t}.

Since log⁡(1+x)≤x\log(1+x)\le xlog(1+x)≤x, the relative entropy D(p∥q)=∑sp(s)log⁡(p(s)/q(s))D(p\|q)=\sum_s p(s)\log(p(s)/q(s))D(p∥q)=∑s​p(s)log(p(s)/q(s)) is at most the χ² distance, so P\mathcal PP lies inside the relative-entropy ball of radius ttt: it is a conservative approximation of it. The Lean development names these objects expect, variance, chiSqDist, chiSqSet, relEntropy and the dual objective dualObj q t v μ =Eq[v−μ]−t Varq[v−μ]=\mathbf E^q[v-\mu]-\sqrt{t\,\mathbf{Var}^q[v-\mu]}=Eq[v−μ]−tVarq[v−μ]​, all in the namespace RobustDP.ChiSquare.

Formalization targets

Goal: Lemma 5 (p. 18)

For every value vector v:S→Rv:\mathcal S\to\mathbb Rv:S→R,

min⁡p∈P Ep[v]  =  max⁡μ≥0{Eq[v−μ]−t Varq[v−μ]},\min_{p\in\mathcal P}\ \mathbf E^p[v]\;=\;\max_{\mu\ge 0}\Big\{\mathbf E^q[v-\mu]-\sqrt{t\,\mathbf{Var}^q[v-\mu]}\Big\},p∈Pmin​ Ep[v]=μ≥0max​{Eq[v−μ]−tVarq[v−μ]​},

where μ\muμ ranges over vectors μ:S→R\mu:\mathcal S\to\mathbb Rμ:S→R with μ≥0\mu\ge 0μ≥0 componentwise. Both extrema are attained. The lemma's complexity claim, O(∣S∣log⁡∣S∣)\mathcal O(|\mathcal S|\log|\mathcal S|)O(∣S∣log∣S∣) for (48), is a statement about an algorithm and is not part of the mission.

Milestones (the steps of the paper's proof)

  1. (49) With y=p−qy=p-qy=p−q, the value of the primal problem is Eq[v]\mathbf E^q[v]Eq[v] plus the minimum of ∑sy(s)v(s)\sum_s y(s)v(s)∑s​y(s)v(s) over ∑sy(s)2/q(s)≤t\sum_s y(s)^2/q(s)\le t∑s​y(s)2/q(s)≤t, ∑sy(s)=0\sum_s y(s)=0∑s​y(s)=0, y≥−qy\ge -qy≥−q.
  2. (50) For fixed multipliers μ\muμ and γ∈R\gamma\in\mathbb Rγ∈R, the minimum of the Lagrangian over the ellipsoid {y:∑sy(s)2/q(s)≤t}\{y:\sum_s y(s)^2/q(s)\le t\}{y:∑s​y(s)2/q(s)≤t} is Eq[v−μ]−t∑sq(s)(v(s)−μ(s)−γ)2\mathbf E^q[v-\mu]-\sqrt{t\sum_s q(s)(v(s)-\mu(s)-\gamma)^2}Eq[v−μ]−t∑s​q(s)(v(s)−μ(s)−γ)2​, attained at an explicit y∗y^*y∗.
  3. (51) Maximizing over γ\gammaγ replaces the sum of squares by Varq[v−μ]\mathbf{Var}^q[v-\mu]Varq[v−μ], attained at γ=Eq[v−μ]\gamma=\mathbf E^q[v-\mu]γ=Eq[v−μ].
  4. (52)–(53) Some optimal multiplier has the form μ∗(s)=(v(s)−α)+\mu^*(s)=(v(s)-\alpha)^+μ∗(s)=(v(s)−α)+ with α≥min⁡sv(s)\alpha\ge\min_s v(s)α≥mins​v(s), so the dual is a one-dimensional problem.

Two further results stand on the same definitions: the inequality D(p∥q)≤∑s(p(s)−q(s))2/q(s)D(p\|q)\le\sum_s(p(s)-q(s))^2/q(s)D(p∥q)≤∑s​(p(s)−q(s))2/q(s) of Section 4.2, and the L1L_1L1​ analogue of Lemma 5 established in the proof of Lemma 6 (p. 20):

min⁡p∈M(S)∥p−q∥1≤cEp[v]=max⁡μ≥0{Eq[v−μ]−12c(max⁡s(v−μ)(s)−min⁡s(v−μ)(s))},c=2ln⁡(2) t.\min_{\substack{p\in\mathcal M(\mathcal S)\\ \|p-q\|_1\le c}}\mathbf E^p[v]=\max_{\mu\ge0}\Big\{\mathbf E^q[v-\mu]-\tfrac12 c\big(\max_s(v-\mu)(s)-\min_s(v-\mu)(s)\big)\Big\},\qquad c=\sqrt{2\ln(2)\,t}.p∈M(S)∥p−q∥1​≤c​min​Ep[v]=μ≥0max​{Eq[v−μ]−21​c(smax​(v−μ)(s)−smin​(v−μ)(s))},c=2ln(2)t​.

Significance

The result. Lemma 5 reduces a worst-case expectation over a curved convex set of probability vectors to a concave problem in one scalar, which the paper solves by sorting. This makes robust value iteration with χ² ambiguity sets about as expensive as nominal value iteration, up to a logarithmic factor. The identity also explains the shape of the answer: a mean minus a standard-deviation penalty, applied to a value vector truncated from above at the level α\alphaα. The truncation comes from the constraint p≥0p\ge 0p≥0.

Formalizing it. The result is proved in the paper; no machine-checked proof is known. A complete formalization gives a verified finite-dimensional duality theorem for a quadratic constraint combined with polyhedral constraints, which is the computational core of χ²-ambiguity robust MDPs and of χ²-divergence distributionally robust optimization in general. Lemma 6's printed formula (57) is false (see below); the mission poses the corrected identity that the paper's proof establishes.

Difficulty

The obvious argument drops the constraint p≥0p\ge 0p≥0. Without it, the minimum of the linear function Ep[v]\mathbf E^p[v]Ep[v] over the ellipsoid {∑sp(s)=1, χ2(p,q)≤t}\{\sum_s p(s)=1,\ \chi^2(p,q)\le t\}{∑s​p(s)=1, χ2(p,q)≤t} follows from Cauchy–Schwarz and equals Eq[v]−t Varq[v]\mathbf E^q[v]-\sqrt{t\,\mathbf{Var}^q[v]}Eq[v]−tVarq[v]​. The page notes (p. 19) that earlier work solved only this relaxed problem. With p≥0p\ge 0p≥0 the minimizer of the relaxation can leave the simplex, so the problem has an ellipsoidal constraint, a polyhedral constraint and an equality at once. The multiplier μ\muμ of p≥0p\ge 0p≥0 is what Lemma 5 has to handle. Equality of the primal minimum with the dual supremum needs a duality theorem that is not in Mathlib in this form. Attainment of the dual maximum over the unbounded cone μ≥0\mu\ge 0μ≥0 needs an additional argument, namely that an optimal multiplier has the truncation form (53).

Formalization scope

  • S\mathcal SS is a Fintype; vectors are functions S → ℝ; M(S)\mathcal M(\mathcal S)M(S) is Mathlib's stdSimplex ℝ S. Nonemptiness of S\mathcal SS follows from ∑sq(s)=1\sum_s q(s)=1∑s​q(s)=1. Finiteness is the standing restriction of Section 4 (p. 15).
  • q(s)>0q(s)>0q(s)>0 for every sss is a hypothesis of every χ² statement. The page divides by q(s)q(s)q(s); in Lean x/0=0x/0=0x/0=0 would silently drop a coordinate from the constraint.
  • t≥0t\ge 0t≥0 is assumed. The page puts no sign condition on ttt. At t=0t=0t=0 the set is {q}\{q\}{q} and both sides equal Eq[v]\mathbf E^q[v]Eq[v].
  • Minimum and maximum are IsLeast and IsGreatest of image sets, so the goal asserts attainment on both sides, as the page's "minimize" and "max" do.
  • μ≥0\mu\ge 0μ≥0 is a vector inequality (0 ≤ μ). The multiplier γ\gammaγ of the equality ∑sy(s)=0\sum_s y(s)=0∑s​y(s)=0 ranges over R\mathbb RR. The page's "γ≥0\gamma\ge 0γ≥0" in (50) is a misprint: the proof of Lemma 6 writes γ∈R\gamma\in\mathbb Rγ∈R, and the optimal γ=Eq[v−μ]\gamma=\mathbf E^q[v-\mu]γ=Eq[v−μ] may be negative.
  • The relative entropy uses the natural logarithm, as in (35), with 0log⁡0=00\log 0=00log0=0.
  • Lemma 6 is posed only as established in its proof. The printed (57) is false: taking μ=v−min⁡sv(s)\mu=v-\min_s v(s)μ=v−mins​v(s) makes the bracket vanish, so (57) always equals Eq[v]\mathbf E^q[v]Eq[v]. For q=(12,12)q=(\frac12,\frac12)q=(21​,21​), v=(0,1)v=(0,1)v=(0,1) and c=12c=\frac12c=21​ the true minimum is 14\frac1441​. The set (55) is also restricted to p∈M(S)p\in\mathcal M(\mathcal S)p∈M(S), which its proof uses.
  • Ruled out: a formalization of Lemma 5 whose feasible set omits p≥0p\ge 0p≥0 (or that takes μ=0\mu=0μ=0) states the easier relaxed identity above and is not this mission's goal. Likewise a χ² set whose centre may vanish, or a dual written as ⨆ over an unbounded set, would make the statement junk.
  • All complexity claims (Lemmas 5 and 6, the sorting argument, (54)) are excluded. So are the Pinsker step of Section 4.3, whose constant 1/(2ln⁡2)1/(2\ln 2)1/(2ln2) is wrong for the natural logarithm, and the asymptotic confidence statements (33)–(39).
  • Reusable infrastructure: Lagrangian duality for a linear objective over an ellipsoid intersected with a polyhedron, and Cauchy–Schwarz minimization of a linear function over a weighted ellipsoid. Proofs of the milestones, alternative proofs of the goal, and a formalization of the paper's sorting algorithm on top of (52)–(53) are welcome.

Selected references

  • G. Iyengar, Robust dynamic programming, CORC Tech Report TR-2002-07, IEOR Department, Columbia University, revised May 4, 2004; published in Mathematics of Operations Research 30(2):257–280, 2005. https://doi.org/10.1287/moor.1040.0129
  • A. Nilim and L. El Ghaoui, Robust control of Markov decision processes with uncertain transition matrices, Operations Research 53(5):780–798, 2005. https://doi.org/10.1287/opre.1050.0216
  • J. K. Satia and R. E. Lave, Markovian decision processes with uncertain transition probabilities, Operations Research 21(3):728–740, 1973. https://doi.org/10.1287/opre.21.3.728
  • T. M. Cover and J. A. Thomas, Elements of Information Theory, Wiley, 1991. https://doi.org/10.1002/0471200611
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A Multiple-Choice Secretary Algorithm with Applications to Online Auctions: The Recursive k-Choice Secretary Algorithm Earns at Least (1 − 5/√k) Times the Sum of the k Largest ValuesResearch Paper

Motivation

The secretary problem asks how well an online decision maker can do when items arrive one at a time in random order and each must be accepted or rejected on the spot. With a single selection, the classical rule (observe a 1/e1/e1/e fraction, then take the first item better than everything seen) selects the best item with probability about 1/e1/e1/e, and no rule does better. Many allocation problems are not single-choice: a seller with kkk identical goods facing bidders who arrive over time, an advertiser with a budget of kkk impressions, an employer with kkk openings. Each asks the multiple-choice secretary problem: how much of the best achievable total can an online rule collect when kkk selections are allowed?

Kleinberg's 2005 SODA paper answered this for the sum objective. It gave a recursive algorithm whose expected total is at least (1−5/k)(1 - 5/\sqrt k)(1−5/k​) times the sum of the kkk largest values, so the ratio tends to 111 as kkk grows, and stated a matching 1−Ω(1/k)1 - \Omega(\sqrt{1/k})1−Ω(1/k​) upper bound for every algorithm, whose proof the extended abstract omits. The motivating application was online auctions: the algorithm becomes a strategyproof mechanism for selling kkk identical items to bidders who arrive and depart over time, extending the single-item online auction of Hajiaghayi, Kleinberg and Parkes (EC 2004).

Timeline. Dynkin (1963) and the classical literature settle k=1k = 1k=1 with ratio 1/e1/e1/e. Hajiaghayi, Kleinberg and Parkes (2004) turn the single-item rule into an online auction. Kleinberg (2005) proves 1−O(1/k)1 - O(1/\sqrt k)1−O(1/k​) for kkk selections, with the explicit constant 555. Babaioff, Immorlica, Kempe and Kleinberg (2008) survey the resulting family of generalized secretary problems and their use in online auctions.

Setting

Let SSS be a finite set of nnn distinct non-negative real numbers. The elements of SSS are revealed in a uniformly random order: each of the n!n!n! orders has probability 1/n!1/n!1/n!. After each arrival the algorithm decides, irrevocably and using only the values seen so far, whether to select it. At most k≥1k \ge 1k≥1 elements may be selected. Write TTT for the set of the kkk largest elements of SSS (all of SSS if k>nk > nk>n) and

v=∑x∈Txv = \sum_{x \in T} xv=x∈T∑​x

for their sum, the best total any rule could collect knowing SSS in advance.

Kleinberg's algorithm Ak\mathcal A_kAk​ is defined by recursion on kkk:

  1. If k=1k = 1k=1, use the classical rule: observe the first ⌊n/e⌋\lfloor n/e \rfloor⌊n/e⌋ arrivals, then select the first later arrival that exceeds all earlier ones, if there is one.
  2. If k≥2k \ge 2k≥2, draw mmm from the binomial distribution B(n,1/2)B(n, 1/2)B(n,1/2). Apply Aℓ\mathcal A_\ellAℓ​, with ℓ=⌊k/2⌋\ell = \lfloor k/2 \rfloorℓ=⌊k/2⌋, to the first mmm arrivals. Let y1>y2>⋯>ymy_1 > y_2 > \dots > y_my1​>y2​>⋯>ym​ be those mmm values in decreasing order. After the mmm-th arrival, select every arrival exceeding yℓy_\ellyℓ​, until kkk elements have been selected in total or the sequence ends.

The expected value of the algorithm is taken over the random order and over every binomial draw at every level of the recursion.

Formalization targets

Goal: Theorem 2.1

E[∑x selected by Akx]  ≥  (1−5k) vfor every S⊂R≥0 finite and every k≥1.\mathbb E\Big[\sum_{x \text{ selected by } \mathcal A_k} x\Big] \;\ge\; \Big(1 - \frac{5}{\sqrt k}\Big)\, v \qquad \text{for every } S \subset \mathbb R_{\ge 0} \text{ finite and every } k \ge 1.E[x selected by Ak​∑​x]≥(1−k​5​)vfor every S⊂R≥0​ finite and every k≥1.

The statement is uniform in nnn and kkk; it says nothing beyond the explicit constant 555 printed in the paper.

Milestones: the claims of the proof sketch

The paper proves the theorem by induction on kkk. Its sketch introduces YYY, the set of the first mmm arrivals, Z=S∖YZ = S \setminus YZ=S∖Y, the modified value of a set (the sum of its elements lying in TTT), and qqq, the number of elements of ZZZ exceeding yℓy_\ellyℓ​. The milestones are its stated claims, in order:

  1. YYY is uniformly distributed on the 2n2^n2n subsets of SSS.
  2. ∣Y∩T∣|Y \cap T|∣Y∩T∣ has the distribution B(k,1/2)B(k, 1/2)B(k,1/2).
  3. Conditional on ∣Y∩T∣=r|Y \cap T| = r∣Y∩T∣=r, the expected modified value of YYY is (r/k)v(r/k)v(r/k)v.
  4. The displayed bound ∑r=1kPr⁡(∣Y∩T∣=r) min⁡(r,ℓ)k v≥(1−12k)v2\sum_{r=1}^{k}\Pr(|Y\cap T| = r)\,\frac{\min(r,\ell)}{k}\,v \ge \big(1 - \frac{1}{2\sqrt k}\big)\frac v2∑r=1k​Pr(∣Y∩T∣=r)kmin(r,ℓ)​v≥(1−2k​1​)2v​ with ℓ=k/2\ell = k/2ℓ=k/2.
  5. The top ℓ=k/2\ell = k/2ℓ=k/2 elements of YYY have expected modified value at least (1−12k)v2\big(1 - \frac{1}{2\sqrt k}\big)\frac v2(1−2k​1​)2v​.
  6. E ∣q−ℓ∣≤k\mathbb E\,|q - \ell| \le \sqrt kE∣q−ℓ∣≤k​.
  7. The elements the algorithm selects from ZZZ have expected modified value at least (12−1/k)v\big(\frac12 - \sqrt{1/k}\big)v(21​−1/k​)v.
  8. The closing computation (1−5k/2)(1−12k)12+12−1k>1−5k\big(1 - \frac{5}{\sqrt{k/2}}\big)\big(1 - \frac{1}{2\sqrt k}\big)\frac12 + \frac12 - \sqrt{\frac1k} > 1 - \frac{5}{\sqrt k}(1−k/2​5​)(1−2k​1​)21​+21​−k1​​>1−k​5​.

Significance

The result. Theorem 2.1 shows that random arrival order costs only a 1−O(1/k)1 - O(1/\sqrt k)1−O(1/k​) factor when many items are sold, against the constant 1/e1/e1/e for a single item. With the paper's matching upper bound, it pins down the optimal rate for the kkk-choice problem. It is the base of the paper's strategyproof online auction for kkk identical goods and a standard reference point for the later literature on secretary problems with combinatorial constraints and on online allocation in the random-order model.

Formalizing it. The paper is a two-page extended abstract, and the theorem's proof is a sketch: several steps are described as "easy", a stochastic-domination argument is stated without detail, and the behaviour of the algorithm when fewer than ℓ\ellℓ elements have been observed is not specified. A machine-checked proof would supply the complete argument for the explicit constant. The result is proved on paper only in this sketch; no machine-checked proof of it is known.

Difficulty

The obvious argument fixes m=n/2m = n/2m=n/2 and treats the threshold yℓy_\ellyℓ​ as if it split the remaining elements exactly. Both steps fail. With a fixed mmm, the first mmm arrivals are not a uniform subset of SSS and ∣Y∩T∣|Y \cap T|∣Y∩T∣ is hypergeometric, so the clean binomial computations of the sketch are not available; the binomial choice of mmm is what makes YYY uniform. And the number qqq of later elements beyond yℓy_\ellyℓ​ fluctuates by order k\sqrt kk​: the second phase may run out of budget before reaching all of T∩ZT \cap ZT∩Z, or accept elements outside TTT. Controlling this fluctuation, while the cap of kkk also counts the first phase's selections, is the central step. The induction must then combine a recursive guarantee on a random, random-sized prefix with this estimate.

Formalization scope

The Lean development fixes these conventions.

  • SSS is a Finset ℝ with all elements non-negative; distinctness is automatic. The arrival at time ttt (0-based) under the order π∈Perm(Fin n)\pi \in \mathrm{Perm}(\mathrm{Fin}\, n)π∈Perm(Finn) is the π(t)\pi(t)π(t)-th smallest element of SSS, and expectations over the order use the published uniform average SecretaryWD.DiscUpper.uniformAvg.
  • The algorithm is a PMF over sets of selected positions, defined by well-founded recursion on kkk. The base case is the published SecretaryWD.DiscUpper.classicalSecretary. B(n,1/2)B(n, 1/2)B(n,1/2) is Mathlib's PMF.binomial (1/2). At k=0k = 0k=0 the algorithm selects nothing, for totality only; all statements assume k≥1k \ge 1k≥1.
  • When the first phase has seen fewer than ℓ\ellℓ arrivals (m<ℓm < \ellm<ℓ), yℓy_\ellyℓ​ is taken to be −∞-\infty−∞: every later arrival is selected until the cap. The page does not specify this case; under the reading "select nothing", the theorem fails when nnn is much smaller than kkk.
  • The cap of kkk counts the selections of both phases. A cap applied to the second phase alone would let the algorithm select up to k+ℓk + \ellk+ℓ elements and is excluded.
  • The goal mentions only the algorithm, the order, SSS, kkk and vvv. It does not mention YYY, ZZZ, qqq or the modified value, which appear only in milestones, so the goal cannot be discharged by assuming any part of the sketch.
  • Three milestone hypotheses are added and disclosed: k≤nk \le nk≤n for milestones 2, 3, 5 and 6 (for n<kn < kn<k the law of ∣Y∩T∣|Y \cap T|∣Y∩T∣ is B(n,1/2)B(n, 1/2)B(n,1/2), and milestone 6 fails); kkk even for milestone 5 (the sketch writes ℓ=k/2\ell = k/2ℓ=k/2; for odd kkk with ℓ=⌊k/2⌋\ell = \lfloor k/2\rfloorℓ=⌊k/2⌋ the bound fails at k=3k = 3k=3). Milestone 4 uses the real number ℓ=k/2\ell = k/2ℓ=k/2, as printed; with ⌊k/2⌋\lfloor k/2\rfloor⌊k/2⌋ it fails for odd kkk.

A complete development needs: the uniform-subset law of a binomially sized random prefix; conditional expectations over random subsets; tail and absolute-deviation bounds for sums of geometric variables and a stochastic-domination argument; and a careful treatment of the recursion through PMF.bind. The first and third are reusable beyond this mission, for other random-order and sample-based algorithms. Proofs of any milestone, of auxiliary lemmas about the random prefix, and of the goal by a route different from the sketch are all welcome.

Selected references

  • R. Kleinberg, A multiple-choice secretary algorithm with applications to online auctions, Proceedings of the 16th ACM-SIAM Symposium on Discrete Algorithms (SODA), 2005.
  • M. T. Hajiaghayi, R. Kleinberg, D. C. Parkes, Adaptive limited-supply online auctions, Proceedings of the 5th ACM Conference on Electronic Commerce (EC), 2004, pp. 71–80. https://doi.org/10.1145/988772.988784
  • E. B. Dynkin, The optimum choice of the instant for stopping a Markov process, Soviet Mathematics Doklady 4, 1963.
  • T. S. Ferguson, Who solved the secretary problem?, Statistical Science 4(3), 1989. https://doi.org/10.1214/ss/1177012493
  • M. Babaioff, N. Immorlica, D. Kempe, R. Kleinberg, Online auctions and generalized secretary problems, ACM SIGecom Exchanges, 2008. https://doi.org/10.1145/1399589.1399596
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Flows and Decompositions of Games: Harmonic and Potential Games 2: Harmonic Games Generically Have No Pure Nash EquilibriumResearch Paper

Motivation

Finite games in strategic form are the basic model of interaction between self-interested agents in economics, engineering and computer science. Among them, potential games (Monderer and Shapley, 1996) are the class with the most tractable equilibrium behaviour: every finite potential game has a pure Nash equilibrium, and simple learning dynamics such as best response and fictitious play converge to one. A natural question is what lies at the opposite end of the space of games, and how far a general game is from that tractable class.

Candogan, Menache, Ozdaglar and Parrilo (arXiv:1005.2405; Mathematics of Operations Research 36(3), 2011, DOI 10.1287/moor.1110.0500) answer this with a canonical decomposition of every finite game into a potential, a harmonic and a nonstrategic component, obtained by viewing the payoff differences of a game as a flow on a graph and applying the combinatorial Helmholtz decomposition. Harmonic games, those whose potential component vanishes, are the complement of potential games, and the paper shows that their equilibrium behaviour is opposite as well. This mission formalizes the first such result: harmonic games generically have no pure Nash equilibrium, so the guaranteed existence of pure equilibria in potential games has no counterpart on the harmonic side. The decomposition has since been used to study near-potential games and the convergence of learning dynamics in them.

Setting

A finite game has a finite set of players M\mathcal MM with M=∣M∣M = |\mathcal M|M=∣M∣ and, for each player mmm, a nonempty finite strategy set EmE^mEm with hm=∣Em∣h_m = |E^m|hm​=∣Em∣ elements. A strategy profile is p=(pm)m∈E=∏mEmp = (p^m)_m \in E = \prod_m E^mp=(pm)m​∈E=∏m​Em, and (qm,p−m)(q^m, p^{-m})(qm,p−m) denotes ppp with player mmm's strategy replaced by qmq^mqm. The utilities u=(um)mu = (u^m)_mu=(um)m​ assign to each player a function um:E→Ru^m : E \to \mathbb Rum:E→R; for fixed M\mathcal MM and EEE a game is identified with its utilities, an element of C0MC_0^MC0M​, where C0={f:E→R}C_0 = \{f : E \to \mathbb R\}C0​={f:E→R} carries the inner product ⟨φ1,φ2⟩0=∑pφ1(p)φ2(p)\langle \varphi_1,\varphi_2\rangle_0 = \sum_p \varphi_1(p)\varphi_2(p)⟨φ1​,φ2​⟩0​=∑p​φ1​(p)φ2​(p).

A profile ppp is a pure Nash equilibrium if um(pm,p−m)≥um(qm,p−m)u^m(p^m, p^{-m}) \ge u^m(q^m, p^{-m})um(pm,p−m)≥um(qm,p−m) for every player mmm and every qm∈Emq^m \in E^mqm∈Em.

Two profiles are mmm-comparable if they are distinct and differ only in player mmm's strategy. The game graph has the profiles as nodes and joins every comparable pair. An edge flow is a function XXX on ordered pairs of profiles with X(p,q)=−X(q,p)X(p,q) = -X(q,p)X(p,q)=−X(q,p) on edges and X=0X = 0X=0 off edges; the space C1C_1C1​ of edge flows carries ⟨X,Y⟩1=12∑(p,q)∈AX(p,q)Y(p,q)\langle X,Y\rangle_1 = \tfrac12\sum_{(p,q)\in A} X(p,q)Y(p,q)⟨X,Y⟩1​=21​∑(p,q)∈A​X(p,q)Y(p,q). The combinatorial gradient is (δ0φ)(p,q)=W(p,q)(φ(q)−φ(p))(\delta_0\varphi)(p,q) = W(p,q)(\varphi(q)-\varphi(p))(δ0​φ)(p,q)=W(p,q)(φ(q)−φ(p)), with WWW the edge indicator, and δ0∗\delta_0^*δ0∗​ is its adjoint. Restricting to mmm-comparable pairs gives Dm:C0→C1D_m : C_0 \to C_1Dm​:C0​→C1​, and Du=∑mDmumD u = \sum_m D_m u^mDu=∑m​Dm​um is the flow of payoff differences of the game uuu. With Πm=Dm†Dm\Pi_m = D_m^\dagger D_mΠm​=Dm†​Dm​ (Moore–Penrose pseudoinverse) and Π=diag⁡(Π1,…,ΠM)\Pi = \operatorname{diag}(\Pi_1,\dots,\Pi_M)Π=diag(Π1​,…,ΠM​), the paper's Definition 4.2 sets

P={u∣u=Πu, Du∈im⁡δ0},H={u∣u=Πu, Du∈ker⁡δ0∗},N=ker⁡D.\mathcal P = \{u \mid u = \Pi u,\ Du \in \operatorname{im}\delta_0\},\quad \mathcal H = \{u \mid u = \Pi u,\ Du \in \ker\delta_0^*\},\quad \mathcal N = \ker D .P={u∣u=Πu, Du∈imδ0​},H={u∣u=Πu, Du∈kerδ0∗​},N=kerD.

A game is a harmonic game if u∈H⊕Nu \in \mathcal H \oplus \mathcal Nu∈H⊕N: its payoff differences form a flow with no source or sink at any profile.

Formalization targets

Goal: Proposition 5.1

For finite games in which at least two players have at least two strategies each, and for any additive Haar measure μ\muμ on the finite-dimensional space H⊕N\mathcal H \oplus \mathcal NH⊕N,

μ({u∈H⊕N:u has a pure Nash equilibrium})=0.\mu\big(\{u \in \mathcal H\oplus\mathcal N : u \text{ has a pure Nash equilibrium}\}\big) = 0 .μ({u∈H⊕N:u has a pure Nash equilibrium})=0.

This is the paper's "harmonic games generically do not have pure Nash equilibria", with "generically" read as the paper defines it: true except on a set of measure zero within the harmonic games.

Stronger structural form

For each profile ppp, the harmonic games having ppp as a pure Nash equilibrium form a proper linear subspace of H⊕N\mathcal H \oplus \mathcal NH⊕N. The exceptional set of the goal is then a finite union of lower-dimensional subspaces.

Milestones

  1. Lemma 5.1: at a pure Nash equilibrium of a harmonic game, every player is indifferent among all of their strategies.
  2. Proposition 4.1: dim⁡P=∏mhm−1\dim\mathcal P = \prod_m h_m - 1dimP=∏m​hm​−1, dim⁡H=(M−1)∏mhm−∑m∏k≠mhk+1\dim\mathcal H = (M-1)\prod_m h_m - \sum_m\prod_{k\ne m}h_k + 1dimH=(M−1)∏m​hm​−∑m​∏k=m​hk​+1, dim⁡N=∑m∏k≠mhk\dim\mathcal N = \sum_m\prod_{k\ne m}h_kdimN=∑m​∏k=m​hk​.

Significance

The result separates harmonic games sharply from potential games. A finite potential game always has a pure equilibrium; a harmonic game almost never has one. Together with the decomposition theorem, it says that the obstruction to pure equilibria in a general game is carried by its harmonic component, and it motivates the paper's later results on mixed equilibria of harmonic games (the uniformly mixed profile is always a mixed equilibrium). Proposition 4.1, a milestone here, also gives the dimension of the harmonic games, (M−1)∏mhm+1(M-1)\prod_m h_m + 1(M−1)∏m​hm​+1, and so measures how large that class is.

The results are proved in the paper; none of them is machine-checked. Formalizing them requires the paper's operator layer (flows on the game graph, the gradient with its adjoint, pseudoinverses) in Lean for the first time, and pins down two points the paper leaves informal: the measure with respect to which "generically" is meant, and the shape condition on the game under which the statement holds.

Difficulty

Lemma 5.1 is a short counting argument once the divergence-free condition δ0∗Du=0\delta_0^* D u = 0δ0∗​Du=0 is unpacked, but unpacking it requires knowing that DDD kills N\mathcal NN and computing δ0∗\delta_0^*δ0∗​ from the 12\tfrac1221​-weighted inner product. The main obstacle of the goal is showing that the exceptional subspaces are proper. The proof needs a harmonic game with nonzero payoff differences, that is dim⁡H>0\dim\mathcal H > 0dimH>0, and the only route the paper offers is the dimension count of Proposition 4.1. That count rests on the full decomposition C0M=P⊕H⊕NC_0^M = \mathcal P\oplus\mathcal H\oplus\mathcal NC0M​=P⊕H⊕N, on the kernel of each DmD_mDm​ and on the connectivity of the game graph, all of which must be built in Lean. The measure-theoretic last step, that a finite union of proper subspaces is Haar-null, is in Mathlib.

A tempting shortcut fails: placing Lebesgue measure on all of C0MC_0^MC0M​ and observing that H⊕N\mathcal H \oplus \mathcal NH⊕N is a proper subspace would prove the goal without saying anything about equilibria.

Formalization scope

Players form a finite type ι with decidable equality, and the strategy sets E m are nonempty finite types, as in the paper (Em={1,…,hm}E^m = \{1,\dots,h_m\}Em={1,…,hm​}). A game is an element of PiLp 2 (fun _ => EuclideanSpace ℝ (∀ k, E k)), with the unweighted sum inner product of p. 14. C1C_1C1​ is the subspace of edge flows with the inner product 12∑\tfrac12\sum21​∑ of (7). δ0∗\delta_0^*δ0∗​ is Mathlib's adjoint, and the pseudoinverse is defined directly as the inverse of LLL on (ker⁡L)⊥(\ker L)^\perp(kerL)⊥ composed with the orthogonal projection onto im⁡L\operatorname{im} LimL. P,H,N\mathcal P,\mathcal H,\mathcal NP,H,N are defined by (28), not by the alternative description (29). Harmonic games are the submodule H ⊔ N, and pure Nash equilibrium is AGT.IsPureNash from the published agt_games definitions.

Added hypothesis. The paper leaves implicit that at least two distinct players have at least two strategies each. Its proof uses this through "dimension of H\mathcal HH is larger than zero". Without it Proposition 5.1 is false: with two players having 111 and hhh strategies, dim⁡H=(2−1)h−(h+1)+1=0\dim\mathcal H = (2-1)h - (h+1) + 1 = 0dimH=(2−1)h−(h+1)+1=0, every harmonic game is nonstrategic, and every profile is a pure equilibrium of every harmonic game. The goal and the structural theorem therefore carry this hypothesis explicitly.

The measure. The measure is an arbitrary additive Haar measure on the subspace H⊕N\mathcal H\oplus\mathcal NH⊕N itself, with the Borel σ-algebra of its subspace topology. A measure on the ambient C0MC_0^MC0M​ would make the statement trivial, because the whole subspace is null there. Proposition 4.1 is stated as equalities in Z\mathbb ZZ, so that M−1M-1M−1 and the subtraction in part 2 are not truncated.

Needed infrastructure: kernels of the DmD_mDm​ (the paper's Lemma 4.2), the projection property of D†DD^\dagger DD†D, the decomposition theorem, and the connectivity of the game graph. The operator layer is shared with the other missions of this series and is reusable for any work on flows on graphs. Proofs of the milestones, and of the structural form independently of the goal, are welcome.

Selected references

  • O. Candogan, I. Menache, A. Ozdaglar, P. A. Parrilo, Flows and Decompositions of Games: Harmonic and Potential Games, arXiv:1005.2405v2, 2010; Mathematics of Operations Research 36(3):474–503, 2011. https://arxiv.org/abs/1005.2405, https://doi.org/10.1287/moor.1110.0500
  • D. Monderer, L. S. Shapley, Potential Games, Games and Economic Behavior 14(1):124–143, 1996. https://doi.org/10.1006/game.1996.0044
  • X. Jiang, L.-H. Lim, Y. Yao, Y. Ye, Statistical ranking and combinatorial Hodge theory, Mathematical Programming 127(1):203–244, 2011. https://doi.org/10.1007/s10107-010-0419-x
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Robust Branch-and-Cut-and-Price for the Capacitated Vehicle Routing Problem: The Integer Points of P1 ∩ P2 Are Exactly the CVRP Solutions, and the Dantzig–Wolfe Master Describes P1 ∩ P2Research Paper

Motivation

The capacitated vehicle routing problem (CVRP) asks for KKK delivery routes from a depot that serve every client exactly once without exceeding a vehicle capacity, at minimum total length. It was introduced by Dantzig and Ramser in 1959 and is the reference problem of the vehicle routing literature: most exact methods for richer routing models (time windows, heterogeneous fleets, split deliveries) are first developed and benchmarked on it.

Exact CVRP algorithms are driven by the lower bound of a linear relaxation. Two families dominated before 2005. Branch-and-cut works with the edge variables xex_exe​ and the rounded capacity inequalities (Lysgaard, Letchford and Eglese 2004, among others); its bound degrades as the number of vehicles grows. Lagrangean and column-generation methods work with q-routes, walks from the depot of bounded total demand that may revisit clients (Christofides, Mingozzi and Toth 1981). Fukasawa, Longo, Lysgaard, Poggi de Aragão, Reis, Uchoa and Werneck combine the two in one linear program over the intersection of the two polytopes, priced by column generation with every cut written on the edge variables. According to the abstract, the resulting branch-and-cut-and-price solves to optimality all instances from the literature with up to 135 vertices. The design is called robust because cuts are written on the edge variables xxx and therefore never change the structure of the pricing problem.

This mission formalizes the formulation itself (§2 of the paper) and the two exact facts of its column generation (§3.1).

Setting

Let G=(V,E)G=(V,E)G=(V,E) be an undirected graph on V={0,1,…,n}V=\{0,1,\dots,n\}V={0,1,…,n}. Vertex 000 is the depot; V+={1,…,n}V_+=\{1,\dots,n\}V+​={1,…,n} are the clients, client iii having a positive demand did_idi​. Each edge has a length ℓe\ell_eℓe​. There are KKK vehicles of capacity CCC, both positive integers.

A list of clients r=(r1,…,rm)r=(r_1,\dots,r_m)r=(r1​,…,rm​) describes the closed walk 0→r1→⋯→rm→00\to r_1\to\cdots\to r_m\to 00→r1​→⋯→rm​→0. Its edge incidence qe(r)q^e(r)qe(r) is the number of times the walk traverses eee (a one-client walk 0→j→00\to j\to 00→j→0 traverses {0,j}\{0,j\}{0,j} twice); its load is dr1+⋯+drmd_{r_1}+\cdots+d_{r_m}dr1​​+⋯+drm​​, with repetitions.

  • A CVRP route visits pairwise distinct clients with load at most CCC; a CVRP solution is a family R=(R1,…,RK)R=(R_1,\dots,R_K)R=(R1​,…,RK​) of routes visiting every client exactly once. Its edge vector is χ(R)e=∑kqe(Rk)\chi(R)_e=\sum_kq^e(R_k)χ(R)e​=∑k​qe(Rk​).
  • A q-route without 2-cycles is a walk of load at most CCC that may revisit clients but contains no subpath i→j→ii\to j\to ii→j→i with i≠0i\ne 0i=0.

For S⊆VS\subseteq VS⊆V, δ(S)\delta(S)δ(S) is the set of edges with one end in SSS, x(δ(S))=∑e∈δ(S)xex(\delta(S))=\sum_{e\in\delta(S)}x_ex(δ(S))=∑e∈δ(S)​xe​, and k(S)=⌈d(S)/C⌉k(S)=\lceil d(S)/C\rceilk(S)=⌈d(S)/C⌉. The paper's constraints on x∈REx\in\mathbb R^{E}x∈RE and on weights λj≥0\lambda_j\ge 0λj​≥0 of the q-routes jjj are

x(δ({i}))=2  (i∈V+)  (1),x(δ({0}))=2K  (2),x(δ(S))≥2k(S)  (S⊆V+)  (3),xe≤1  (e∈E∖δ({0}))  (4),∑jqjeλj=xe  (e∈E)  (5),∑jλj=K  (6).\begin{aligned} &x(\delta(\{i\}))=2\ \ (i\in V_+)\ \ (1), && x(\delta(\{0\}))=2K\ \ (2), && x(\delta(S))\ge 2k(S)\ \ (S\subseteq V_+)\ \ (3),\\ &x_e\le 1\ \ (e\in E\setminus\delta(\{0\}))\ \ (4), && \textstyle\sum_jq^e_j\lambda_j=x_e\ \ (e\in E)\ \ (5), && \textstyle\sum_j\lambda_j=K\ \ (6). \end{aligned}​x(δ({i}))=2  (i∈V+​)  (1),xe​≤1  (e∈E∖δ({0}))  (4),​​x(δ({0}))=2K  (2),∑j​qje​λj​=xe​  (e∈E)  (5),​​x(δ(S))≥2k(S)  (S⊆V+​)  (3),∑j​λj​=K  (6).​

P1P_1P1​ is {x≥0:(1)–(4)}\{x\ge0:(1)\text{–}(4)\}{x≥0:(1)–(4)}; P2P_2P2​ is the set of x≥0x\ge 0x≥0 satisfying (1) together with some λ≥0\lambda\ge0λ≥0 satisfying (5), (6); the Explicit Master P3P_3P3​ is the projection onto xxx of the system (1)–(6) with one λ\lambdaλ. The Dantzig–Wolfe Master (DWM) is the LP in λ\lambdaλ alone obtained by substituting (5) into (1)–(4), giving the rows (8)–(11), with objective (7) ∑j∑eℓeqjeλj\sum_j\sum_e\ell_eq^e_j\lambda_j∑j​∑e​ℓe​qje​λj​. The bounds are Li=min⁡x∈Piℓ⊤xL_i=\min_{x\in P_i}\ell^\top xLi​=minx∈Pi​​ℓ⊤x.

Formalization targets

Goal: the formulation theorem

For a loop-free graph with positive demands and capacity, and arbitrary lengths:

x∈P3∩ZE  ⟺  x=χ(R) for a CVRP solution R,P3={Qλ:λ DWM-feasible},L1, L2 ≤ L3 ≤ OPT,x\in P_3\cap\mathbb Z^{E}\iff x=\chi(R)\ \text{for a CVRP solution }R, \qquad P_3=\{Q\lambda:\lambda\ \text{DWM-feasible}\}, \qquad L_1,\,L_2\ \le\ L_3\ \le\ \mathrm{OPT},x∈P3​∩ZE⟺x=χ(R) for a CVRP solution R,P3​={Qλ:λ DWM-feasible},L1​,L2​ ≤ L3​ ≤ OPT,

with (7) equal to ℓ⊤Qλ\ell^\top Q\lambdaℓ⊤Qλ. The bounds are stated in lower-bound form: every lower bound of ℓ⊤x\ell^\top xℓ⊤x over P1P_1P1​ or P2P_2P2​ is one over P3P_3P3​, and every lower bound over P3P_3P3​ is at most the cost of every solution.

Milestones

  1. P3=P1∩P2P_3=P_1\cap P_2P3​=P1​∩P2​ (p. 5).
  2. Every CVRP route is a q-route without 2-cycles (p. 2).
  3. Validity of (1)–(4): χ(R)∈P1\chi(R)\in P_1χ(R)∈P1​, with ℓ⊤χ(R)\ell^\top\chi(R)ℓ⊤χ(R) the cost of RRR (p. 4).
  4. Validity of (5)–(6): χ(R)∈P2\chi(R)\in P_2χ(R)∈P2​, with the routes of RRR as columns (p. 4).
  5. Every integer point of P1P_1P1​ is χ(R)\chi(R)χ(R) for a solution RRR (p. 4).
  6. Constraint (6) is implied by (2) and (5) (p. 5).
  7. The DWM (8)–(11) is (1)–(4) on x=Qλx=Q\lambdax=Qλ (p. 5).
  8. A generic cut ∑eaexe≥b\sum_ea_ex_e\ge b∑e​ae​xe​≥b becomes ∑j(∑eaeqje)λj≥b\sum_j(\sum_ea_eq^e_j)\lambda_j\ge b∑j​(∑e​ae​qje​)λj​≥b (p. 5).
  9. Every integer point of P2P_2P2​ is χ(R)\chi(R)χ(R) for a solution RRR (p. 4).
  10. The reduced cost of a column is ∑ecˉeqe\sum_e\bar c_eq^e∑e​cˉe​qe (§3.1, p. 6).
  11. Scaling: a q-route for demands ⌈dv/g⌉\lceil d_v/g\rceil⌈dv​/g⌉ and capacity ⌊C/g⌋\lfloor C/g\rfloor⌊C/g⌋ is a q-route for (d,C)(d,C)(d,C) (§3.1, p. 7).

Significance

The formulation theorem is what makes the algorithm exact: integer points of P3P_3P3​ are solutions, so branching on xxx terminates at an optimum, and P3P_3P3​ is a relaxation, so L3L_3L3​ is a valid bound that dominates both classical bounds. The DWM description is what makes it computable: P3P_3P3​ is optimized by column generation over q-routes, and milestones 8 and 10 show that any cut on xxx can be added without changing the pricing problem, which remains a shortest q-route problem with edge costs cˉe\bar c_ecˉe​.

The paper proves none of these claims formally; most are stated in a sentence, and milestone 9 is stated with "It can be shown" and no proof. To our knowledge none of them has a machine-checked proof. A formal development produces a library of walks, edge incidences, cut values and column families on a general graph that later missions on branch-cut-and-price (subset-row cuts, ng-routes, other routing variants) can import.

Difficulty

Most items are linear-algebra bookkeeping on finite sums, but they require a working theory of walks: edge incidences along a closed walk, the cut value of an incidence vector, and the fact that a walk from the depot crosses every client set an even number of times. The integrality statements (milestones 5 and 9 and goal part 1) are the hard part: an integer vector satisfying degree constraints need not come from routes through the depot, and the statements must exclude every other structure. For P2P_2P2​ there are no capacity cuts at all, so the capacity of the routes must be recovered from the columns, and the paper states this case without proof. The obvious reduction "an integer point of P2P_2P2​ is an integer combination of q-routes" fails: λ\lambdaλ may be fractional even when xxx is integral.

Formalization scope

Vertices are Fin (n+1) with depot 0; edges are Sym2 (Fin (n+1)); the graph is an edge set E assumed loop-free where needed. Edge vectors are functions on all unordered pairs that vanish off E, which encodes x∈R∣E∣x\in\mathbb R^{|E|}x∈R∣E∣. Demands ddd, KKK and CCC are natural numbers; positive demands, K>0K>0K>0 and C>0C>0C>0 (the paper's standing assumptions, p. 1) are carried by the integrality statements and the goal, while ℓ≥0\ell\ge0ℓ≥0 is used by no statement and is omitted. Loads count repeated visits. The cut value x(δ(S))x(\delta(S))x(δ(S)), the demand d(S)d(S)d(S) and k(S)=⌈d(S)/C⌉k(S)=\lceil d(S)/C\rceilk(S)=⌈d(S)/C⌉ are the published definitions LysgaardCVRP.Shrink.cut, .demand and .roundedCapacityBound. The matrix QQQ is replaced by finitely supported weights on client lists ranging over all q-routes without 2-cycles. L1,L2,L3L_1,L_2,L_3L1​,L2​,L3​ and OPT are never real infima, since P3P_3P3​ is empty for infeasible instances.

Three trivializations are ruled out by construction: P3P_3P3​ is defined from the Explicit Master display, not as P1∩P2P_1\cap P_2P1​∩P2​; a CVRP solution is defined by its routes, not as an integer point of a polytope; and the columns are not a fixed finite list, which would turn P2P_2P2​ into a restricted master.

The strictness of "CVRP routes ⊊\subsetneq⊊ q-routes" (p. 2) depends on the instance and is not stated. Contributions of reusable lemmas on walks and cut values of incidence vectors are welcome, as are proofs of any milestone.

Selected references

  • R. Fukasawa, H. Longo, J. Lysgaard, M. Poggi de Aragão, M. Reis, E. Uchoa and R. F. Werneck, Robust branch-and-cut-and-price for the capacitated vehicle routing problem, Mathematical Programming 106 (2006); accepted manuscript. https://doi.org/10.1007/s10107-005-0644-x
  • N. Christofides, A. Mingozzi and P. Toth, Exact algorithms for the vehicle routing problem, based on spanning tree and shortest path relaxations, Mathematical Programming 20 (1981). https://doi.org/10.1007/BF01589353
  • J. Lysgaard, A. N. Letchford and R. W. Eglese, A new branch-and-cut algorithm for the capacitated vehicle routing problem, Mathematical Programming 100 (2004). https://doi.org/10.1007/s10107-003-0481-8
  • G. B. Dantzig and J. H. Ramser, The truck dispatching problem, Management Science 6 (1959). https://doi.org/10.1287/mnsc.6.1.80
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Flows and Decompositions of Games: Harmonic and Potential Games 1: Every Finite Game Decomposes Uniquely into Potential, Harmonic and Nonstrategic ComponentsResearch Paper

Motivation

Potential games (Monderer and Shapley, 1996) are the finite games whose incentives are captured by a single function on strategy profiles: every unilateral change of strategy changes the deviator's payoff by exactly the change of a common potential. They have pure Nash equilibria, and natural learning dynamics such as better-reply and fictitious play converge in them. Most games are not potential games, however, and before Candogan, Menache, Ozdaglar and Parrilo there was no canonical way to say how far a given game is from one, or what the remainder looks like.

Their paper (arXiv:1005.2405; Math. Oper. Res. 36(3), 2011) answers this by viewing a game as a flow on a graph. The payoff differences between profiles that differ in one player's strategy form an edge flow on the game graph, and the classical Helmholtz (Hodge) decomposition of edge flows into gradient, harmonic and curl parts (Jiang, Lim, Yao, Ye, 2011) pulls back to a decomposition of the game itself. Every finite game becomes the sum of a potential game, a harmonic game and a component that carries no strategic information. The decomposition is the basis for the rest of the paper (equilibria of harmonic games, projections onto potential games, approximate equilibria) and for later work on dynamics in near-potential games.

Setting

Fix a finite set of players M\mathcal MM and, for each player mmm, a finite nonempty strategy set EmE^mEm with hm=∣Em∣h_m = |E^m|hm​=∣Em∣ elements. A strategy profile is p=(pm)m∈E=∏mEmp = (p^m)_m \in E = \prod_m E^mp=(pm)m​∈E=∏m​Em, and p−mp^{-m}p−m denotes the strategies of the players other than mmm. A game is a family of utilities u=(um)mu = (u^m)_mu=(um)m​ with um:E→Ru^m : E \to \mathbb Rum:E→R, so the space of games is GM,E≅C0M\mathcal G_{\mathcal M,E} \cong C_0^{\mathcal M}GM,E​≅C0M​, where C0={E→R}C_0 = \{E \to \mathbb R\}C0​={E→R} with ⟨φ,ψ⟩0=∑pφ(p)ψ(p)\langle \varphi,\psi\rangle_0 = \sum_p \varphi(p)\psi(p)⟨φ,ψ⟩0​=∑p​φ(p)ψ(p).

Two profiles are mmm-comparable if they are distinct and differ only in player mmm's strategy. The game graph has the profiles as nodes and an edge between comparable profiles. An edge flow is a function X:E×E→RX : E\times E\to\mathbb RX:E×E→R that is antisymmetric on edges and zero off edges; the space C1C_1C1​ of edge flows carries ⟨X,Y⟩1=12∑(p,q) edgeX(p,q)Y(p,q)\langle X,Y\rangle_1 = \tfrac12\sum_{(p,q)\text{ edge}} X(p,q)Y(p,q)⟨X,Y⟩1​=21​∑(p,q) edge​X(p,q)Y(p,q). Triangular flows C2C_2C2​ live on ordered 3-cliques.

The operators are: the gradient (δ0φ)(p,q)=W(p,q)(φ(q)−φ(p))(\delta_0\varphi)(p,q) = W(p,q)(\varphi(q)-\varphi(p))(δ0​φ)(p,q)=W(p,q)(φ(q)−φ(p)), with WWW the edge indicator; the curl (δ1X)(p,q,r)=X(p,q)+X(q,r)+X(r,p)(\delta_1X)(p,q,r) = X(p,q)+X(q,r)+X(r,p)(δ1​X)(p,q,r)=X(p,q)+X(q,r)+X(r,p) on 3-cliques; the per-player gradient (Dmφ)(p,q)=Wm(p,q)(φ(q)−φ(p))(D_m\varphi)(p,q) = W^m(p,q)(\varphi(q)-\varphi(p))(Dm​φ)(p,q)=Wm(p,q)(φ(q)−φ(p)), with WmW^mWm the indicator of mmm-comparability; and D:C0M→C1D : C_0^{\mathcal M}\to C_1D:C0M​→C1​, Du=∑mDmumDu = \sum_m D_m u^mDu=∑m​Dm​um, the flow of pairwise comparisons of uuu. Adjoints are written ∗{}^*∗ and Moore–Penrose pseudoinverses †{}^\dagger†. The space C0MC_0^{\mathcal M}C0M​ carries the unweighted inner product ∑m⟨um,vm⟩0\sum_m\langle u^m,v^m\rangle_0∑m​⟨um,vm⟩0​. Further, Δ1=δ1∗δ1+δ0δ0∗\Delta_1 = \delta_1^*\delta_1+\delta_0\delta_0^*Δ1​=δ1∗​δ1​+δ0​δ0∗​, Δ0,m=Dm∗Dm\Delta_{0,m} = D_m^*D_mΔ0,m​=Dm∗​Dm​, Πm=Dm†Dm\Pi_m = D_m^\dagger D_mΠm​=Dm†​Dm​, and Π=diag⁡(Π1,…,ΠM)\Pi = \operatorname{diag}(\Pi_1,\dots,\Pi_M)Π=diag(Π1​,…,ΠM​).

A game is normalized if ∑pmum(pm,p−m)=0\sum_{p^m} u^m(p^m,p^{-m}) = 0∑pm​um(pm,p−m)=0 for all p−mp^{-m}p−m and mmm (Definition 4.1). The potential, harmonic and nonstrategic subspaces are (Definition 4.2)

P={u∣u=Πu, Du∈im⁡δ0},H={u∣u=Πu, Du∈ker⁡δ0∗},N=ker⁡D.\mathcal P = \{u \mid u = \Pi u,\ Du\in\operatorname{im}\delta_0\},\qquad \mathcal H = \{u \mid u = \Pi u,\ Du\in\ker\delta_0^*\},\qquad \mathcal N = \ker D .P={u∣u=Πu, Du∈imδ0​},H={u∣u=Πu, Du∈kerδ0∗​},N=kerD.

Formalization targets

Goal: Theorem 4.1

GM,E=P⊕H⊕N,\mathcal G_{\mathcal M,E} = \mathcal P\oplus\mathcal H\oplus\mathcal N,GM,E​=P⊕H⊕N,

and every game uuu splits as u=uP+uH+uNu = u_P + u_H + u_Nu=uP​+uH​+uN​ with

uP=D†δ0δ0†Du∈P,uH=D†(I−δ0δ0†)Du∈H,uN=(I−D†D)u∈N,u_P = D^\dagger\delta_0\delta_0^\dagger Du\in\mathcal P,\quad u_H = D^\dagger(I-\delta_0\delta_0^\dagger)Du\in\mathcal H,\quad u_N = (I-D^\dagger D)u\in\mathcal N,uP​=D†δ0​δ0†​Du∈P,uH​=D†(I−δ0​δ0†​)Du∈H,uN​=(I−D†D)u∈N,

where φ=δ0†Du\varphi = \delta_0^\dagger Duφ=δ0†​Du is a potential function of uPu_PuP​, i.e. DuP=δ0φDu_P = \delta_0\varphiDuP​=δ0​φ.

Milestones

  1. Theorem 3.1 (Helmholtz decomposition), on an arbitrary finite graph: C1=im⁡δ0⊕ker⁡Δ1⊕im⁡δ1∗C_1 = \operatorname{im}\delta_0\oplus\ker\Delta_1\oplus\operatorname{im}\delta_1^*C1​=imδ0​⊕kerΔ1​⊕imδ1∗​, orthogonally, with ker⁡Δ1=ker⁡δ1∩ker⁡δ0∗\ker\Delta_1 = \ker\delta_1\cap\ker\delta_0^*kerΔ1​=kerδ1​∩kerδ0∗​.
  2. Lemma 4.1: Δ0,m=hmΠm\Delta_{0,m} = h_m\Pi_mΔ0,m​=hm​Πm​.
  3. Lemma 4.2: ker⁡Dm=ker⁡Πm=ker⁡Δ0,m\ker D_m = \ker\Pi_m = \ker\Delta_{0,m}kerDm​=kerΠm​=kerΔ0,m​, with an explicit basis indexed by E−mE^{-m}E−m.
  4. Lemma 4.4 (i)–(v): Dm†=1hmDm∗D_m^\dagger = \tfrac1{h_m}D_m^*Dm†​=hm​1​Dm∗​; (∑iDi)†Dj=(∑iDi∗Di)†Dj∗Dj(\sum_iD_i)^\dagger D_j = (\sum_iD_i^*D_i)^\dagger D_j^*D_j(∑i​Di​)†Dj​=(∑i​Di∗​Di​)†Dj∗​Dj​; D†=[D1†;… ;DM†]D^\dagger = [D_1^\dagger;\dots;D_M^\dagger]D†=[D1†​;…;DM†​]; Π=D†D\Pi = D^\dagger DΠ=D†D; DD†δ0=δ0DD^\dagger\delta_0 = \delta_0DD†δ0​=δ0​.
  5. Lemma 4.5: uuu normalized   ⟺  \iff⟺ Πmum=um\Pi_mu^m = u^mΠm​um=um for all mmm   ⟺  \iff⟺ Πu=u\Pi u = uΠu=u   ⟺  \iff⟺ u∈(ker⁡D)⊥u\in(\ker D)^\perpu∈(kerD)⊥.

Lemma 4.6 (the unique normalized game with the same pairwise comparisons is Πu\Pi uΠu) is included as a supporting theorem.

Significance

The decomposition turns questions about a game into questions about its three components. The potential component inherits the equilibrium and convergence theory of potential games. The harmonic component has a sharply different structure: harmonic games generically have no pure equilibrium, and in each of them the uniformly mixed profile is a mixed equilibrium. The nonstrategic component does not affect any equilibrium notion. The closed-form expressions also give the potential game closest to a given game, and with it bounds relating the approximate equilibria of the two games. The other missions of this series formalize those consequences; all of them rest on the operator layer and the subspaces defined here.

Theorem 4.1 is proved in the paper; to our knowledge it has not been machine-checked. A formal development produces graph-flow infrastructure that Mathlib does not yet have: edge and triangular flows with their inner products, the combinatorial gradient and curl, the Helmholtz decomposition of a finite graph, and an operator Moore–Penrose pseudoinverse on finite-dimensional inner product spaces. The paper leaves Theorem 3.1 to the literature, so a full development needs a proof of it. The pseudoinverse identities of Lemma 4.4 also have a short appendix argument in the paper that a formal proof has to make complete.

Difficulty

The decomposition is not orthogonal decomposition along a single map. The subspaces P\mathcal PP and H\mathcal HH are defined through Π\PiΠ, which is assembled player by player from the DmD_mDm​, while the flow conditions involve δ0\delta_0δ0​ and the combined operator DDD. Connecting the two requires the player operators to have mutually orthogonal ranges (Dk∗Dm=0D_k^*D_m = 0Dk∗​Dm​=0 for k≠mk\ne mk=m) and the explicit form of Dm∗DmD_m^*D_mDm∗​Dm​ as a scaled projection. Without these, Π=D†D\Pi = D^\dagger DΠ=D†D (Lemma 4.4 (iv)) and DD†δ0=δ0DD^\dagger\delta_0 = \delta_0DD†δ0​=δ0​ (Lemma 4.4 (v)) are not available, and they are what make the formulas for uPu_PuP​ and uHu_HuH​ land in P\mathcal PP and H\mathcal HH. A direct attempt to apply the Helmholtz decomposition to DuDuDu produces a flow decomposition, not a game decomposition; the pullback through DDD is not formal, because DDD is neither injective nor surjective.

Formalization scope

Players form a Fintype ι; strategy sets are E : ι → Type with Fintype, DecidableEq and Nonempty instances, and hmh_mhm​ is Fintype.card (E m). Profiles are ∀ m, E m, and (qm,p−m)(q^m,p^{-m})(qm,p−m) is Function.update p m q. The game graph is a Mathlib SimpleGraph; comparability requires p≠qp\ne qp=q, so the graph has no loops, as the Laplacian (15) requires. C0C_0C0​ is EuclideanSpace ℝ on profiles. C1C_1C1​ and C2C_2C2​ are type synonyms of the subspaces of antisymmetric (resp. alternating) functions, with inner products built from (7), including the factor 12\tfrac1221​ on C1C_1C1​. Lemma 4.4 (i) fails without it. The space of games is PiLp 2 of copies of C0C_0C0​, whose inner product is the unweighted sum used on p. 14, not the weighted inner product of the paper's Section 6. Adjoints are LinearMap.adjoint. The pseudoinverse is defined explicitly as the inverse of LLL on (ker⁡L)⊥(\ker L)^\perp(kerL)⊥ composed with the orthogonal projection onto im⁡L\operatorname{im}LimL.

P\mathcal PP, H\mathcal HH and N\mathcal NN are defined by (28), not as the ranges of the component maps; the direct-sum part of the goal is stated independently of the formulas, so the goal cannot be satisfied by construction. Lemma 4.4 is split into five items, one per identity. "Orthogonal decomposition" in Theorem 3.1 is stated as pairwise orthogonality plus spanning. The paper's statements have no hypotheses beyond the setting, and none were added except nonemptiness of the strategy sets, which the paper assumes by writing Em={1,…,hm}E^m = \{1,\dots,h_m\}Em={1,…,hm​}.

Welcome contributions: a proof of the Helmholtz decomposition on a finite simple graph, general facts about the pseudoinverse (Penrose identities, L†LL^\dagger LL†L is the projection onto (ker⁡L)⊥(\ker L)^\perp(kerL)⊥, invariance under rescaling of inner products), and the explicit adjoint formulas (12) and (22).

Selected references

  • O. Candogan, I. Menache, A. Ozdaglar, P. A. Parrilo, Flows and Decompositions of Games: Harmonic and Potential Games, arXiv:1005.2405v2, 2010; Mathematics of Operations Research 36(3):474–503, 2011. https://arxiv.org/abs/1005.2405, https://doi.org/10.1287/moor.1110.0500
  • D. Monderer, L. S. Shapley, Potential Games, Games and Economic Behavior 14(1):124–143, 1996. https://doi.org/10.1006/game.1996.0044
  • X. Jiang, L.-H. Lim, Y. Yao, Y. Ye, Statistical Ranking and Combinatorial Hodge Theory, Mathematical Programming 127:203–244, 2011. https://arxiv.org/abs/0811.1067
  • R. Penrose, A generalized inverse for matrices, Mathematical Proceedings of the Cambridge Philosophical Society 51(3):406–413, 1955. https://doi.org/10.1017/S0305004100030401
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Operations ResearchOptimizationProbability·Captain: mikedeng1

Mitigating Supply Risk: Dual Sourcing or Process Improvement? 3: Late Commitment Strictly Beats Early Commitment When the Costlier Supplier's Improved Gain Exceeds mz/(θ(1−θ))Research Paper

Motivation

Firms that buy from unreliable suppliers can protect themselves in two ways: they can spread orders across several suppliers, or they can invest in improving a supplier's reliability, for example through supplier-development programmes or joint process-improvement projects. Wang, Gilland and Tomlin (MSOM 12(3):489–510, 2010) compare the two strategies in a newsvendor model with random supplier capacity.

This mission formalizes one part of that comparison: single sourcing with improvement, in which improvement efforts may fail. The firm must then decide when to choose its supplier. Under early commitment it picks one supplier, invests in it, and buys from it whatever the outcome. Under late commitment it invests in both suppliers, observes which efforts succeeded, and only then buys from the better one. Empirical work on supplier development documents both practices and the reluctance of suppliers whose improvement efforts previously failed (Handfield et al. 2000, as cited by Wang et al. 2010, p. 496; Krause et al. 2007). The question is how much the option to postpone the choice is worth.

Setting

A firm sells a single product over one season. It earns a unit revenue r≥0r\ge 0r≥0, salvages leftovers at vvv, and pays a penalty p≥0p\ge 0p≥0 per unit of unmet demand, with v<r+pv<r+pv<r+p. Demand XXX is nonnegative with finite mean.

Supplier i∈{1,2}i\in\{1,2\}i∈{1,2} has design capacity Ki>0K_i>0Ki​>0, unit cost ci≥0c_i\ge 0ci​≥0 and committed-cost fraction ηi∈[0,1]\eta_i\in[0,1]ηi​∈[0,1]. Its capacity loss ξi≥0\xi_i\ge 0ξi​≥0 has a continuous distribution Gi(⋅,ai)G_i(\cdot,a_i)Gi​(⋅,ai​) that depends on a reliability index aia_iai​; a higher index means a stochastically smaller loss. An order qi≥0q_i\ge 0qi​≥0 delivers yi=min⁡{qi,(Ki−ξi)+}y_i=\min\{q_i,(K_i-\xi_i)^+\}yi​=min{qi​,(Ki​−ξi​)+}. The firm pays (ηiqi+(1−ηi)yi)ci(\eta_iq_i+(1-\eta_i)y_i)c_i(ηi​qi​+(1−ηi​)yi​)ci​, and the realized profit of single sourcing from iii is

π(qi)=−(ηiqi+(1−ηi)yi)ci+rmin⁡{x,yi}+v(yi−x)+−p(x−yi)+.\pi(q_i)=-(\eta_iq_i+(1-\eta_i)y_i)c_i+r\min\{x,y_i\}+v(y_i-x)^+-p(x-y_i)^+ .π(qi​)=−(ηi​qi​+(1−ηi​)yi​)ci​+rmin{x,yi​}+v(yi​−x)+−p(x−yi​)+.

The second-stage expected profit is Π2(qi;ai)=E[π(qi)]\Pi_2(q_i;a_i)=\mathsf E[\pi(q_i)]Π2​(qi​;ai​)=E[π(qi​)], and Pi(ai)=Π2∗(ai)=sup⁡qi≥0Π2(qi;ai)P_i(a_i)=\Pi_2^*(a_i)=\sup_{q_i\ge 0}\Pi_2(q_i;a_i)Pi​(ai​)=Π2∗​(ai​)=supqi​≥0​Π2​(qi​;ai​) is its optimal value.

Improvement. Supplier iii starts at index ai0a_i^0ai0​. Effort to reach index ai≥ai0a_i\ge a_i^0ai​≥ai0​ costs mizi(ai)m_iz_i(a_i)mi​zi​(ai​), where ziz_izi​ is convex and increasing with zi(ai0)=0z_i(a_i^0)=0zi​(ai0​)=0. The effort succeeds with probability θi\theta_iθi​; on failure the index stays at ai0a_i^0ai0​.

  • Early commitment to supplier iii yields
Π1iE(ai)=−mizi(ai)+θiPi(ai)+(1−θi)Pi(ai0),\Pi_{1i}^E(a_i)=-m_iz_i(a_i)+\theta_iP_i(a_i)+(1-\theta_i)P_i(a_i^0),Π1iE​(ai​)=−mi​zi​(ai​)+θi​Pi​(ai​)+(1−θi​)Pi​(ai0​),

and Π1∗E=max⁡isup⁡ai≥ai0Π1iE(ai)\Pi_1^{*E}=\max_i\sup_{a_i\ge a_i^0}\Pi_{1i}^E(a_i)Π1∗E​=maxi​supai​≥ai0​​Π1iE​(ai​).

  • Late commitment yields Π1L(a1,a2)\Pi_1^L(a_1,a_2)Π1L​(a1​,a2​): the improvement costs, plus, for each of the four success/failure outcomes, its probability times max⁡{P1(⋅),P2(⋅)}\max\{P_1(\cdot),P_2(\cdot)\}max{P1​(⋅),P2​(⋅)} at the realized indices (Eq. (9)). Π1∗L\Pi_1^{*L}Π1∗L​ is its supremum over a1≥a10a_1\ge a_1^0a1​≥a10​, a2≥a20a_2\ge a_2^0a2​≥a20​.

Formalization targets

Goal: Theorem 5

Let the suppliers be identical except for their unit costs, c1≤c2c_1\le c_2c1​≤c2​, with common θ∈(0,1)\theta\in(0,1)θ∈(0,1), mmm, zzz and a0a^0a0, and let a2∗Ea_2^{*E}a2∗E​ be an optimal early-commitment index of supplier 2. Then

[P2(a2∗E)−P1(a10)]+>m z(a2∗E)θ(1−θ)⟹Π1∗L>Π1∗E.\bigl[P_2(a_2^{*E})-P_1(a_1^0)\bigr]^+>\frac{m\,z(a_2^{*E})}{\theta(1-\theta)}\quad\Longrightarrow\quad\Pi_1^{*L}>\Pi_1^{*E}.[P2​(a2∗E​)−P1​(a10​)]+>θ(1−θ)mz(a2∗E​)​⟹Π1∗L​>Π1∗E​.

Milestones, in the paper's order

  1. Lemma 2(b), single-supplier instance: PiP_iPi​ is increasing in the index.
  2. Theorem 4(a), cost-only instance: if the suppliers differ only in unit cost, the cheaper one is preferred with and without improvement, so i∗=j∗i^*=j^*i∗=j∗.
  3. §4.2.2: late commitment weakly dominates early commitment, Π1∗E≤Π1∗L\Pi_1^{*E}\le\Pi_1^{*L}Π1∗E​≤Π1∗L​.
  4. Lemma 4: ai∗L≤ai∗Ea_i^{*L}\le a_i^{*E}ai∗L​≤ai∗E​, in the form valid for non-unique optimizers.
  5. §4.2.2: Π1∗L=Π1∗E\Pi_1^{*L}=\Pi_1^{*E}Π1∗L​=Π1∗E​ if Pi(ai∗E)<Pj(aj0)P_i(a_i^{*E})<P_j(a_j^0)Pi​(ai∗E​)<Pj​(aj0​) for some iii.
  6. Corollary 3(a): strict superiority of late commitment at c1=c^1c_1=\hat c_1c1​=c^1​ persists for every c1∈[c^1,c2]c_1\in[\hat c_1,c_2]c1​∈[c^1​,c2​].

Significance

The results identify when the flexibility of postponing supplier selection has value. Late commitment never hurts. It has no value when one supplier dominates the other, even after the other's improvement. For suppliers that differ only in cost, Theorem 5 gives a checkable sufficient condition for strict value. The condition weighs the gain from switching in the outcome "the costlier supplier improves, the cheaper one does not", which has probability θ(1−θ)\theta(1-\theta)θ(1−θ), against the cost of improving the costlier supplier. Together with Lemma 4 the results say that keeping the choice open lowers the reliability target but can raise expected profit. Corollary 3(a) says this value is easiest to obtain when costs are close.

The paper's proofs are in an online appendix that is not used here, and none of these statements has a machine-checked proof. The mission produces formal versions of the statements, with the hypotheses that the printed versions leave implicit made explicit (see Formalization scope), and invites proofs of them.

Difficulty

The late-commitment profit (9) is a probability-weighted sum of maxima of two optimal-value functions. It is "neither concave nor unimodal" (p. 498), so first-order conditions do not characterize its optimum, and optimizers need not be unique.

  • Order of the arguments. The comparison results rest on the monotonicity of PiP_iPi​ (Lemma 2(b)). That is a statement about a supremum of expectations under a stochastically ordered family of capacity-loss laws, and must be established before the first-stage results can use it.
  • Theorem 5 and Corollary 3(a) compare two suprema, neither of which is assumed to be attained. Strictness has to survive passing to the supremum.
  • Corollary 3(a) is a comparative-statics statement in c1c_1c1​. Both Π1∗L\Pi_1^{*L}Π1∗L​ and Π1∗E\Pi_1^{*E}Π1∗E​ decrease as c1c_1c1​ grows, so nothing pointwise orders their difference.

Formalization scope

Everything is in the namespace MitigateSupplyRisk.LateCommit, with one definition module Model.

  • Model. The demand law is a probability measure μ\muμ on R\mathbb RR with μ(−∞,0)=0\mu(-\infty,0)=0μ(−∞,0)=0 and finite mean; no density is assumed. Capacity losses are a family a↦νaa\mapsto\nu_aa↦νa​ of atomless probability measures on [0,∞)[0,\infty)[0,∞), ordered by νa(−∞,t]≤νa′(−∞,t]\nu_a(-\infty,t]\le\nu_{a'}(-\infty,t]νa​(−∞,t]≤νa′​(−∞,t] for a≤a′a\le a'a≤a′. Loss and demand are independent (a product measure).
  • Optimal values. Π2\Pi_2Π2​ is the Bochner integral of the realized profit (1). Every optimal value is a sSup over the feasible set. The sign conventions r,p,ci≥0r,p,c_i\ge 0r,p,ci​≥0, v<r+pv<r+pv<r+p make these sets bounded above, so no supremum is a junk value, and no optimum is assumed to be attained.
  • Effort. The effort function zzz is taken as the primitive on [a0,∞)[a^0,\infty)[a0,∞), which presumes that every index is reachable.
  • Identical suppliers. "Identical except for unit costs" means that the two suppliers share the same Supplier record (committed cost, capacity, loss family) and the same Improvement record (a0,θ,m,za^0,\theta,m,za0,θ,m,z).
  • Notation in (9). The paper writes Π2∗\Pi_2^*Π2∗​ for both suppliers in (9); the Lean writes P1P_1P1​ and P2P_2P2​.
  • Added or reread hypotheses:
    • Theorem 5 assumes 0<θ<10<\theta<10<θ<1. The printed condition divides by θ(1−θ)\theta(1-\theta)θ(1−θ), and Lean's x/0=0x/0=0x/0=0 would otherwise turn it into [⋅]+>0[\cdot]^+>0[⋅]+>0, under which the conclusion is false at θ=1\theta=1θ=1.
    • Lemma 4 is stated for arbitrary maximizers: max⁡{aiL,aiE}\max\{a_i^L,a_i^E\}max{aiL​,aiE​} is again an early maximizer. This reduces to the printed inequality when the early optimizer is unique.
    • Lemma 2(b) and Theorem 4(a) are the single-supplier and cost-only instances of the paper's statements.
    • Optimizers ai∗Ea_i^{*E}ai∗E​ appear as hypotheses (IsMaxOn), never as claims.
  • Not trivially true. A statement in which Π1∗L\Pi_1^{*L}Π1∗L​ or Π1∗E\Pi_1^{*E}Π1∗E​ is a junk supremum, or in which Theorem 5's condition degenerates at θ∈{0,1}\theta\in\{0,1\}θ∈{0,1}, would be trivially true or false; the bounded feasible sets and the hypothesis 0<θ<10<\theta<10<θ<1 exclude both.
  • Not formalized: Theorem 4 for other attributes and Theorem 4(b), Lemma 3, and Corollary 3(b), whose printed form needs hypotheses the page does not pin.

Proofs of the milestones are welcome. A reusable lemma, that the supremum of expectations is monotone under first-order stochastic dominance of the loss, would serve the other missions of this series too.

Selected references

  • Y. Wang, W. Gilland, B. Tomlin, Mitigating Supply Risk: Dual Sourcing or Process Improvement?, Manufacturing & Service Operations Management 12(3):489–510, 2010. https://doi.org/10.1287/msom.1090.0279
  • R. B. Handfield, D. R. Krause, T. V. Scannell, R. M. Monczka, Avoid the pitfalls in supplier development, Sloan Management Review, 2000, pp. 37–49 (cited from the reference list of Wang et al. 2010, https://doi.org/10.1287/msom.1090.0279).
  • D. R. Krause, R. B. Handfield, B. B. Tyler, The relationships between supplier development, commitment, social capital accumulation and performance improvement, Journal of Operations Management 25(2):528–545, 2007. https://doi.org/10.1016/j.jom.2006.05.007
  • B. Tomlin, On the value of mitigation and contingency strategies for managing supply chain disruption risks, Management Science 52(5):639–657, 2006. https://doi.org/10.1287/mnsc.1060.0515
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Convex OptimizationOperations ResearchOptimization+1·Captain: mikedeng1

Distributionally Robust Optimization and Its Tractable Approximations 3: The Infimal Convolution of π¹, π², π³ Bounds the Worst Case over the Intersected Families and Improves on EachResearch Paper

Motivation

Two-stage and multistage stochastic programs ask for decisions that react to uncertainty revealed over time. When the distribution of the uncertainty is known only partially, one optimizes against the worst distribution in a family F\mathbb FF consistent with what is known: a support set, a range for the mean, a covariance matrix, bounds on how fast the tails decay. Goh and Sim (Oper. Res. 58(4), 2010) show that once linear and deflected linear decision rules are imposed, the recourse costs of such models reduce to worst-case expectations of positive parts,

sup⁡P∈FEP((r0+r′ζ~)+),\sup_{\mathbb P\in\mathbb F}E_{\mathbb P}\big((r^0+r'\tilde\zeta)^+\big),P∈Fsup​EP​((r0+r′ζ~​)+),

of affine functions of a random vector ζ~\tilde\zetaζ~​. These quantities are generally intractable, so the paper bounds them by optimization problems that are. Each kind of partial information gives its own bound, and in practice a modeller usually has several kinds at once. Theorem 4 of the paper, the target here, combines the separate bounds into a single one that uses all of the information.

Timeline: Scarf (1958) gave, for a newsvendor problem, the worst-case expected positive part of a scalar with known mean and variance. Chen, Sim and Sun (Oper. Res. 55(6), 2007) introduced the forward and backward deviations used here to describe tails of independent components. Chen and Sim (Oper. Res. 57(2), 2009) introduced the combination of bounds by infimal convolution that Theorem 4 restates in the present setting. Goh and Sim (2010) assemble the three kinds of information into one model and use the combined bound for their bideflected linear decision rules.

Setting

A distribution P\mathbb PP is a probability measure on RNE\mathbb R^{N_E}RNE​, the law of the uncertain vector ζ~\tilde\zetaζ~​; its mean is ζ^=EP(ζ~)\hat\zeta=E_{\mathbb P}(\tilde\zeta)ζ^​=EP​(ζ~​). Fix data: sets V,V^⊆RNE\mathcal V,\hat{\mathcal V}\subseteq\mathbb R^{N_E}V,V^⊆RNE​, matrices F∈RN×NEF\in\mathbb R^{N\times N_E}F∈RN×NE​, Σ∈RN×N\Sigma\in\mathbb R^{N\times N}Σ∈RN×N, Fσ∈RNσ×NEF_\sigma\in\mathbb R^{N_\sigma\times N_E}Fσ​∈RNσ​×NE​, a vector gσ∈RNσg_\sigma\in\mathbb R^{N_\sigma}gσ​∈RNσ​, a set W^σ⊆RNσ\hat{\mathcal W}_\sigma\subseteq\mathbb R^{N_\sigma}W^σ​⊆RNσ​ and vectors σf,σb≥0\sigma_f,\sigma_b\ge0σf​,σb​≥0 in RNσ\mathbb R^{N_\sigma}RNσ​. Three families encode three kinds of information:

  1. Mean and support: F1={P:ζ^∈V^, P(ζ~∈V)=1}\mathbb F_1=\{\mathbb P:\hat\zeta\in\hat{\mathcal V},\ \mathbb P(\tilde\zeta\in\mathcal V)=1\}F1​={P:ζ^​∈V^, P(ζ~​∈V)=1}.
  2. Mean and covariance: F2={P:ζ^∈V^, EP(F(ζ~−ζ^)(ζ~−ζ^)′F′)=Σ}\mathbb F_2=\{\mathbb P:\hat\zeta\in\hat{\mathcal V},\ E_{\mathbb P}(F(\tilde\zeta-\hat\zeta)(\tilde\zeta-\hat\zeta)'F')=\Sigma\}F2​={P:ζ^​∈V^, EP​(F(ζ~​−ζ^​)(ζ~​−ζ^​)′F′)=Σ}.
  3. Mean and directional deviations: F3\mathbb F_3F3​ is the set of P\mathbb PP with ζ^∈V^\hat\zeta\in\hat{\mathcal V}ζ^​∈V^ such that z~σ=Fσζ~+gσ\tilde z_\sigma=F_\sigma\tilde\zeta+g_\sigmaz~σ​=Fσ​ζ~​+gσ​ has independent components whose forward and backward deviations
σfP(z~σ,j)=sup⁡θ>02θ2ln⁡EPeθ(z~σ,j−z^σ,j),σbP(z~σ,j)=sup⁡θ>02θ2ln⁡EPe−θ(z~σ,j−z^σ,j)\sigma_{f\mathbb P}(\tilde z_{\sigma,j})=\sup_{\theta>0}\sqrt{\tfrac{2}{\theta^2}\ln E_{\mathbb P}e^{\theta(\tilde z_{\sigma,j}-\hat z_{\sigma,j})}},\qquad \sigma_{b\mathbb P}(\tilde z_{\sigma,j})=\sup_{\theta>0}\sqrt{\tfrac{2}{\theta^2}\ln E_{\mathbb P}e^{-\theta(\tilde z_{\sigma,j}-\hat z_{\sigma,j})}}σfP​(z~σ,j​)=θ>0sup​θ22​lnEP​eθ(z~σ,j​−z^σ,j​)​,σbP​(z~σ,j​)=θ>0sup​θ22​lnEP​e−θ(z~σ,j​−z^σ,j​)​

are at most σf,j\sigma_{f,j}σf,j​ and σb,j\sigma_{b,j}σb,j​.

The bounds are the optimal values π1,π2,π3\pi^1,\pi^2,\pi^3π1,π2,π3 of (21), (22) and (24) of the paper. For instance

π1(r0,r)=inf⁡s(sup⁡ζ^∈V^s′ζ^+sup⁡ζ∈Vmax⁡{r0+r′ζ−s′ζ,−s′ζ}),\pi^1(r^0,r)=\inf_{s}\Big(\sup_{\hat\zeta\in\hat{\mathcal V}}s'\hat\zeta+\sup_{\zeta\in\mathcal V}\max\{r^0+r'\zeta-s'\zeta,-s'\zeta\}\Big),π1(r0,r)=sinf​(ζ^​∈V^sup​s′ζ^​+ζ∈Vsup​max{r0+r′ζ−s′ζ,−s′ζ}),

π2\pi^2π2 is an infimum over yyy with F′y=rF'y=rF′y=r of a supremum over V^\hat{\mathcal V}V^ of a Scarf-type expression, and π3\pi^3π3 is an infimum over (s0,s,x0,x)(s^0,s,x^0,x)(s0,s,x0,x) with x0+x′gσ=r0x^0+x'g_\sigma=r^0x0+x′gσ​=r0, Fσ′x=rF_\sigma'x=rFσ′​x=r that involves the function

ψ(x0,x)=inf⁡λ>0λeexp⁡(1λsup⁡z^σ∈W^σ{x0+x′z^σ}+∥u∥222λ2),uj=max⁡{xjσf,j,−xjσb,j}.\psi(x^0,x)=\inf_{\lambda>0}\frac{\lambda}{e}\exp\Big(\frac1\lambda\sup_{\hat z_\sigma\in\hat{\mathcal W}_\sigma}\{x^0+x'\hat z_\sigma\}+\frac{\|u\|_2^2}{2\lambda^2}\Big),\qquad u_j=\max\{x_j\sigma_{f,j},-x_j\sigma_{b,j}\}.ψ(x0,x)=λ>0inf​eλ​exp(λ1​z^σ​∈W^σ​sup​{x0+x′z^σ​}+2λ2∥u∥22​​),uj​=max{xj​σf,j​,−xj​σb,j​}.

For S⊆{1,2,3}S\subseteq\{1,2,3\}S⊆{1,2,3} the unified bound is the infimal convolution

π(r0,r)=min⁡{∑s∈Sπs(r0,s,rs): r0=∑s∈Sr0,s, r=∑s∈Srs}.(25)\pi(r^0,r)=\min\Big\{\sum_{s\in S}\pi^s(r^{0,s},r^s):\ r^0=\sum_{s\in S}r^{0,s},\ r=\sum_{s\in S}r^s\Big\}.\qquad(25)π(r0,r)=min{s∈S∑​πs(r0,s,rs): r0=s∈S∑​r0,s, r=s∈S∑​rs}.(25)

All values lie in [−∞,+∞][-\infty,+\infty][−∞,+∞], with the paper's convention that an infeasible minimization has value +∞+\infty+∞ and an infeasible maximization −∞-\infty−∞.

Formalization targets

Goal: Theorem 4 (p. 911)

With F=⋂s∈SFs\mathbb F=\bigcap_{s\in S}\mathbb F_sF=⋂s∈S​Fs​,

sup⁡P∈FEP((r0+r′ζ~)+)≤π(r0,r)≤πs(r0,r)∀s∈S.(26)\sup_{\mathbb P\in\mathbb F}E_{\mathbb P}\big((r^0+r'\tilde\zeta)^+\big)\le\pi(r^0,r)\le\pi^s(r^0,r)\qquad\forall s\in S.\qquad(26)P∈Fsup​EP​((r0+r′ζ~​)+)≤π(r0,r)≤πs(r0,r)∀s∈S.(26)

Milestones

  1. Theorem 1, upper-bound part: sup⁡F1EP((r0+r′ζ~)+)≤π1(r0,r)\sup_{\mathbb F_1}E_{\mathbb P}((r^0+r'\tilde\zeta)^+)\le\pi^1(r^0,r)supF1​​EP​((r0+r′ζ~​)+)≤π1(r0,r).
  2. Theorem 2, upper-bound part: sup⁡F2EP((r0+r′ζ~)+)≤π2(r0,r)\sup_{\mathbb F_2}E_{\mathbb P}((r^0+r'\tilde\zeta)^+)\le\pi^2(r^0,r)supF2​​EP​((r0+r′ζ~​)+)≤π2(r0,r).
  3. Theorem 3: sup⁡F3EP((r0+r′ζ~)+)≤π3(r0,r)\sup_{\mathbb F_3}E_{\mathbb P}((r^0+r'\tilde\zeta)^+)\le\pi^3(r^0,r)supF3​​EP​((r0+r′ζ~​)+)≤π3(r0,r).
  4. The right inequality of (26): π(r0,r)≤πs(r0,r)\pi(r^0,r)\le\pi^s(r^0,r)π(r0,r)≤πs(r0,r) for every s∈Ss\in Ss∈S.

The tightness halves of Theorems 1 and 2 are the subject of the two companion missions of this series; Theorem 4 does not use them.

Significance

The unified bound turns heterogeneous partial information into one tractable upper bound. When a modeller knows a support set, a covariance and tail information for some independent factors, π\piπ is valid for the intersected family and is never worse than the best of the separate bounds; it is the bound the paper's deflected and bideflected linear decision rules (§6, (31) onward) use for every recourse term. Theorem 4 is thus the guarantee behind the paper's main approximation scheme, and the same infimal-convolution device applies to any collection of valid bounds on a common convex objective.

The theorems are proved in the paper's electronic companion. To the knowledge of this mission none of them has a machine-checked proof: the Lean library has neither a Scarf-type bound nor a bound on expected positive parts from deviation measures. Formalizing Theorem 3 in particular produces reusable facts about moment generating functions of independent sums under deviation bounds.

Difficulty

The left inequality of (26) looks like bookkeeping, but it rests on three separate bounds, each with its own argument: a weak-duality argument for π1\pi^1π1, a Scarf-type mean–variance inequality for π2\pi^2π2, and an exponential-moment argument for π3\pi^3π3 that needs independence of the components of z~σ\tilde z_\sigmaz~σ​ to factor a moment generating function and the deviation bounds to control each factor. Each piece must be carried out with all values in the extended reals: suprema can be +∞+\infty+∞, families can be empty, and a term equal to −∞-\infty−∞ in a sum can absorb a +∞+\infty+∞. The right inequality depends on how each πs\pi^sπs behaves at the zero objective, which for π3\pi^3π3 is an infimum over λ>0\lambda>0λ>0 that is not attained. The naive idea of proving (26) by attainment of the minimum in (25) does not work: the minimum need not be attained, and the statement must hold for every feasible split.

Formalization scope

A distribution is a Measure on Fin N_E → ℝ with IsProbabilityMeasure; ζ~\tilde\zetaζ~​ is the identity map. The mean is the published MomentDRO.Conf.meanVec. F1\mathbb F_1F1​ and F3\mathbb F_3F3​ require integrable coordinates and F2\mathbb F_2F2​ finite second moments, so that means and covariances exist. P(ζ~∈V)=1\mathbb P(\tilde\zeta\in\mathcal V)=1P(ζ~​∈V)=1 is an almost-everywhere statement. In F3\mathbb F_3F3​, independence is iIndepFun of the coordinates of z~σ\tilde z_\sigmaz~σ​; every exponential moment Eeθz~σ,jE e^{\theta\tilde z_{\sigma,j}}Eeθz~σ,j​ is required finite; and the deviation bounds are the published predicates FwdDevLe, BwdDevLe applied to the law of each coordinate, which state 2θ2ln⁡Eeθ(z~σ,j−z^σ,j)≤σf,j2\frac{2}{\theta^2}\ln E e^{\theta(\tilde z_{\sigma,j}-\hat z_{\sigma,j})}\le\sigma_{f,j}^2θ22​lnEeθ(z~σ,j​−z^σ,j​)≤σf,j2​ for all θ>0\theta>0θ>0, equivalent to the square-root form above for σf,j≥0\sigma_{f,j}\ge0σf,j​≥0.

Worst cases and bounds take values in EReal; the printed "min" of (25) and "inf" of (21), (22), (24) are read as infima, without attainment. In ψ\psiψ the supremum over W^σ\hat{\mathcal W}_\sigmaW^σ​ is taken outside the increasing exponential, which gives the same value whenever W^σ\hat{\mathcal W}_\sigmaW^σ​ is nonempty. The index set SSS is a nonempty Finset (Fin 3) with index 0,1,20,1,20,1,2 for the paper's 1,2,31,2,31,2,3, and vector indices are 0-based.

Two hypotheses come from the paper's model rather than its theorem statements: σf,σb≥0\sigma_f,\sigma_b\ge0σf​,σb​≥0 (deviations are square roots), and Fσζ^+gσ∈W^σF_\sigma\hat\zeta+g_\sigma\in\hat{\mathcal W}_\sigmaFσ​ζ^​+gσ​∈W^σ​ for every ζ^∈V^\hat\zeta\in\hat{\mathcal V}ζ^​∈V^, which follows from W^σ=HσW^\hat{\mathcal W}_\sigma=H_\sigma\hat{\mathcal W}W^σ​=Hσ​W^, V^={ζ^:Fζ^+g∈W^}\hat{\mathcal V}=\{\hat\zeta:F\hat\zeta+g\in\hat{\mathcal W}\}V^={ζ^​:Fζ^​+g∈W^}, Fσ=HσFF_\sigma=H_\sigma FFσ​=Hσ​F and gσ=Hσgg_\sigma=H_\sigma ggσ​=Hσ​g (pp. 905, 908, 910).

The bounds are defined by (21), (22), (24) and (25) verbatim; a formalization that defines π\piπ through the worst case itself, sets some πs\pi^sπs to +∞+\infty+∞, drops the exponential integrability from F3\mathbb F_3F3​, or uses real-valued suprema (which return 000 on unbounded sets) would trivialize or falsify the statement and is ruled out.

Contributions welcome: proofs of the three upper bounds, a Scarf inequality EX+≤12(EX+(EX)2+Var⁡X)E X^+\le\frac12(EX+\sqrt{(EX)^2+\operatorname{Var}X})EX+≤21​(EX+(EX)2+VarX​) as a reusable lemma, and the EReal lemmas about infimal convolutions of extended-real functions.

Selected references

  • J. Goh, M. Sim, Distributionally Robust Optimization and Its Tractable Approximations, Operations Research 58(4):902–917, 2010. https://doi.org/10.1287/opre.1090.0795
  • X. Chen, M. Sim, P. Sun, A Robust Optimization Perspective on Stochastic Programming, Operations Research 55(6):1058–1071, 2007. https://doi.org/10.1287/opre.1070.0441
  • W. Chen, M. Sim, Goal-Driven Optimization, Operations Research 57(2):342–357, 2009. https://doi.org/10.1287/opre.1080.0570
  • H. Scarf, A Min-Max Solution of an Inventory Problem, in Studies in the Mathematical Theory of Inventory and Production, K. Arrow, ed., Stanford University Press, 1958, 201–209.
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Convex OptimizationFunctional AnalysisOptimization·Captain: mikedeng1

A Monotone+Skew Splitting Model for Composite Monotone Inclusions in Duality: The Inexact Primal–Dual Forward–Backward–Forward Iterates Converge Weakly to a Primal and a Dual SolutionResearch Paper

Motivation

Many problems in convex optimization, variational inequalities, mechanics, traffic equilibrium and signal processing reduce to finding a zero of a monotone operator on a Hilbert space. Frequently that operator is a sum A+L∗∘B∘LA + L^*\circ B\circ LA+L∗∘B∘L of a monotone operator and a monotone operator composed with a linear map and its adjoint, and one also wants the solution of an associated dual inclusion. The prototype is Fenchel–Rockafellar duality: with A=∂fA=\partial fA=∂f and B=∂gB=\partial gB=∂g, the pair of problems is min⁡xf(x)+g(Lx−r)−⟨x∣z⟩\min_x f(x)+g(Lx-r)-\langle x\mid z\rangleminx​f(x)+g(Lx−r)−⟨x∣z⟩ and min⁡vf∗(z−L∗v)+g∗(v)+⟨v∣r⟩\min_v f^*(z-L^*v)+g^*(v)+\langle v\mid r\rangleminv​f∗(z−L∗v)+g∗(v)+⟨v∣r⟩.

Before this paper, splitting methods for the primal problem needed BBB to be single-valued and smooth (forward–backward, or Tseng's forward–backward–forward method), or needed the resolvent of L∗∘B∘LL^*\circ B\circ LL∗∘B∘L, which has no closed form in terms of BBB and LLL in general. Briceño-Arias and Combettes (arXiv:1011.5517, SIAM J. Optim. 2011) observed that the primal–dual pair is equivalent to a single inclusion on the product space involving a maximally monotone operator plus a bounded skew linear operator. Applying an inexact forward–backward–forward method to that inclusion gives the first algorithm that solves the primal and dual inclusions simultaneously and uses AAA, BBB and LLL separately. Later primal–dual methods, including those of Combettes–Pesquet (2012), Vũ (2013) and Condat (2013), build on this construction.

Setting

Let H\mathcal HH and G\mathcal GG be real Hilbert spaces. A set-valued operator M:H→2HM:\mathcal H\to2^{\mathcal H}M:H→2H assigns to each point a subset; its graph is {(x,u)∣u∈Mx}\{(x,u)\mid u\in Mx\}{(x,u)∣u∈Mx}, its inverse M−1M^{-1}M−1 has graph {(u,x)∣u∈Mx}\{(u,x)\mid u\in Mx\}{(u,x)∣u∈Mx}, and zer⁡M={x∣0∈Mx}\operatorname{zer}M=\{x\mid 0\in Mx\}zerM={x∣0∈Mx}. MMM is monotone if ⟨x−y∣u−v⟩≥0\langle x-y\mid u-v\rangle\ge0⟨x−y∣u−v⟩≥0 whenever u∈Mxu\in Mxu∈Mx, v∈Myv\in Myv∈My, and maximally monotone if no monotone operator has a strictly larger graph. For γ>0\gamma>0γ>0 the resolvent JγM=(Id+γM)−1J_{\gamma M}=(\mathrm{Id}+\gamma M)^{-1}JγM​=(Id+γM)−1 is then an everywhere-defined single-valued map.

Problem 1.1. Let A:H→2HA:\mathcal H\to2^{\mathcal H}A:H→2H and B:G→2GB:\mathcal G\to2^{\mathcal G}B:G→2G be maximally monotone, L:H→GL:\mathcal H\to\mathcal GL:H→G bounded linear, z∈Hz\in\mathcal Hz∈H, r∈Gr\in\mathcal Gr∈G. Solve the primal inclusion

z∈Ax+L∗B(Lx−r)(1.2)z\in Ax+L^*B(Lx-r)\qquad(1.2)z∈Ax+L∗B(Lx−r)(1.2)

and the dual inclusion

−r∈−LA−1(z−L∗v)+B−1v.(1.3)-r\in -LA^{-1}(z-L^*v)+B^{-1}v.\qquad(1.3)−r∈−LA−1(z−L∗v)+B−1v.(1.3)

Their solution sets are P\mathcal PP and D\mathcal DD.

Problem 1.2. On the Hilbert direct sum K=H⊕G\mathcal K=\mathcal H\oplus\mathcal GK=H⊕G set

M:(x,v)↦(−z+Ax)×(r+B−1v),S:(x,v)↦(L∗v,−Lx),M:(x,v)\mapsto(-z+Ax)\times(r+B^{-1}v),\qquad S:(x,v)\mapsto(L^*v,-Lx),M:(x,v)↦(−z+Ax)×(r+B−1v),S:(x,v)↦(L∗v,−Lx),

and find a zero of M+SM+SM+S.

The algorithm (3.1) of the paper, for step sizes γn\gamma_nγn​ and error sequences ai,n,bi,n,ci,na_{i,n},b_{i,n},c_{i,n}ai,n​,bi,n​,ci,n​, reads

y1,n=xn−γn(L∗vn+a1,n),y2,n=vn+γn(Lxn+a2,n),p1,n=JγnA(y1,n+γnz)+b1,n,p2,n=JγnB−1(y2,n−γnr)+b2,n,q1,n=p1,n−γn(L∗p2,n+c1,n),q2,n=p2,n+γn(Lp1,n+c2,n),xn+1=xn−y1,n+q1,n,vn+1=vn−y2,n+q2,n.\begin{aligned}y_{1,n}&=x_n-\gamma_n(L^*v_n+a_{1,n}), & y_{2,n}&=v_n+\gamma_n(Lx_n+a_{2,n}),\\ p_{1,n}&=J_{\gamma_nA}(y_{1,n}+\gamma_nz)+b_{1,n}, & p_{2,n}&=J_{\gamma_nB^{-1}}(y_{2,n}-\gamma_nr)+b_{2,n},\\ q_{1,n}&=p_{1,n}-\gamma_n(L^*p_{2,n}+c_{1,n}), & q_{2,n}&=p_{2,n}+\gamma_n(Lp_{1,n}+c_{2,n}),\\ x_{n+1}&=x_n-y_{1,n}+q_{1,n}, & v_{n+1}&=v_n-y_{2,n}+q_{2,n}.\end{aligned}y1,n​p1,n​q1,n​xn+1​​=xn​−γn​(L∗vn​+a1,n​),=Jγn​A​(y1,n​+γn​z)+b1,n​,=p1,n​−γn​(L∗p2,n​+c1,n​),=xn​−y1,n​+q1,n​,​y2,n​p2,n​q2,n​vn+1​​=vn​+γn​(Lxn​+a2,n​),=Jγn​B−1​(y2,n​−γn​r)+b2,n​,=p2,n​+γn​(Lp1,n​+c2,n​),=vn​−y2,n​+q2,n​.​

Formalization targets

Goal: Theorem 3.1

Assume L≠0L\neq0L=0, z∈ran⁡(A+L∗∘B∘(L⋅−r))z\in\operatorname{ran}(A+L^*\circ B\circ(L\cdot-r))z∈ran(A+L∗∘B∘(L⋅−r)), all six error sequences absolutely summable, ε∈ ]0,1/(∥L∥+1)[\varepsilon\in\,]0,1/(\|L\|+1)[ε∈]0,1/(∥L∥+1)[ and γn∈[ε,(1−ε)/∥L∥]\gamma_n\in[\varepsilon,(1-\varepsilon)/\|L\|]γn​∈[ε,(1−ε)/∥L∥]. Then for some xˉ∈P\bar x\in\mathcal Pxˉ∈P and vˉ∈D\bar v\in\mathcal Dvˉ∈D with z−L∗vˉ∈Axˉz-L^*\bar v\in A\bar xz−L∗vˉ∈Axˉ and vˉ∈B(Lxˉ−r)\bar v\in B(L\bar x-r)vˉ∈B(Lxˉ−r):

xn−p1,n→0,vn−p2,n→0,xn, p1,n⇀xˉ,vn, p2,n⇀vˉ,x_n-p_{1,n}\to0,\quad v_n-p_{2,n}\to0,\qquad x_n,\,p_{1,n}\rightharpoonup\bar x,\quad v_n,\,p_{2,n}\rightharpoonup\bar v,xn​−p1,n​→0,vn​−p2,n​→0,xn​,p1,n​⇀xˉ,vn​,p2,n​⇀vˉ,

and the convergence of xn,p1,nx_n,p_{1,n}xn​,p1,n​ (resp. vn,p2,nv_n,p_{2,n}vn​,p2,n​) is strong if AAA is uniformly monotone at xˉ\bar xxˉ (resp. B−1B^{-1}B−1 at vˉ\bar vvˉ).

Milestones

  1. Lemma 2.1: αn+1≤αn−βn+εn\alpha_{n+1}\le\alpha_n-\beta_n+\varepsilon_nαn+1​≤αn​−βn​+εn​ with nonnegative terms and summable εn\varepsilon_nεn​ implies (αn)(\alpha_n)(αn​) converges and ∑βn<∞\sum\beta_n<\infty∑βn​<∞. Covered by the proved platform theorem GradErrors.Deterministic.lemma_1 (Bertsekas–Tsitsiklis), of which it is the special case Y=α≥0Y=\alpha\ge0Y=α≥0, so that the alternative Yt→−∞Y_t\to-\inftyYt​→−∞ cannot occur.
  2. Lemma 2.2: a quasi-Fejér sequence whose sequential weak cluster points lie in CCC converges weakly to a point of CCC.
  3. Theorem 2.5(i)–(ii): for AAA maximally monotone and BBB monotone and β\betaβ-Lipschitz with zer⁡(A+B)≠∅\operatorname{zer}(A+B)\ne\varnothingzer(A+B)=∅, the inexact forward–backward–forward iteration has ∑∥xn−pn∥2<∞\sum\|x_n-p_n\|^2<\infty∑∥xn​−pn​∥2<∞, ∑∥yn−qn∥2<∞\sum\|y_n-q_n\|^2<\infty∑∥yn​−qn​∥2<∞, and xn,pn⇀xˉ∈zer⁡(A+B)x_n,p_n\rightharpoonup\bar x\in\operatorname{zer}(A+B)xn​,pn​⇀xˉ∈zer(A+B).
  4. Proposition 2.7(i)–(iv): MMM and M+SM+SM+S are maximally monotone; SSS is bounded linear with S∗=−SS^*=-SS∗=−S and ∥S∥=∥L∥\|S\|=\|L\|∥S∥=∥L∥; JγM(x,v)=(JγA(x+γz),JγB−1(v−γr))J_{\gamma M}(x,v)=(J_{\gamma A}(x+\gamma z),J_{\gamma B^{-1}}(v-\gamma r))JγM​(x,v)=(JγA​(x+γz),JγB−1​(v−γr)).
  5. Proposition 2.8: zer⁡(M+S)\operatorname{zer}(M+S)zer(M+S) is a closed convex subset of P×D\mathcal P\times\mathcal DP×D, and z∈ran⁡(A+L∗∘B∘(L⋅−r))z\in\operatorname{ran}(A+L^*\circ B\circ(L\cdot-r))z∈ran(A+L∗∘B∘(L⋅−r)), P≠∅\mathcal P\ne\varnothingP=∅, zer⁡(M+S)≠∅\operatorname{zer}(M+S)\ne\varnothingzer(M+S)=∅, D≠∅\mathcal D\ne\varnothingD=∅ and −r∈ran⁡(−L∘A−1∘(z−L∗⋅)+B−1)-r\in\operatorname{ran}(-L\circ A^{-1}\circ(z-L^*\cdot)+B^{-1})−r∈ran(−L∘A−1∘(z−L∗⋅)+B−1) are equivalent.

Significance

Theorem 3.1 gives a method that handles two arbitrary maximally monotone operators coupled by an arbitrary bounded linear map, with only resolvent evaluations of AAA and B−1B^{-1}B−1 (computed in parallel) and forward applications of LLL and L∗L^*L∗. It tolerates summable errors in every step and variable step sizes, and it produces a primal and a dual solution simultaneously, assuming only that the primal problem is solvable. The paper derives from it, as instances, methods for sums of composite operators (Theorem 3.8) and for Fenchel–Rockafellar-type composite minimization (Section 4).

The theorem is proved in the literature. This mission formalizes it, which in turn requires a machine-checked inexact forward–backward–forward theorem (Theorem 2.5) and the structural facts about the monotone+skew reformulation (Propositions 2.7, 2.8). These intermediate results are reusable for the descendants of this algorithm. No machine-checked proof of Theorem 3.1, of Theorem 2.5, or of the quasi-Fejér Lemma 2.2 is known to the mission's authors. On Prove2Me, CondatPD.FB.lemma_4_4 (inexact forward–backward with a cocoercive operator) and CondatPD.FB.theorem_3_1 (Condat's primal–dual method) concern related algorithms; CondatPD.PPA.A_maximal_monotone is an open subdifferential special case of Proposition 2.7(iii).

Difficulty

The obvious route, applying a known splitting method directly to A1+A2A_1+A_2A1​+A2​ with A2=L∗∘B∘(L⋅−r)A_2=L^*\circ B\circ(L\cdot-r)A2​=L∗∘B∘(L⋅−r), fails: A2A_2A2​ need not be maximally monotone, and its resolvent cannot be computed from that of BBB. The reformulation on K\mathcal KK avoids this, but at a cost. M+SM+SM+S is not a subdifferential, SSS is not cocoercive (it is skew, so ⟨Sx∣x⟩=0\langle Sx\mid x\rangle=0⟨Sx∣x⟩=0), and forward–backward theory does not apply; one needs the forward–backward–forward method with Lipschitz, merely monotone SSS. Proving that method's convergence with errors requires quasi-Fejér analysis in a possibly infinite-dimensional space, where bounded sequences only have weakly convergent subsequences and the limit must be identified through the maximal monotonicity of M+SM+SM+S, whose graph is sequentially closed in the weak–strong topology. The strong convergence clauses (iii)–(iv) need a further estimate, since uniform monotonicity of AAA at xˉ\bar xxˉ does not by itself control the coupled iterate.

Formalization scope

  • Hilbert spaces are [NormedAddCommGroup E] [InnerProductSpace ℝ E] [CompleteSpace E]; set-valued operators are maps E → Set E. Monotonicity, maximal monotonicity (no proper monotone extension of the graph), zer, the resolvent predicate IsResolvent, weak convergence WeakTendsto (⟨un,y⟩→⟨u,y⟩\langle u_n,y\rangle\to\langle u,y\rangle⟨un​,y⟩→⟨u,y⟩ for all yyy), opInv and opAdd are imported from published platform definitions.
  • K=H⊕G\mathcal K=\mathcal H\oplus\mathcal GK=H⊕G is WithLp 2 (H × G), whose inner product is ⟨x∣x′⟩+⟨v∣v′⟩\langle x\mid x'\rangle+\langle v\mid v'\rangle⟨x∣x′⟩+⟨v∣v′⟩; the plain product would carry the sup norm.
  • Resolvents are given maps with the resolvent property, one per iteration since γn\gamma_nγn​ varies: JA n satisfies γn−1(w−JnAw)∈A(JnAw)\gamma_n^{-1}(w-J^A_nw)\in A(J^A_nw)γn−1​(w−JnA​w)∈A(JnA​w) for all www, and likewise for B−1B^{-1}B−1. For maximally monotone operators and γn>0\gamma_n>0γn​>0 such maps exist (Minty's theorem) and are unique, so quantifying over them is the paper's statement. Proposition 2.7(iv) is stated as "the product map is a resolvent of γM\gamma MγM", which is the equality by uniqueness.
  • "Absolutely summable" is Summable (fun n => ‖a n‖); indices start at 000; ∥L∥\|L\|∥L∥ is the operator norm and L≠0L\ne0L=0 is kept, so the step-size window is nonempty.
  • "S∈B(K)S\in\mathcal B(\mathcal K)S∈B(K)" is the existence of a continuous linear operator equal to SSS pointwise, whose adjoint is its negative and whose norm is ∥L∥\|L\|∥L∥.
  • "Uniformly monotone at xxx" (Lemma 2.4(i)) uses a nondecreasing ϕ:[0,∞[→[0,+∞]\phi:[0,\infty[\to[0,+\infty]ϕ:[0,∞[→[0,+∞] vanishing only at 000, compared in EReal, against every point of the graph. It is neither strong monotonicity nor uniform monotonicity on a set.
  • Lemma 2.1 is not restated: the mission references the proved platform theorem GradErrors.Deterministic.lemma_1, of which it is a special case.
  • A trivializing formalization is ruled out. The resolvents are constrained by their defining property (an unconstrained map would make the goal false), the existence hypothesis is the paper's only one (z∈ran⁡(A+L∗∘B∘(L⋅−r))z\in\operatorname{ran}(A+L^*\circ B\circ(L\cdot-r))z∈ran(A+L∗∘B∘(L⋅−r)), not a dual solution or a zero of M+SM+SM+S), and the hypotheses are satisfiable (H=G=R\mathcal H=\mathcal G=\mathbb RH=G=R, A=B=0A=B=0A=B=0, L=IdL=\mathrm{Id}L=Id is a checked instance).

The mission needs Minty-type facts (existence of resolvents), demiclosedness of maximally monotone graphs, sums of a maximally monotone and a Lipschitz monotone operator, and quasi-Fejér/Opial arguments in Hilbert space. None of these is in Mathlib in this form, and all are reusable beyond this mission. Contributions toward any of the milestones, or toward this general infrastructure, are welcome.

Selected references

  • L. M. Briceño-Arias, P. L. Combettes, A monotone+skew splitting model for composite monotone inclusions in duality, arXiv:1011.5517v1 (2010); SIAM J. Optim. 21 (2011) 1230–1250. https://arxiv.org/abs/1011.5517v1 , https://doi.org/10.1137/10081602X
  • P. Tseng, A modified forward-backward splitting method for maximal monotone mappings, SIAM J. Control Optim. 38 (2000) 431–446. https://doi.org/10.1137/S0363012998338806
  • H. H. Bauschke, P. L. Combettes, Convex Analysis and Monotone Operator Theory in Hilbert Spaces, Springer, 2011. https://doi.org/10.1007/978-1-4419-9467-7
  • D. P. Bertsekas, J. N. Tsitsiklis, Gradient convergence in gradient methods with errors, SIAM J. Optim. 10 (2000) 627–642. https://doi.org/10.1137/S1052623497331063
  • P. L. Combettes, J.-C. Pesquet, Primal-dual splitting algorithm for solving inclusions with mixtures of composite, Lipschitzian, and parallel-sum type monotone operators, Set-Valued Var. Anal. 20 (2012) 307–330. https://doi.org/10.1007/s11228-011-0191-y
  • B. C. Vũ, A splitting algorithm for dual monotone inclusions involving cocoercive operators, Adv. Comput. Math. 38 (2013) 667–681. https://doi.org/10.1007/s10444-011-9254-8
  • L. Condat, A primal–dual splitting method for convex optimization involving Lipschitzian, proximable and linear composite terms, J. Optim. Theory Appl. 158 (2013) 460–479. https://doi.org/10.1007/s10957-012-0245-9
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Solving Semidefinite-Quadratic-Linear Programs Using SDPT3: The HKM and NT Search Directions of Second-Order Cone Programming Are Invariant Under Automorphic ScalingResearch Paper

Motivation

Second-order cone programming (SOCP) minimizes a linear function over the intersection of an affine subspace with a product of Lorentz cones. It contains convex quadratically constrained programs, robust linear programs with ellipsoidal uncertainty, and many norm-minimization problems, and it is solved in practice by primal–dual interior-point methods. At each iteration such a method computes a search direction from a linearized, symmetrized form of the complementarity conditions; the symmetrization depends on a scaling matrix GGG, and different choices of GGG give different directions. The two directions used in practice are the HKM direction (Helmberg–Rendl–Vanderbei–Wolkowicz, Kojima–Shindoh–Hara, Monteiro) and the NT direction (Nesterov–Todd).

A desirable property of a search direction is scale invariance: if the problem is transformed by an automorphism of the cone, the direction computed for the transformed problem is the image of the original direction. A scale-invariant method behaves identically on all problems related by such a change of coordinates, so its behaviour does not depend on an arbitrary choice of coordinates within each cone.

Timeline. Tsuchiya (1999, Optim. Methods Softw. 11 & 12, pp. 141–182; reference [27] of the paper) proved that the HKM and NT directions for SOCP are scale invariant, with a two-page argument for each. Tütüncü, Toh and Todd (2003), in the paper that describes the solver SDPT3 version 3.0, derived closed forms for the blocks (Ei)−1Fi(\mathcal E_i)^{-1}\mathcal F_i(Ei​)−1Fi​ of the Schur complement matrix ((23) for HKM, (29) for NT) and used them to give a short proof of Tsuchiya's result (their Proposition 1).

Setting

There are nqn_qnq​ second-order cone blocks. Block iii has dimension qi≥1q_i \ge 1qi​≥1, and a vector xi∈Rqix_i \in \mathbb R^{q_i}xi​∈Rqi​ is split into its first coordinate xi0x_i^0xi0​ and the rest xi1x_i^1xi1​. The cone is Kqqi={x:x0≥∥x1∥2}K_q^{q_i} = \{x : x^0 \ge \|x^1\|_2\}Kqqi​​={x:x0≥∥x1∥2​}, and with Jˉ=diag⁡(1,−I)\bar J = \operatorname{diag}(1, -I)Jˉ=diag(1,−I) and J=−JˉJ = -\bar JJ=−Jˉ, the function γ(x)=(x0)2−⟨x1,x1⟩=x⊤Jˉx\gamma(x) = \sqrt{(x^0)^2 - \langle x^1, x^1 \rangle} = \sqrt{x^\top \bar J x}γ(x)=(x0)2−⟨x1,x1⟩​=x⊤Jˉx​ is defined on the cone.

The data are matrices Ai∈Rqi×mA_i \in \mathbb R^{q_i \times m}Ai​∈Rqi​×m, a vector b∈Rmb \in \mathbb R^mb∈Rm and vectors ci∈Rqic_i \in \mathbb R^{q_i}ci​∈Rqi​. The primal problem minimizes ∑i⟨ci,xi⟩\sum_i \langle c_i, x_i \rangle∑i​⟨ci​,xi​⟩ subject to ∑iAi⊤xi=b\sum_i A_i^\top x_i = b∑i​Ai⊤​xi​=b and xi∈Kqqix_i \in K_q^{q_i}xi​∈Kqqi​​; the dual maximizes b⊤yb^\top yb⊤y subject to Aiy+zi=ciA_i y + z_i = c_iAi​y+zi​=ci​ and zi∈Kqqiz_i \in K_q^{q_i}zi​∈Kqqi​​.

The arrow matrix of vvv is Arw⁡(v)=(v0(v1)⊤v1v0I)\operatorname{Arw}(v) = \begin{pmatrix} v^0 & (v^1)^\top \\ v^1 & v^0 I \end{pmatrix}Arw(v)=(v0v1​(v1)⊤v0I​). Given an interior iterate (x,y,z)(x, y, z)(x,y,z) and a scaling block GiG_iGi​, set

Ei=Arw⁡(Gi−1zi) Gi,Fi=Arw⁡(Gixi) Gi−1,TGi(xi,zi)=Arw⁡(Gixi)(Gi−1zi).\mathcal E_i = \operatorname{Arw}(G_i^{-1} z_i)\, G_i, \qquad \mathcal F_i = \operatorname{Arw}(G_i x_i)\, G_i^{-1}, \qquad T_{G_i}(x_i, z_i) = \operatorname{Arw}(G_i x_i)(G_i^{-1} z_i).Ei​=Arw(Gi−1​zi​)Gi​,Fi​=Arw(Gi​xi​)Gi−1​,TGi​​(xi​,zi​)=Arw(Gi​xi​)(Gi−1​zi​).

With μ=⟨x,z⟩/nq\mu = \langle x, z \rangle / n_qμ=⟨x,z⟩/nq​ and a centering parameter σ\sigmaσ, a search direction (Δx,Δy,Δz)(\Delta x, \Delta y, \Delta z)(Δx,Δy,Δz) solves the Newton system

AiΔy+Δzi=ci−zi−Aiy,∑iAi⊤Δxi=b−∑iAi⊤xi,EiΔxi+FiΔzi=σμ e1−TGi(xi,zi).A_i \Delta y + \Delta z_i = c_i - z_i - A_i y, \qquad \sum_i A_i^\top \Delta x_i = b - \sum_i A_i^\top x_i, \qquad \mathcal E_i \Delta x_i + \mathcal F_i \Delta z_i = \sigma\mu\, e_1 - T_{G_i}(x_i, z_i).Ai​Δy+Δzi​=ci​−zi​−Ai​y,i∑​Ai⊤​Δxi​=b−i∑​Ai⊤​xi​,Ei​Δxi​+Fi​Δzi​=σμe1​−TGi​​(xi​,zi​).

The HKM direction takes GiG_iGi​ from the explicit formula (19) in ziz_izi​; the NT direction takes GiG_iGi​ from (20)–(21) in xix_ixi​ and ziz_izi​.

The automorphism group Gi\mathcal G_iGi​ of KqqiK_q^{q_i}Kqqi​​ consists of the invertible linear maps FFF with FKqqi=KqqiF K_q^{q_i} = K_q^{q_i}FKqqi​​=Kqqi​​; these are exactly the matrices with F⊤JˉF=λ2JˉF^\top \bar J F = \lambda^2 \bar JF⊤JˉF=λ2Jˉ for some λ>0\lambda > 0λ>0 and F00>0F_{00} > 0F00​>0. Scaling by F=diag⁡(F1,…,Fnq)F = \operatorname{diag}(F_1, \dots, F_{n_q})F=diag(F1​,…,Fnq​​) sends the data and iterate to A^i=Fi−1Ai\hat A_i = F_i^{-1} A_iA^i​=Fi−1​Ai​, b^=b\hat b = bb^=b, c^i=Fi−1ci\hat c_i = F_i^{-1} c_ic^i​=Fi−1​ci​, x^i=Fi⊤xi\hat x_i = F_i^\top x_ix^i​=Fi⊤​xi​, y^=y\hat y = yy^​=y, z^i=Fi−1zi\hat z_i = F_i^{-1} z_iz^i​=Fi−1​zi​.

Formalization targets

Goal: Proposition 1 (p. 11)

For either direction (HKM or NT), every interior iterate, every σ\sigmaσ, and every choice of Fi∈GiF_i \in \mathcal G_iFi​∈Gi​,

(Δx,Δy,Δz) solves the Newton system for (A,b,c;x,y,z)  ⟺  (F⊤Δx, Δy, F−1Δz) solves it for (A^,b^,c^;x^,y^,z^).(\Delta x, \Delta y, \Delta z) \text{ solves the Newton system for } (A, b, c; x, y, z) \iff (F^\top \Delta x,\ \Delta y,\ F^{-1} \Delta z) \text{ solves it for } (\hat A, \hat b, \hat c; \hat x, \hat y, \hat z).(Δx,Δy,Δz) solves the Newton system for (A,b,c;x,y,z)⟺(F⊤Δx, Δy, F−1Δz) solves it for (A^,b^,c^;x^,y^​,z^).

Milestones

In attack order: the identities (31) for FFF with F⊤JˉF=JˉF^\top \bar J F = \bar JF⊤JˉF=Jˉ; the Schur complement reduction (10)–(15); Arw⁡(Gi−1zi)=I\operatorname{Arw}(G_i^{-1} z_i) = IArw(Gi−1​zi​)=I for HKM; the HKM closed forms (23) and (24)–(25); the right-hand-side formula (28) for both directions; the HKM invariance step of the proof; the NT identities Gixi=Gi−1ziG_i x_i = G_i^{-1} z_iGi​xi​=Gi−1​zi​ and (29); the NT block formula (30); and the NT invariance step of the proof.

Significance

The proposition shows that SDPT3's two second-order-cone directions do not depend on how each cone is coordinatized. The closed forms (23), (24), (29) and (30) are what SDPT3 uses to assemble the Schur complement matrix: they show that each block is a diagonal matrix plus a low-rank term, which is the basis for its sparse and Sherman–Morrison–Woodbury handling of large cones.

The result is proved twice in the literature (Tsuchiya 1999 and this paper). As far as is known, neither proof has been machine-checked, and no formal library contains the HKM or NT scalings, the arrow matrix of the Jordan algebra of the Lorentz cone, or its automorphism group. This mission produces those definitions and a checked proof. The printed proof assumes Fi⊤JˉFi=JˉF_i^\top \bar J F_i = \bar JFi⊤​JˉFi​=Jˉ, that is λ=1\lambda = 1λ=1; the goal covers the whole group Gi\mathcal G_iGi​, so a complete formalization also closes the case λ≠1\lambda \ne 1λ=1, where (31) and the remark that ωi\omega_iωi​ is unchanged no longer hold as printed.

Difficulty

Every step is linear algebra, but none is a one-line rewrite. The inverse of Ei\mathcal E_iEi​ appears everywhere, so one first needs invertibility of GiG_iGi​ and Ei\mathcal E_iEi​ for interior iterates, and the HKM and NT scalings must be shown to satisfy Gie1=ziG_i e_1 = z_iGi​e1​=zi​ and Gixi=Gi−1ziG_i x_i = G_i^{-1} z_iGi​xi​=Gi−1​zi​ respectively, which are identities involving γ\gammaγ, square roots and the denominators γ(z)+z0\gamma(z) + z^0γ(z)+z0 and 1+t01 + t^01+t0. Transporting the Newton system directly through FFF fails: Ei\mathcal E_iEi​ and Fi\mathcal F_iFi​ are built from GiG_iGi​, which is not equivariant in an obvious way, and the HKM scaling at z^i\hat z_iz^i​ is not Fi−1GiF_i^{-1} G_iFi−1​Gi​. For λ≠1\lambda \ne 1λ=1, the quantities γ\gammaγ, ω\omegaω and ttt scale by powers of λ\lambdaλ, and these factors must be tracked until they cancel.

Formalization scope

A block of dimension qiq_iqi​ is Fin (d i + 1) → ℝ, so qi=di+1≥1q_i = d_i + 1 \ge 1qi​=di​+1≥1; xi0x_i^0xi0​ is index 0 and xi1x_i^1xi1​ the indices Fin.succ j. Mathlib's norm on this type is the sup norm, so every Euclidean quantity is written through Jˉ\bar JJˉ. Interior points are encoded by x0>0x^0 > 0x0>0 and (x0)2−⟨x1,x1⟩>0(x^0)^2 - \langle x^1, x^1 \rangle > 0(x0)2−⟨x1,x1⟩>0. Matrix inverses are Matrix.inv, which is 000 on singular input; the milestones that invert a matrix state its invertibility.

Standing assumptions: the problem is a pure SOCP (ns=nl=0n_s = n_l = 0ns​=nl​=0); the iterate is interior; μ=⟨x,z⟩/nq\mu = \langle x, z \rangle / n_qμ=⟨x,z⟩/nq​. The paper's assumption that AAA has full row rank is dropped, because the goal is stated for solution sets of the Newton system and needs no uniqueness. Gi\mathcal G_iGi​ is encoded algebraically (positive multiples of orthochronous Lorentz transformations) rather than as {F:FK=K}\{F : F K = K\}{F:FK=K}, so that the goal does not require the classification of cone automorphisms. The goal assumes nothing about the scaled iterate; its interiority is a consequence.

The Newton system is defined by its raw rows with Ei\mathcal E_iEi​, Fi\mathcal F_iFi​ from (8) and GiG_iGi​ from (19)/(21). A formalization that defined the direction through the closed forms (23)/(29), or defined GiG_iGi​ implicitly by Gie1=ziG_i e_1 = z_iGi​e1​=zi​ or Gixi=Gi−1ziG_i x_i = G_i^{-1} z_iGi​xi​=Gi−1​zi​, would make the goal nearly definitional and is ruled out.

Reusable infrastructure: the arrow matrix and γ\gammaγ of the Lorentz cone, the HKM and NT scalings, and the algebra of Lorentz transformations. Contributions toward any milestone, and alternative proofs of the goal that bypass the milestones, are welcome.

Selected references

  • R. H. Tütüncü, K. C. Toh, M. J. Todd, Solving semidefinite-quadratic-linear programs using SDPT3, Mathematical Programming 95 (2003) 189–217. https://doi.org/10.1007/s10107-002-0347-5
  • T. Tsuchiya, A convergence analysis of the scaling-invariant primal-dual path-following algorithms for second-order cone programming, Optimization Methods and Software 11 & 12 (1999) 141–182 (reference [27] of the SDPT3 paper; no stable link recorded).
  • F. Alizadeh, D. Goldfarb, Second-order cone programming, Mathematical Programming 95 (2003) 3–51. https://doi.org/10.1007/s10107-002-0339-5
  • Yu. Nesterov, M. J. Todd, Self-scaled barriers and interior-point methods in convex programming, Mathematics of Operations Research 22 (1997) 1–42. https://doi.org/10.1287/moor.22.1.1
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Prox-Method with Rate of Convergence O(1/t) for Variational Inequalities with Lipschitz Continuous Monotone Operators and Smooth Convex-Concave Saddle Point Problems: Error √2ΘL/(αN) After N StepsResearch Paper

Motivation

Monotone variational inequalities (v.i.) cover convex minimization, convex–concave saddle-point problems, Nash equilibria of convex games and complementarity problems. Matrix games and other large saddle-point problems are typical cases. At large scale, first-order methods that use only values of the operator and simple auxiliary minimizations are the practical tool. The paper's introduction (pp. 229–231) contrasts this with the black-box lower bound of order 1/ϵ21/\epsilon^21/ϵ2 evaluations for nonsmooth Lipschitz minimization, and with Nesterov's smoothing method (2005), which reaches O(1/t)O(1/t)O(1/t) for structured saddle-point objectives. The paper states that its O(1/t)O(1/t)O(1/t) complexity estimate is new, to the author's knowledge, even in the Euclidean case, where the scheme is Korpelevich's extragradient method of 1976.

A. Nemirovski, Prox-Method with Rate of Convergence O(1/t) for Variational Inequalities with Lipschitz Continuous Monotone Operators and Smooth Convex-Concave Saddle Point Problems, SIAM J. Optim. 15(1):229–251, 2004 (doi:10.1137/S1052623403425629), introduced what is now called the mirror-prox method. It showed that two prox steps per iteration give an ergodic error of order 1/N1/N1/N when the operator is Lipschitz continuous, and that the bound holds in an arbitrary norm, adapted to the geometry of the feasible set by a distance-generating function. The method and its analysis underlie later work on smooth saddle-point problems, including Nesterov's dual extrapolation and Juditsky–Nemirovski–Tauvel's stochastic mirror-prox (2011).

Setting

Let EEE be a finite-dimensional real vector space with an arbitrary norm ∥⋅∥\|\cdot\|∥⋅∥, not necessarily Euclidean. Dual vectors ξ\xiξ act on z∈Ez\in Ez∈E by ⟨ξ,z⟩\langle\xi,z\rangle⟨ξ,z⟩, and the conjugate norm is ∥ξ∥∗=max⁡∥z∥≤1⟨ξ,z⟩\|\xi\|_*=\max_{\|z\|\le1}\langle\xi,z\rangle∥ξ∥∗​=max∥z∥≤1​⟨ξ,z⟩. Let Z⊆EZ\subseteq EZ⊆E be nonempty, convex and compact.

The operator FFF maps ZZZ to dual vectors and satisfies (2.1): it is LLL-Lipschitz, ∥F(z)−F(z′)∥∗≤L∥z−z′∥\|F(z)-F(z')\|_*\le L\|z-z'\|∥F(z)−F(z′)∥∗​≤L∥z−z′∥, and monotone, ⟨F(z)−F(z′),z−z′⟩≥0\langle F(z)-F(z'),z-z'\rangle\ge0⟨F(z)−F(z′),z−z′⟩≥0, for all z,z′∈Zz,z'\in Zz,z′∈Z. A solution of the v.i. is a point z∗∈Zz_*\in Zz∗​∈Z with ⟨F(z),z∗−z⟩≤0\langle F(z),z_*-z\rangle\le0⟨F(z),z∗​−z⟩≤0 for all z∈Zz\in Zz∈Z. The accuracy of a candidate zˉ∈Z\bar z\in Zzˉ∈Z is

ϵ(zˉ)=max⁡u∈Z⟨F(u),zˉ−u⟩.\epsilon(\bar z)=\max_{u\in Z}\langle F(u),\bar z-u\rangle .ϵ(zˉ)=u∈Zmax​⟨F(u),zˉ−u⟩.

The distance-generating function ω:Z→R\omega:Z\to\mathbb Rω:Z→R is continuously differentiable on ZZZ and strongly convex with modulus α>0\alpha>0α>0 in the form (2.2): ⟨ω′(z)−ω′(w),z−w⟩≥α∥z−w∥2\langle\omega'(z)-\omega'(w),z-w\rangle\ge\alpha\|z-w\|^2⟨ω′(z)−ω′(w),z−w⟩≥α∥z−w∥2. The prox-mapping is

Pz(ξ)=argmin⁡w∈Z[ω(w)+⟨ξ−ω′(z),w⟩],P_z(\xi)=\operatorname*{argmin}_{w\in Z}\big[\omega(w)+\langle\xi-\omega'(z),w\rangle\big],Pz​(ξ)=w∈Zargmin​[ω(w)+⟨ξ−ω′(z),w⟩],

and the constant Θ(z0)=max⁡z∈Z[ω(z)−ω(z0)−⟨ω′(z0),z−z0⟩]\Theta(z_0)=\max_{z\in Z}[\omega(z)-\omega(z_0)-\langle\omega'(z_0),z-z_0\rangle]Θ(z0​)=maxz∈Z​[ω(z)−ω(z0​)−⟨ω′(z0​),z−z0​⟩] measures how far ZZZ extends from the starting point z0z_0z0​ in the geometry of ω\omegaω.

The basic implementation fixes the stepsize γ=α/(2L)\gamma=\alpha/(\sqrt2L)γ=α/(2​L) (3.2). At step ttt it computes wt,1=Pzt−1(γF(zt−1))w_{t,1}=P_{z_{t-1}}(\gamma F(z_{t-1}))wt,1​=Pzt−1​​(γF(zt−1​)) and checks the test (3.4),

⟨γF(a),a−b⟩+ω(zt−1)+⟨ω′(zt−1),b−zt−1⟩−ω(b)≤0,\langle\gamma F(a),a-b\rangle+\omega(z_{t-1})+\langle\omega'(z_{t-1}),b-z_{t-1}\rangle-\omega(b)\le0,⟨γF(a),a−b⟩+ω(zt−1​)+⟨ω′(zt−1​),b−zt−1​⟩−ω(b)≤0,

for (a,b)=(zt−1,wt,1)(a,b)=(z_{t-1},w_{t,1})(a,b)=(zt−1​,wt,1​). If the test passes, wt=zt−1w_t=z_{t-1}wt​=zt−1​ and zt=wt,1z_t=w_{t,1}zt​=wt,1​. Otherwise wt=wt,1w_t=w_{t,1}wt​=wt,1​ and zt=Pzt−1(γF(wt,1))z_t=P_{z_{t-1}}(\gamma F(w_{t,1}))zt​=Pzt−1​​(γF(wt,1​)). The output after NNN steps is the average zN=1N∑t=1Nwtz^N=\frac1N\sum_{t=1}^Nw_tzN=N1​∑t=1N​wt​ of the points wtw_twt​.

Formalization targets

Goal: Theorem 3.2 (p. 239), variational-inequality form

For every run of the basic implementation, (3.4) holds at every step, so two inner iterations always suffice, and for every N≥1N\ge1N≥1

ϵ(zN)≤2 Θ(z0) LαN.(3.9)\epsilon(z^N)\le\frac{\sqrt2\,\Theta(z_0)\,L}{\alpha N}.\tag{3.9}ϵ(zN)≤αN2​Θ(z0​)L​.(3.9)

Milestones, in the order of the proof

  1. Lemma 2.1 (2.5), p. 232: Hu(Pz(ξ))−Hu(z)≤⟨ξ,u−Pz(ξ)⟩+[ω(z)+⟨ω′(z),Pz(ξ)−z⟩−ω(Pz(ξ))]H_u(P_z(\xi))-H_u(z)\le\langle\xi,u-P_z(\xi)\rangle+[\omega(z)+\langle\omega'(z),P_z(\xi)-z\rangle-\omega(P_z(\xi))]Hu​(Pz​(ξ))−Hu​(z)≤⟨ξ,u−Pz​(ξ)⟩+[ω(z)+⟨ω′(z),Pz​(ξ)−z⟩−ω(Pz​(ξ))], and the bracket is ≤0\le0≤0. Here Hu(z)=Ω(ω′(z))−⟨ω′(z),u⟩H_u(z)=\Omega(\omega'(z))-\langle\omega'(z),u\rangleHu​(z)=Ω(ω′(z))−⟨ω′(z),u⟩ and Ω\OmegaΩ is the Legendre transform of ω∣Z\omega|_Zω∣Z​.
  2. (2.15), p. 235: one step of the relaxed conceptual prox-method satisfies ⟨γtF(wt),wt−u⟩≤Hu(zt−1)−Hu(zt)+ϵt\langle\gamma_tF(w_t),w_t-u\rangle\le H_u(z_{t-1})-H_u(z_t)+\epsilon_t⟨γt​F(wt​),wt​−u⟩≤Hu​(zt−1​)−Hu​(zt​)+ϵt​.
  3. Proposition 2.2(ii), p. 234: ϵ(zN)≤(Θ(z0)+∑tϵt)/∑tγt\epsilon(z^N)\le(\Theta(z_0)+\sum_t\epsilon_t)/\sum_t\gamma_tϵ(zN)≤(Θ(z0​)+∑t​ϵt​)/∑t​γt​ for the relaxed method (2.11).
  4. Lemma 3.1 (3.7.a), p. 238: ∥w−z+∥≤α−1γ∥ξ−η∥∗\|w-z_+\|\le\alpha^{-1}\gamma\|\xi-\eta\|_*∥w−z+​∥≤α−1γ∥ξ−η∥∗​.
  5. Lemma 3.1 (3.7.c), p. 238: δ≤ϵ\delta\le\epsilonδ≤ϵ.
  6. Lemma 3.1 (3.7.d), p. 238: ϵ≤α−1γ2∥ξ−η∥∗2−α2[∥w−z∥2+∥w−z+∥2]\epsilon\le\alpha^{-1}\gamma^2\|\xi-\eta\|_*^2-\frac\alpha2[\|w-z\|^2+\|w-z_+\|^2]ϵ≤α−1γ2∥ξ−η∥∗2​−2α​[∥w−z∥2+∥w−z+​∥2].
  7. The display of the proof of Theorem 3.2, p. 239: with γ=α/(2L)\gamma=\alpha/(\sqrt2L)γ=α/(2​L), the second inner iterate always passes (3.4).

Lemma 2.1 (2.4), Lemma 3.1 (3.7.b) and Remark 2.3 are also stated as companion theorems.

Significance

The theorem gives an O(1/N)O(1/N)O(1/N) bound for monotone Lipschitz v.i. and for smooth convex–concave saddle points at a cost of two operator evaluations and two prox problems per step. With a distance-generating function adapted to ZZZ, the paper derives rates that are, in its words, nearly dimension-independent under favorable circumstances, for matrix games, eigenvalue minimization and the Lovász capacity number (§5). In the Euclidean case ω=12∥⋅∥22\omega=\frac12\|\cdot\|_2^2ω=21​∥⋅∥22​ the method is Korpelevich's extragradient method, so the theorem also gives an ergodic O(1/N)O(1/N)O(1/N) rate for that method.

The result is proved in the paper; no machine-checked proof of it is known. The platform has a formalized statement of mirror prox for minimization of a smooth convex function (Bubeck's Theorem 4.4), which uses a mirror map on an open set and a function-value gap. It does not cover operators, the v.i. accuracy measure or a prox-mapping over a compact set. This mission produces the general v.i. version, with an arbitrary norm and a distance-generating function defined only on ZZZ.

Difficulty

The algebra of each step is short. The work is in three places. First, the first-order optimality conditions of the constrained prox problems, (2.6) and (3.8), must be derived when ω′\omega'ω′ is only a derivative within ZZZ, and ZZZ may have empty interior. Second, (3.7.d) needs the function-value form of strong convexity, ω(w)≥ω(z)+⟨ω′(z),w−z⟩+α2∥w−z∥2\omega(w)\ge\omega(z)+\langle\omega'(z),w-z\rangle+\frac\alpha2\|w-z\|^2ω(w)≥ω(z)+⟨ω′(z),w−z⟩+2α​∥w−z∥2, which must be derived from the monotonicity form (2.2) along segments of ZZZ. Third, the telescoping of (2.15) uses the identity Ω(ω′(z))=⟨ω′(z),z⟩−ω(z)\Omega(\omega'(z))=\langle\omega'(z),z\rangle-\omega(z)Ω(ω′(z))=⟨ω′(z),z⟩−ω(z) for z∈Zz\in Zz∈Z, and the passage from the weighted sum to the average uses monotonicity of FFF.

The natural first idea is to prove that the inner map w↦Pz(γF(w))w\mapsto P_z(\gamma F(w))w↦Pz​(γF(w)) is a contraction, observation (3.1), and iterate it to a fixed point. That gives only a geometric number of inner steps, not two. The two-step bound comes from Lemma 3.1, which decouples the two prox steps and compares them through strong convexity.

Formalization scope

Dual vectors are continuous linear functionals E →L[ℝ] ℝ on a finite-dimensional normed space E, and ∥⋅∥∗\|\cdot\|_*∥⋅∥∗​ is the operator norm. This is equivalent to the paper's Euclidean space with a second norm. ZZZ is assumed convex, compact and nonempty in every item. ω\omegaω has a derivative within ZZZ that is continuous on ZZZ, and (2.2) is assumed in the monotonicity form. The prox-mapping is the relation "v∈Uv\in Uv∈U minimizes ω(y)+⟨ξ−ω′(z),y⟩\omega(y)+\langle\xi-\omega'(z),y\rangleω(y)+⟨ξ−ω′(z),y⟩ over UUU". Ω\OmegaΩ and Θ\ThetaΘ are suprema over the image of ZZZ, which are maxima under these assumptions. The paper's indices are kept: z 0 is z0z_0z0​, and step t+1t+1t+1 goes from z t to w (t+1) and z (t+1).

Disclosed choices: L>0L>0L>0 and N≥1N\ge1N≥1 are hypotheses, because (3.2) and (3.9) divide by them. The termination test (2.8) is not modelled, so runs never stop; this only adds runs. The basic implementation's inner loop is cut at s=2s=2s=2, which is what the goal's first claim justifies. The bound on ϵ(zN)\epsilon(z^N)ϵ(zN) is stated for every u∈Zu\in Zu∈Z, which is equivalent to the bound on the maximum. Items that use only monotonicity of FFF, or no property of FFF, do not assume the rest of (2.1).

The goal quantifies over every run, and a sorry-free sanity file exhibits a run on Z=[0,1]Z=[0,1]Z=[0,1], so the run relation is not empty. The average is over the wtw_twt​, not the ztz_tzt​. The suprema are taken over compact nonempty ZZZ with continuous ω\omegaω, so they are not junk values. The saddle-point form (3.10), the bound (2.14) and Theorems 4.1–4.2 are not posed.

Useful contributions: optimality conditions for minimizers of functions differentiable within a convex set; the function-value form of strong convexity derived from (2.2); and the Legendre-transform identity. All three are reusable for other mirror-descent and prox-method analyses.

Selected references

  • A. Nemirovski, Prox-Method with Rate of Convergence O(1/t) for Variational Inequalities with Lipschitz Continuous Monotone Operators and Smooth Convex-Concave Saddle Point Problems, SIAM J. Optim. 15(1):229–251, 2004. https://doi.org/10.1137/S1052623403425629
  • G. M. Korpelevich, The extragradient method for finding saddle points and other problems, Ekonomika i Matematicheskie Metody 12:747–756, 1976.
  • Yu. Nesterov, Dual extrapolation and its applications to solving variational inequalities and related problems, Math. Program. 109:319–344, 2007. https://doi.org/10.1007/s10107-006-0034-z
  • A. Juditsky, A. Nemirovski, C. Tauvel, Solving variational inequalities with stochastic mirror-prox algorithm, Stochastic Systems 1(1):17–58, 2011. https://doi.org/10.1214/10-SSY011
  • S. Bubeck, Convex Optimization: Algorithms and Complexity, Found. Trends Mach. Learn. 8(3–4):231–357, 2015, §4.5. https://doi.org/10.1561/2200000050
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Operations ResearchOptimizationProbability·Captain: mikedeng1

Centralized and Competitive Inventory Models with Demand Substitution 2: At Least One Product Is Stocked No Less Under Competition Than Under Centralized ManagementResearch Paper

Motivation

A retailer that carries several substitutable products, such as brands of the same item, loses part of a customer's demand when the preferred product is out of stock, but not all of it: some customers buy another product instead. How much of each product to stock then depends on the stocking levels of the others. When all products are managed by one company, the stocking problem is a joint optimization; when each product is managed by a separate firm, it is a game, and each firm ignores the effect of its stock-outs on its competitors.

A common view in the inventory literature is that competition drives inventories up for every product. Mahajan and van Ryzin and Lippman and McCardle demonstrated it in special cases (Lippman & McCardle, Operations Research 1997; Mahajan & van Ryzin, Columbia working paper 1999, published in Operations Research 2001). Netessine and Rudi (SSRN 303779, 2002, later published in Operations Research, 2003) study the general model with nnn products, an arbitrary continuous joint demand distribution, and arbitrary substitution fractions. They show that the common view fails in general: some products may be stocked more under centralized management (Proposition 6(i)), but at least one product is always stocked no less under competition (Proposition 6(ii)). This mission formalizes Proposition 6(ii) and the centralized first-order analysis on which it rests.

Setting

There are n≥1n \ge 1n≥1 products, indexed i=1,…,ni = 1,\dots,ni=1,…,n, sold in a single period. Product iii is stocked at Qi≥0Q_i \ge 0Qi​≥0 units at unit cost cic_ici​, sold at unit price rir_iri​, and salvaged at unit value sis_isi​, with ri>ci>si>0r_i > c_i > s_i > 0ri​>ci​>si​>0. Write ui=ri−ciu_i = r_i - c_iui​=ri​−ci​ (the underage cost) and oi=ci−sio_i = c_i - s_ioi​=ci​−si​ (the overage cost).

The first-choice demand vector D=(D1,…,Dn)D = (D_1,\dots,D_n)D=(D1​,…,Dn​) is random, with a known continuous joint law on the positive orthant. A fraction aij∈[0,1]a_{ij} \in [0,1]aij​∈[0,1] of the unmet demand for product iii switches to product jjj, with aii=0a_{ii} = 0aii​=0 and ∑jaij<1\sum_j a_{ij} < 1∑j​aij​<1; a customer whose second choice is also out of stock is lost. The effective demand for product iii is

Dis=Di+∑j≠iaji (Dj−Qj)+,x+=max⁡(0,x).D^s_i = D_i + \sum_{j \ne i} a_{ji}\,(D_j - Q_j)^+, \qquad x^+ = \max(0,x).Dis​=Di​+j=i∑​aji​(Dj​−Qj​)+,x+=max(0,x).

Under centralized management a single company maximizes the expected profit

π(Q)=E∑i[rimin⁡(Dis,Qi)−ciQi+si(Qi−Dis)+]\pi(Q) = \mathbb E \sum_i \Big[r_i \min(D^s_i, Q_i) - c_i Q_i + s_i (Q_i - D^s_i)^+\Big]π(Q)=Ei∑​[ri​min(Dis​,Qi​)−ci​Qi​+si​(Qi​−Dis​)+]

over all Q≥0Q \ge 0Q≥0; a maximizer is written QcQ^cQc. Under competition firm iii chooses Qi≥0Q_i \ge 0Qi​≥0 to maximize

πi(Q)=E[uiDis−ui(Dis−Qi)+−oi(Qi−Dis)+],\pi_i(Q) = \mathbb E\big[u_i D^s_i - u_i (D^s_i - Q_i)^+ - o_i (Q_i - D^s_i)^+\big],πi​(Q)=E[ui​Dis​−ui​(Dis​−Qi​)+−oi​(Qi​−Dis​)+],

given the other firms' quantities; a Nash equilibrium Qd≥0Q^d \ge 0Qd≥0 is a vector at which no firm gains by changing its own quantity. In the Lean development these objects are Model, Ds, centralProfit, IsCentralOptimal, firmProfit, IsBestResponse and IsNash in the namespace DemandSubstitution.Comparison.

Formalization targets

Goal: Proposition 6(ii)

For every optimal centralized stocking vector QcQ^cQc and every Nash equilibrium QdQ^dQd,

∃ i:Qic≤Qid.\exists\, i:\quad Q^c_i \le Q^d_i .∃i:Qic​≤Qid​.

The statement quantifies over all optima and all equilibria; it asserts neither existence nor uniqueness of either.

Milestones

  1. The underage/overage form (1): π=E∑i[uiDis−ui(Dis−Qi)+−oi(Qi−Dis)+]\pi = \mathbb E\sum_i [u_i D^s_i - u_i (D^s_i - Q_i)^+ - o_i (Q_i - D^s_i)^+]π=E∑i​[ui​Dis​−ui​(Dis​−Qi​)+−oi​(Qi​−Dis​)+].
  2. The derivative of one substitution term: for j≠ij \ne ij=i, ∂ E(Djs−Qj)+/∂Qi=−aijPr⁡(Djs>Qj,Di>Qi)\partial\,\mathbb E(D^s_j - Q_j)^+/\partial Q_i = -a_{ij}\Pr(D^s_j > Q_j, D_i > Q_i)∂E(Djs​−Qj​)+/∂Qi​=−aij​Pr(Djs​>Qj​,Di​>Qi​).
  3. The partial derivative (8) of π\piπ with respect to QiQ_iQi​.
  4. Proposition 1, the centralized optimality condition (7):
Pr⁡(Di<Qic)−Pr⁡(Di<Qic<Dis)+∑j≠iuj+ojui+oi aijPr⁡(Djs<Qjc,Di>Qic)=uiui+oi.\Pr(D_i < Q^c_i) - \Pr(D_i < Q^c_i < D^s_i) + \sum_{j\ne i}\frac{u_j+o_j}{u_i+o_i}\,a_{ij}\Pr(D^s_j < Q^c_j, D_i > Q^c_i) = \frac{u_i}{u_i+o_i}.Pr(Di​<Qic​)−Pr(Di​<Qic​<Dis​)+j=i∑​ui​+oi​uj​+oj​​aij​Pr(Djs​<Qjc​,Di​>Qic​)=ui​+oi​ui​​.
  1. The comparison Pr⁡(Disc<Qic)≤Pr⁡(Disd<Qid)\Pr(D^{sc}_i < Q^c_i) \le \Pr(D^{sd}_i < Q^d_i)Pr(Disc​<Qic​)≤Pr(Disd​<Qid​), where DscD^{sc}Dsc and DsdD^{sd}Dsd are the effective demands at QcQ^cQc and QdQ^dQd.

Significance

Proposition 6(ii) bounds how far competition can depart from the centralized solution in the downward direction: it can never make every product understocked. Together with Proposition 6(i), it shows that neither "competition overstocks everything" nor its opposite holds in general, and it is the step from which the symmetric case, Proposition 6(iii) (every product is stocked at least as much under competition), follows. The centralized condition (7) and the derivative (8) are of independent use: they give the first-order conditions of the multi-product newsvendor with stock-out substitution for an arbitrary number of products and an arbitrary continuous demand law, obtained without Leibniz-rule integration over polyhedral regions.

The results are proved in the paper; none of them has a machine-checked proof. A formal proof requires differentiating an expectation of piecewise-linear functions of the demand under the integral sign, and handling the measure-zero boundaries where those functions have kinks. That machinery is reusable for other multi-product newsvendor models.

Difficulty

The centralized profit is not concave in general for three or more products (the paper's own example, pp. 3–5), so the optimum cannot be characterized as the unique solution of first-order conditions: the argument must work with an arbitrary maximizer and use only the necessary condition at an interior coordinate. The derivative (8) must be justified as a two-sided derivative of an integral whose integrand is not differentiable on hyperplanes in demand space; the paper's difference quotient argument leaves the boundary terms implicit. Finally, the obvious comparison of the two first-order conditions yields only an inequality between probabilities; turning it into an inequality between stocking levels requires the distribution function of DisD^s_iDis​ to be strictly increasing, and an optimal QicQ^c_iQic​ may be zero, where (7) does not hold.

Formalization scope

Products are Fin n (0-based). The model data and the standing assumptions ri>ci>si>0r_i > c_i > s_i > 0ri​>ci​>si​>0, aij∈[0,1]a_{ij} \in [0,1]aij​∈[0,1], aii=0a_{ii} = 0aii​=0, ∑jaij<1\sum_j a_{ij} < 1∑j​aij​<1 are fields of a structure Model n. The demand law is a probability measure μ\muμ on Rn\mathbb R^nRn that is absolutely continuous with respect to Lebesgue measure, is concentrated on the open positive orthant, and has integrable coordinates (IsDemandLaw). Expectations are Bochner integrals and probabilities are μ.real of sets with the strict and weak inequalities exactly as printed. Derivatives are two-sided HasDerivAt in one coordinate, the others held fixed through Function.update.

Three hypotheses are pinned relative to the page and disclosed in the statements:

  • NeZero n in the goal: for n=0n = 0n=0 "at least one iii" is false.
  • HasPositiveDensity μ in the goal: a Lebesgue density strictly positive on the open positive orthant. The paper's last step uses strict monotonicity of the distribution function of DisD^s_iDis​ without stating it.
  • Qic>0Q^c_i > 0Qic​>0 in Proposition 1 and in the probability comparison: (7) is an equality only at an interior coordinate. The goal carries no such hypothesis.

The centralized optimum is a maximizer of π\piπ over nonnegative vectors and the Nash equilibrium is the no-profitable-deviation property over nonnegative quantities. Defining either by its first-order condition ((7) or (10)) would turn the propositions into definitions and is ruled out. Stating the goal for one chosen optimum or equilibrium is ruled out as well: it holds for every pair.

Contributions welcome: differentiation of expectations of piecewise-linear functions under absolutely continuous laws; null-set lemmas for {Djs=Qj}\{D^s_j = Q_j\}{Djs​=Qj​}; Fermat's rule at a coordinate-wise interior maximizer; the Nash condition (10) of the competitive game, which milestone 5 needs and which is also posed in the companion mission on equilibrium existence.

Selected references

  • S. Netessine and N. Rudi, Centralized and Competitive Inventory Models with Demand Substitution, Simon School Working Paper OP 02-01, University of Rochester, April 2002, SSRN 303779. https://doi.org/10.2139/ssrn.303779 (journal version: Operations Research 51(2), 2003; this mission cites the working paper's numbering)
  • S. A. Lippman and K. F. McCardle, The competitive newsboy, Operations Research 45(1), 54–65, 1997.
  • S. Mahajan and G. van Ryzin, Inventory competition under dynamic consumer choice, Columbia University working paper, 1999 (cited by Netessine & Rudi as [8]); published in Operations Research, 2001.
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Dynamic ProgrammingMachine LearningReinforcement Learning·Captain: mikedeng1

On the Sample Complexity of Reinforcement Learning III: Non-Stationary Approximate Policy Iteration Is Within 2T Times the Regression Error Averaged over Any Competitor's State-Time DistributionTextbook

Motivation

Approximate dynamic programming replaces the exact value functions of a Markov decision process by approximations, typically produced by a regression algorithm. The classical guarantees for the resulting policies are stated in the max norm: if every state-action value is estimated to within ε\varepsilonε uniformly over the state space, the greedy policy loses at most a multiple of ε\varepsilonε (Williams and Baird 1993; Bertsekas and Tsitsiklis 1996). Regression algorithms, however, control an average error under the distribution on which they are trained, not a worst-case error, so these guarantees rarely apply to the approximations actually computed.

Chapter 5 of S. M. Kakade's PhD thesis (On the Sample Complexity of Reinforcement Learning, UCL 2003, pp. 57–66) identifies the distribution under which the error of an approximate policy iteration algorithm should be measured. For the finite-horizon, non-stationary approximate policy iteration algorithm (NAPI), the loss relative to any competitor policy is bounded by twice the horizon times the regression error averaged under the future state-time distribution of that competitor. Taking the competitor optimal, the relevant "test" distribution is the one visited by an optimal policy, generally not the distribution on which the regressor was trained; the thesis calls this the "mismeasure" of reinforcement learning. The key tool, the performance difference lemma, was proved for the discounted case by Kakade and Langford (ICML 2002) and is used throughout the conservative policy iteration and policy search literature.

Setting

A TTT-epoch MDP has a finite state set SSS, a finite nonempty action set AAA, decision epochs t∈{0,…,T−1}t\in\{0,\dots,T-1\}t∈{0,…,T−1}, a transition kernel P(s′∣s,a)P(s'\mid s,a)P(s′∣s,a) and a deterministic reward r(s,a)∈[0,1]r(s,a)\in[0,1]r(s,a)∈[0,1]. A policy π\piπ is a sequence of decision rules π(⋅∣s,t)\pi(\cdot\mid s,t)π(⋅∣s,t), distributions on AAA; it may be stochastic and non-stationary. A deterministic policy hhh chooses the action h(s,t)h(s,t)h(s,t).

Values are normalized. The ttt-value is Vπ,t(s)=1TE[∑τ=tT−1r(sτ,aτ)∣st=s]V_{\pi,t}(s)=\frac1T\mathbb E\big[\sum_{\tau=t}^{T-1}r(s_\tau,a_\tau)\mid s_t=s\big]Vπ,t​(s)=T1​E[∑τ=tT−1​r(sτ​,aτ​)∣st​=s], so Vπ,t=0V_{\pi,t}=0Vπ,t​=0 for t≥Tt\ge Tt≥T and

Vπ,t(s)=∑aπ(a∣s,t)(1Tr(s,a)+∑s′P(s′∣s,a)Vπ,t+1(s′)),Vπ=Vπ,0.V_{\pi,t}(s)=\sum_a\pi(a\mid s,t)\Big(\tfrac1T r(s,a)+\sum_{s'}P(s'\mid s,a)V_{\pi,t+1}(s')\Big),\qquad V_\pi=V_{\pi,0}.Vπ,t​(s)=a∑​π(a∣s,t)(T1​r(s,a)+s′∑​P(s′∣s,a)Vπ,t+1​(s′)),Vπ​=Vπ,0​.

The state-action value is Qπ,t(s,a)=1Tr(s,a)+Es′∼P(⋅∣s,a)Vπ,t+1(s′)Q_{\pi,t}(s,a)=\frac1T r(s,a)+\mathbb E_{s'\sim P(\cdot\mid s,a)}V_{\pi,t+1}(s')Qπ,t​(s,a)=T1​r(s,a)+Es′∼P(⋅∣s,a)​Vπ,t+1​(s′), the advantage is Aπ,t=Qπ,t−Vπ,tA_{\pi,t}=Q_{\pi,t}-V_{\pi,t}Aπ,t​=Qπ,t​−Vπ,t​, and the optimal value is V∗(s)=sup⁡πVπ(s)V^*(s)=\sup_\pi V_\pi(s)V∗(s)=supπ​Vπ​(s). The future state-time distribution of π\piπ from s0s_0s0​ is

dπ,s0(s,t)=1TPr⁡(st=s∣π,s0)on S×{0,…,T−1}.d_{\pi,s_0}(s,t)=\tfrac1T\Pr(s_t=s\mid\pi,s_0)\quad\text{on } S\times\{0,\dots,T-1\}.dπ,s0​​(s,t)=T1​Pr(st​=s∣π,s0​)on S×{0,…,T−1}.

NAPI (Algorithm 6) starts from an arbitrary deterministic policy and updates its decision rules backwards, t=T−1,…,0t=T-1,\dots,0t=T−1,…,0: at update ttt a PolicyChooser receives the current policy π\piπ and returns a decision rule hth_tht​, which replaces the rule at time ttt. The output is (h0,…,hT−1)(h_0,\dots,h_{T-1})(h0​,…,hT−1​). With RegressionPolicyChooser (Algorithm 7), a regressor returns an approximation Q~π,t\tilde Q_{\pi,t}Q~​π,t​ of Qπ,tQ_{\pi,t}Qπ,t​ and hth_tht​ is greedy for it. The per state error and per state regression error at update ttt are

εt(s)=max⁡aQπ,t(s,a)−Qπ,t(s,ht(s)),ε~t(s)=max⁡a∣Qπ,t(s,a)−Q~π,t(s,a)∣,\varepsilon_t(s)=\max_aQ_{\pi,t}(s,a)-Q_{\pi,t}(s,h_t(s)),\qquad \tilde\varepsilon_t(s)=\max_a|Q_{\pi,t}(s,a)-\tilde Q_{\pi,t}(s,a)|,εt​(s)=amax​Qπ,t​(s,a)−Qπ,t​(s,ht​(s)),ε~t​(s)=amax​∣Qπ,t​(s,a)−Q~​π,t​(s,a)∣,

both measured against the input policy π\piπ of update ttt.

The discounted companions use the normalized discounted value Vπ,γ=(1−γ)E[∑tγtr(st,at)]V_{\pi,\gamma}=(1-\gamma)\mathbb E[\sum_t\gamma^tr(s_t,a_t)]Vπ,γ​=(1−γ)E[∑t​γtr(st​,at​)], its advantage Aπ,γA_{\pi,\gamma}Aπ,γ​, and the Bellman error BJ=sup⁡s,a∣QJ(s,a)−J(s)∣B_J=\sup_{s,a}|Q_J(s,a)-J(s)|BJ​=sups,a​∣QJ​(s,a)−J(s)∣ of a state vector JJJ, where QJ(s,a)=(1−γ)r(s,a)+γEs′J(s′)Q_J(s,a)=(1-\gamma)r(s,a)+\gamma\mathbb E_{s'}J(s')QJ​(s,a)=(1−γ)r(s,a)+γEs′​J(s′).

Formalization targets

Goal: Theorem 5.3.2 (p. 64)

For the policy π\piπ returned by NAPI with RegressionPolicyChooser, every policy π′\pi'π′ and every state s0s_0s0​,

Vπ(s0) ≥ Vπ′(s0)−2T E(s,t)∼dπ′,s0[ε~t(s)].V_\pi(s_0)\ \ge\ V_{\pi'}(s_0)-2T\,\mathbb E_{(s,t)\sim d_{\pi',s_0}}\big[\tilde\varepsilon_t(s)\big].Vπ​(s0​) ≥ Vπ′​(s0​)−2TE(s,t)∼dπ′,s0​​​[ε~t​(s)].

The regression outputs are arbitrary; the statement holds for every regressor and every tie-breaking rule.

Milestones

  • Lemma 5.2.1, undiscounted (p. 59): Vπ′(s0)−Vπ(s0)=T E(s,t)∼dπ′,s0Ea∼π′(⋅∣s,t)[Aπ,t(s,a)]V_{\pi'}(s_0)-V_\pi(s_0)=T\,\mathbb E_{(s,t)\sim d_{\pi',s_0}}\mathbb E_{a\sim\pi'(\cdot\mid s,t)}[A_{\pi,t}(s,a)]Vπ′​(s0​)−Vπ​(s0​)=TE(s,t)∼dπ′,s0​​​Ea∼π′(⋅∣s,t)​[Aπ,t​(s,a)].
  • Lemma 5.3.1 (p. 63): for NAPI's output π~\tilde\piπ~ and the input policy π\piπ of update ttt, Qπ~,t=Qπ,tQ_{\tilde\pi,t}=Q_{\pi,t}Qπ~,t​=Qπ,t​ and Aπ~,t(s,a)≤εt(s)A_{\tilde\pi,t}(s,a)\le\varepsilon_t(s)Aπ~,t​(s,a)≤εt​(s).
  • Display in the proof of Theorem 5.3.2 (p. 64): εt(s)≤2ε~t(s)\varepsilon_t(s)\le2\tilde\varepsilon_t(s)εt​(s)≤2ε~t​(s) when hth_tht​ is greedy for Q~π,t\tilde Q_{\pi,t}Q~​π,t​.
  • Corollary 5.2.2 (p. 61): Vπ(s0)≥V∗(s0)−T∥Aπ,t∥∞V_\pi(s_0)\ge V^*(s_0)-T\|A_{\pi,t}\|_\inftyVπ​(s0​)≥V∗(s0​)−T∥Aπ,t​∥∞​ and Vπ,γ(s0)≥Vγ∗(s0)−11−γ∥Aπ,γ∥∞V_{\pi,\gamma}(s_0)\ge V^*_\gamma(s_0)-\frac{1}{1-\gamma}\|A_{\pi,\gamma}\|_\inftyVπ,γ​(s0​)≥Vγ∗​(s0​)−1−γ1​∥Aπ,γ​∥∞​.
  • Theorem 5.1.3 (Williams–Baird, p. 59): a policy greedy for QJQ_JQJ​ satisfies Vπ,γ(s)≥Vγ∗(s)−2BJ1−γV_{\pi,\gamma}(s)\ge V^*_\gamma(s)-\frac{2B_J}{1-\gamma}Vπ,γ​(s)≥Vγ∗​(s)−1−γ2BJ​​.

The discounted half of Lemma 5.2.1 is already on the platform as ApproxOptRL.CPI.performance_difference and is referenced, not restated.

Significance

The goal replaces a max-norm hypothesis by an average one, under an explicit distribution. Its consequences: the approximation error only matters on the state-time pairs an optimal (or any good) policy visits; a regressor trained under a distribution μ\muμ over state-times performs well when μ\muμ resembles the state-time distribution of a good policy; and only one factor of the horizon TTT appears, against two factors of 1/(1−γ)1/(1-\gamma)1/(1−γ) in the max-norm bounds for discounted approximate value and policy iteration (Chapter 3 of the thesis). The same chain, Lemma 5.2.1 and Lemma 5.3.1, underlies the μ-policy search analysis of Chapter 6 and, in the discounted case, conservative policy iteration.

All statements are proved in the thesis; none of the finite-horizon ones is formalized on the platform. A related performance difference identity, FoundationsRL.RLBasics.performance_difference, is proved on the platform for episodic MDPs with layer-dependent kernels and unnormalized values, with roll-in by one policy; it is the same mathematics up to the 1/T1/T1/T normalization but a different object, and is not reused. The mission produces a reusable normalized TTT-epoch layer (values, advantages, state-time distributions) and machine-checked proofs of the chapter's results.

Difficulty

The obvious approach to Theorem 5.3.2 compares VπV_\piVπ​ with Vπ′V_{\pi'}Vπ′​ through max-norm contraction arguments, as in the discounted analysis of Chapter 3; that route only yields a bound in terms of max⁡s,tε~t(s)\max_{s,t}\tilde\varepsilon_t(s)maxs,t​ε~t​(s) and loses the averaging under dπ′,s0d_{\pi',s_0}dπ′,s0​​. The averaged bound needs an exact identity between value differences and advantages along the competitor's trajectory distribution, which for non-stationary stochastic competitors requires a careful telescoping over epochs of the state distribution recursion. The second difficulty is bookkeeping in the algorithm: the regression error at update ttt is measured against the input policy of that update, whose decision rules at later times have already been replaced, while the bound concerns the returned policy; relating the two requires showing that later updates do not change Q⋅,tQ_{\cdot,t}Q⋅,t​.

Formalization scope

  • Model. S, A are Fintypes with decidable equality, A nonempty; P s a s' is P(s′∣s,a)P(s'\mid s,a)P(s′∣s,a) with IsTransitionKernel P; rewards satisfy 0 ≤ r s a ≤ 1 in every statement (the thesis's standing assumption, p. 22). The thesis also allows infinite state spaces; here S is finite.
  • Epochs and normalization. Epochs are 0-based, t∈{0,…,T−1}t\in\{0,\dots,T-1\}t∈{0,…,T−1}, with 0 < T. All values carry the factor 1/T1/T1/T (discounted: 1−γ1-\gamma1−γ), and dπ,s0d_{\pi,s_0}dπ,s0​​ carries 1/T1/T1/T; the constants TTT and 2T2T2T are right only in this normalization.
  • Policies. A policy is ℕ → S → A → ℝ, valid when every rule at a time t<Tt<Tt<T is a distribution. Deterministic policies ℕ → S → A enter through their indicator policies. V∗V^*V∗ is the supremum over the subtype of valid policies. Discounted statements use the published ApproxOptRL.Shared.Model; Vγ∗V^*_\gammaVγ∗​ is the value of an optimal stationary policy.
  • The NAPI run is an explicit recursion (napiPolicy): the policy after updates T−1,…,tT-1,\dots,tT−1,…,t, so the input of update ttt is the policy at stage t+1t+1t+1 and the output is the policy at stage 000. The printed loop "For t=T−1,…,1t=T-1,\dots,1t=T−1,…,1" omits the update at t=0t=0t=0, which would leave the time-0 rule random and make the theorem false; the loop here runs to t=0t=0t=0, as in the proof and in Algorithms 8–9.
  • Ruled out. A "run" whose returned policy is unconstrained, or regression errors measured against the returned policy instead of the input policy of each update, would trivialize or alter the goal; both are excluded by the explicit recursion. That the two measurements agree is Lemma 5.3.1, a milestone, not a definition.
  • Maxima. Maxima over actions are Finset.sup'; ∥⋅∥∞\|\cdot\|_\infty∥⋅∥∞​ on state-action functions is Mathlib's sup norm on S → A → ℝ. BJB_JBJ​ is a single number, as printed in Definition 5.1.2.

Welcome contributions: proofs of the milestones, general lemmas about the TTT-epoch layer (values in [0,1][0,1][0,1], normalization of dπ,s0d_{\pi,s_0}dπ,s0​​, the path-expectation form of Vπ,tV_{\pi,t}Vπ,t​), and links to the platform's discounted performance difference results.

Selected references

  • S. M. Kakade, On the Sample Complexity of Reinforcement Learning, PhD thesis, Gatsby Computational Neuroscience Unit, University College London, 2003. https://discovery.ucl.ac.uk/id/eprint/10100726/
  • S. Kakade and J. Langford, Approximately Optimal Approximate Reinforcement Learning, ICML 2002. https://dl.acm.org/doi/10.5555/645531.656005
  • R. J. Williams and L. C. Baird, Tight Performance Bounds on Greedy Policies Based on Imperfect Value Functions, Technical Report NU-CCS-93-14, Northeastern University, 1993.
  • D. P. Bertsekas and J. N. Tsitsiklis, Neuro-Dynamic Programming, Athena Scientific, 1996.
  • M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming, Wiley, 1994. https://doi.org/10.1002/9780470316887
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Bandit AlgorithmsOperations ResearchProbability·Captain: mikedeng1

Linearly Parameterized Bandits 2: Under Smooth Best Arm Response, the Phased Exploration and Greedy Exploitation Policy Has Regret at Most a₁(‖z‖ + 1/‖z‖)r√TResearch Paper

Motivation

In a linearly parameterized bandit, a decision maker repeatedly chooses an arm from a possibly infinite set of vectors and receives a noisy reward whose mean is linear in an unknown parameter. Classical bandit policies treat arms as independent and must try each arm, so their regret grows with the number of arms (Lai and Robbins 1985); in applications such as marketing, where similar products are expected to have similar sales, the linear structure lets one observation inform many arms, and the regret can be made independent of the number of arms. Rusmevichientong and Tsitsiklis (arXiv:0812.3465v2, Mathematics of Operations Research 2010) show that when the arms form the unit sphere of Rr\mathbb R^rRr, no policy has Bayes risk below order rTr\sqrt TrT​. This mission concerns their matching upper bound: a simple policy that alternates exploration and greedy exploitation in cycles of growing length attains regret of order rTr\sqrt TrT​ whenever the best arm depends smoothly on the parameter.

The linearly parameterized bandit was studied earlier by Abe and Long (1999), Auer (2002) and, independently of this paper, Dani, Hayes and Kakade (2008), whose policies rely on confidence regions for the parameter. The result here shows that for arm sets with a smooth best arm, such as balls and, by Polovinkin (1996), ellipsoids, a phase-based policy with a single least squares estimate per cycle suffices.

Setting

Let r≥2r \ge 2r≥2 and let Ur⊂Rr\mathcal U_r \subset \mathbb R^rUr​⊂Rr be a compact set of arms. Playing arm uuu in period ttt yields the reward

Xtu=u′Z+Wtu,X^u_t = u'Z + W^u_t,Xtu​=u′Z+Wtu​,

where Z∈RrZ \in \mathbb R^rZ∈Rr is an unknown parameter and the errors WtuW^u_tWtu​ are independent of each other and of ZZZ, identically distributed in ttt for each arm, with mean zero.

Assumption 1 fixes constants σ0,uˉ,λ0>0\sigma_0, \bar u, \lambda_0 > 0σ0​,uˉ,λ0​>0 that do not depend on rrr: (a) every error satisfies E[exWtu]≤ex2σ02/2\mathbb E[e^{xW^u_t}] \le e^{x^2\sigma_0^2/2}E[exWtu​]≤ex2σ02​/2 for all x∈Rx \in \mathbb Rx∈R; (b) every arm has ∥u∥≤uˉ\|u\| \le \bar u∥u∥≤uˉ, and Ur\mathcal U_rUr​ contains linearly independent arms b1,…,brb_1, \dots, b_rb1​,…,br​ with λmin⁡(∑kbkbk′)≥λ0\lambda_{\min}(\sum_k b_kb_k') \ge \lambda_0λmin​(∑k​bk​bk′​)≥λ0​.

The smooth best arm response condition SBAR(JJJ) requires that every z≠0z \ne 0z=0 have a unique best arm u∗(z)u^*(z)u∗(z), the maximizer of v′zv'zv′z over Ur\mathcal U_rUr​, and that ∥u∗(z)−u∗(y)∥≤J∥z−y∥\|u^*(z) - u^*(y)\| \le J\|z - y\|∥u∗(z)−u∗(y)∥≤J∥z−y∥ for unit vectors z,yz, yz,y.

The PEGE policy (Phased Exploration and Greedy Exploitation) runs in cycles c=1,2,…c = 1, 2, \dotsc=1,2,…. In cycle ccc it plays b1,…,brb_1, \dots, b_rb1​,…,br​ once each, computes the ordinary least squares estimate

Z^(c)=1c(∑k=1rbkbk′)−1∑s=1c∑k=1rbkXbk(s)\widehat Z(c) = \frac1c\Big(\sum_{k=1}^r b_kb_k'\Big)^{-1}\sum_{s=1}^c\sum_{k=1}^r b_k X^{b_k}(s)Z(c)=c1​(k=1∑r​bk​bk′​)−1s=1∑c​k=1∑r​bk​Xbk​(s)

from all exploration rewards so far, and then plays a greedy arm G(c)∈arg⁡max⁡v∈Urv′Z^(c)G(c) \in \arg\max_{v \in \mathcal U_r} v'\widehat Z(c)G(c)∈argmaxv∈Ur​​v′Z(c) for ccc periods, ties broken arbitrarily.

The regret given Z=zZ = zZ=z over TTT periods is Regret(z,T,PEGE)=∑t=1TE[max⁡v∈Urv′z−Ut′z∣Z=z]\mathrm{Regret}(z, T, \mathrm{PEGE}) = \sum_{t=1}^T \mathbb E[\max_{v \in \mathcal U_r} v'z - U_t'z \mid Z = z]Regret(z,T,PEGE)=∑t=1T​E[maxv∈Ur​​v′z−Ut′​z∣Z=z], where UtU_tUt​ is the arm played in period ttt, and the risk is Risk(T,PEGE)=E[Regret(Z,T,PEGE)]\mathrm{Risk}(T, \mathrm{PEGE}) = \mathbb E[\mathrm{Regret}(Z, T, \mathrm{PEGE})]Risk(T,PEGE)=E[Regret(Z,T,PEGE)] for a prior on ZZZ.

Formalization targets

Goal: Theorem 3.1 (p. 15)

Under Assumption 1 and SBAR(JJJ), there is a1>0a_1 > 0a1​>0 depending only on σ0,uˉ,λ0,J\sigma_0, \bar u, \lambda_0, Jσ0​,uˉ,λ0​,J such that for every r≥2r \ge 2r≥2, every z≠0z \ne 0z=0 and T≥rT \ge rT≥r,

Regret(z,T,PEGE)≤a1(∥z∥+1∥z∥)rT,\mathrm{Regret}(z, T, \mathrm{PEGE}) \le a_1\Big(\|z\| + \frac1{\|z\|}\Big) r\sqrt T,Regret(z,T,PEGE)≤a1​(∥z∥+∥z∥1​)rT​,

and, if E∥Z∥≤M\mathbb E\|Z\| \le ME∥Z∥≤M and E[1/∥Z∥]≤M\mathbb E[1/\|Z\|] \le ME[1/∥Z∥]≤M for every rrr, there is a2a_2a2​ depending only on σ0,uˉ,λ0,J,M\sigma_0, \bar u, \lambda_0, J, Mσ0​,uˉ,λ0​,J,M with

Risk(T,PEGE)≤a2 rT.\mathrm{Risk}(T, \mathrm{PEGE}) \le a_2\, r\sqrt T.Risk(T,PEGE)≤a2​rT​.

The constants are unspecified; only the order rTr\sqrt TrT​ and its uniformity in rrr are asserted.

Milestones on the way

  • Lemma 3.4 (p. 16): E[∥Z^(c)−z∥2∣Z=z]≤h1r/c\mathbb E[\|\widehat Z(c) - z\|^2 \mid Z = z] \le h_1 r/cE[∥Z(c)−z∥2∣Z=z]≤h1​r/c.
  • Lemma 3.5 (p. 17): ∥w/∥w∥−z/∥z∥∥≤2∥w−z∥/max⁡{∥z∥,∥w∥}\|w/\|w\| - z/\|z\|\| \le 2\|w - z\|/\max\{\|z\|, \|w\|\}∥w/∥w∥−z/∥z∥∥≤2∥w−z∥/max{∥z∥,∥w∥}.
  • Lemma 3.6 (p. 17): E[max⁡uz′(u−G(c))∣Z=z]≤rh2/(c∥z∥)\mathbb E[\max_{u} z'(u - G(c)) \mid Z = z] \le r h_2/(c\|z\|)E[maxu​z′(u−G(c))∣Z=z]≤rh2​/(c∥z∥).
  • Sec. 3.1 (p. 18): Regret(z,rK+∑c=1Kc,PEGE)≤h3r∥z∥K+h4∑c=1Kr/∥z∥\mathrm{Regret}(z, rK + \sum_{c=1}^K c, \mathrm{PEGE}) \le h_3 r\|z\|K + h_4\sum_{c=1}^K r/\|z\|Regret(z,rK+∑c=1K​c,PEGE)≤h3​r∥z∥K+h4​∑c=1K​r/∥z∥.

Further results

  • Lemma 3.2 (p. 16): a density condition near the origin gives E[1/∥Z∥]≤M\mathbb E[1/\|Z\|] \le ME[1/∥Z∥]≤M; for Z∼N(0,Ir/r)Z \sim N(0, I_r/r)Z∼N(0,Ir​/r), E∥Z∥≤1\mathbb E\|Z\| \le 1E∥Z∥≤1 and E[1/∥Z∥]≤π\mathbb E[1/\|Z\|] \le \sqrt\piE[1/∥Z∥]≤π​.
  • The unit ball and the unit sphere satisfy SBAR(1) (pp. 15–16).
  • Corollary 3.3 (p. 16): on the unit sphere with standard normal errors, Regret≤a3(∥z∥+1/∥z∥)rT\mathrm{Regret} \le a_3(\|z\| + 1/\|z\|)r\sqrt TRegret≤a3​(∥z∥+1/∥z∥)rT​ and, under the prior N(0,Ir/r)N(0, I_r/r)N(0,Ir​/r), Risk≤a3rT\mathrm{Risk} \le a_3 r\sqrt TRisk≤a3​rT​.

Significance

Theorem 3.1 with the lower bound of Theorem 2.1 of the same paper identifies rTr\sqrt TrT​ as the optimal order of the regret and the Bayes risk on the unit sphere, and Corollary 3.3 makes this precise. The bound is achieved by a policy with no confidence sets and no per-period optimization beyond one linear maximization per cycle. The factor ∥z∥+1/∥z∥\|z\| + 1/\|z\|∥z∥+1/∥z∥ shows how the difficulty depends on the size of the parameter; combined with the trivial bound 2uˉ∥z∥T2\bar u\|z\|T2uˉ∥z∥T, the regret does not deteriorate as ∥z∥→0\|z\| \to 0∥z∥→0.

The results are proved in the paper; none of them is machine-checked. A formalization yields a verified dimension-explicit regret bound for an explore–exploit policy with a continuum of arms, the least squares error bound under sub-Gaussian noise (Lemma 3.4), and Lipschitz properties of normalization and of the best-arm map on balls, all of which are reusable.

Difficulty

The expected instantaneous regret of a greedy arm computed from a noisy estimate is not obviously small: for a general compact arm set the best arm may jump under a small perturbation of the parameter, and the regret is then of order ∥z∥\|z\|∥z∥ however good the estimate is. The SBAR condition prevents such jumps, but only for unit vectors, so the estimation error must be transferred to the direction of the estimate, which costs a factor 1/∥z∥1/\|z\|1/∥z∥. The estimate may also vanish with positive probability when the errors are discrete, where the greedy arm is arbitrary. Finally, the constants must be uniform in the dimension rrr: a bound with an rrr-dependent constant is immediate from Regret≤2uˉ∥z∥T\mathrm{Regret} \le 2\bar u\|z\|TRegret≤2uˉ∥z∥T, so the content of the theorem lies in keeping every constant independent of rrr and of the arm set.

Formalization scope

Vectors live in EuclideanSpace ℝ (Fin r), so the norm is Euclidean and the inner product is u′zu'zu′z. The model's standing assumptions are encoded as follows: Ur\mathcal U_rUr​ is compact; the errors of each arm have mean zero and a law νu\nu_uνu​; Assumption 1(a) requires the moment generating function to exist and satisfy the sub-Gaussian bound; Assumption 1(b) writes λmin⁡(∑kbkbk′)≥λ0\lambda_{\min}(\sum_k b_kb_k') \ge \lambda_0λmin​(∑k​bk​bk′​)≥λ0​ as λ0∥x∥2≤∑k(bk′x)2\lambda_0\|x\|^2 \le \sum_k (b_k'x)^2λ0​∥x∥2≤∑k​(bk′​x)2. Every constant is quantified before the dimension rrr, the arm set, the error laws, the exploration arms, the tie-breaking rule, the prior, zzz and TTT; a version with constants depending on rrr or on the instance is trivial and is excluded by this quantifier order.

PEGE uses exactly the exploration arms bkb_kbk​ of Assumption 1(b), which are an argument of the policy. The greedy rule is any measurable selection of a maximizer; measurability, implicit on the page, is a hypothesis. Since PEGE uses only exploration rewards, the expectation is over an independent table of exploration errors Wbk(s)W^{b_k}(s)Wbk​(s) with laws νbk\nu_{b_k}νbk​​, with the parameter fixed to zzz ("given Z=zZ = zZ=z"). Regret and risk are lower Lebesgue integrals of nonnegative gaps, valued in [0,∞][0, \infty][0,∞], so an upper bound is never satisfied by a default value of an integral. The moment conditions on the prior are lower Lebesgue integrals, so E[1/∥Z∥]=∞\mathbb E[1/\|Z\|] = \inftyE[1/∥Z∥]=∞ if the prior charges the origin.

Two printed statements are adjusted. Lemma 3.6 is printed "for any z∈Rrz \in \mathbb R^rz∈Rr", but its bound rh2/(c∥z∥)r h_2/(c\|z\|)rh2​/(c∥z∥) is undefined at z=0z = 0z=0; it is stated for z≠0z \ne 0z=0. The p. 18 cycle-sum display is likewise stated for z≠0z \ne 0z=0. In Corollary 3.3, the exploration arms are those of Assumption 1(b) with uˉ=λ0=1\bar u = \lambda_0 = 1uˉ=λ0​=1, as in its proof. Measurability of the density in Lemma 3.2(a) is added.

The source is arXiv:0812.3465v2; its printed page numbers equal the PDF page numbers. Contributions welcome: proofs of the milestones, a sub-Gaussian least squares library, and the Lipschitz analysis of best-arm maps.

Selected references

  • P. Rusmevichientong, J. N. Tsitsiklis, Linearly Parameterized Bandits, arXiv:0812.3465v2, 2010; Mathematics of Operations Research 35(2), 2010. https://arxiv.org/abs/0812.3465v2
  • V. Dani, T. P. Hayes, S. M. Kakade, Stochastic Linear Optimization under Bandit Feedback, COLT 2008. https://www.learningtheory.org/colt2008/papers/80-Dani.pdf
  • P. Auer, Using Confidence Bounds for Exploitation-Exploration Trade-offs, Journal of Machine Learning Research 3, 2002. https://www.jmlr.org/papers/v3/auer02a.html
  • E. S. Polovinkin, Strongly convex analysis, Sbornik: Mathematics 187(2), 1996. https://doi.org/10.1070/SM1996v187n02ABEH000111
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Convex OptimizationMachine LearningOptimization·Captain: mikedeng1

Robust Regression and Lasso 2: When an Absolute Norm Bounds the Column Disturbance Norms, Robust Regression Is Regression Regularized by the Dual Norm, ‖b − Ax‖ₐ + l‖x‖*ₛResearch Paper

Motivation

Robust regression guards a linear model against errors in the data matrix. The observations b∈Rnb \in \mathbb R^nb∈Rn are fitted by AxAxAx, but the features (the columns a1,…,ama_1,\dots,a_ma1​,…,am​ of AAA) are only known up to a disturbance ΔA\Delta AΔA from an uncertainty set U\mathcal UU. The robust estimator minimizes the worst-case residual,

min⁡x∈Rm max⁡ΔA∈U∥b−(A+ΔA)x∥.\min_{x \in \mathbb R^m}\ \max_{\Delta A \in \mathcal U} \|b - (A+\Delta A)x\| .x∈Rmmin​ ΔA∈Umax​∥b−(A+ΔA)x∥.

Xu, Caramanis and Mannor (arXiv:0811.1790v1; IEEE Trans. Inf. Theory 56(7), 2010) showed that when each column is perturbed independently within a Euclidean ball of radius cic_ici​, this problem is exactly the weighted ℓ1\ell_1ℓ1​-regularized problem min⁡x∥b−Ax∥2+∑ici∣xi∣\min_x \|b - Ax\|_2 + \sum_i c_i|x_i|minx​∥b−Ax∥2​+∑i​ci​∣xi​∣, an un-squared Lasso (their Theorem 1, the subject of the first mission of this series). Robustness then explains regularization: the penalty is the price of the worst disturbance.

Section III of the paper asks which regularizers arise when the disturbances of different features are coupled, that is, when a single budget limits all columns jointly. The answer it gives is that every norm-based regularizer arises this way: a norm budget on the vector of column-disturbance sizes produces the dual norm as the penalty. This links robust optimization (Ben-Tal, El Ghaoui, Nemirovski 2009) and regularized estimation, and it recovers the robust least-squares formulation of El Ghaoui and Lebret (1997) as the Euclidean special case.

Setting

Fix n≥1n \ge 1n≥1, m≥0m \ge 0m≥0, and an arbitrary norm ∥⋅∥a\|\cdot\|_a∥⋅∥a​ on Rn\mathbb R^nRn. The data are the columns a1,…,am∈Rna_1,\dots,a_m \in \mathbb R^na1​,…,am​∈Rn of AAA and the response b∈Rnb \in \mathbb R^nb∈Rn; for x∈Rmx \in \mathbb R^mx∈Rm, Ax=∑ixiaiAx = \sum_i x_i a_iAx=∑i​xi​ai​. A disturbance is ΔA=(δ1,…,δm)\Delta A = (\delta_1,\dots,\delta_m)ΔA=(δ1​,…,δm​) with δi∈Rn\delta_i \in \mathbb R^nδi​∈Rn; the perturbed matrix A+ΔAA + \Delta AA+ΔA has columns ai+δia_i + \delta_iai​+δi​. For an uncertainty set U\mathcal UU the robust objective is

RU(x)=sup⁡ΔA∈U∥b−(A+ΔA)x∥a∈[−∞,+∞].R_{\mathcal U}(x) = \sup_{\Delta A\in\mathcal U} \|b - (A+\Delta A)x\|_a \in [-\infty,+\infty].RU​(x)=ΔA∈Usup​∥b−(A+ΔA)x∥a​∈[−∞,+∞].

Three families of uncertainty sets appear.

  1. Feature-wise (Theorem 3): for budgets ci≥0c_i \ge 0ci​≥0, Ua={(δ1,…,δm):∥δi∥a≤ci}\mathcal U_a = \{(\delta_1,\dots,\delta_m) : \|\delta_i\|_a \le c_i\}Ua​={(δ1​,…,δm​):∥δi​∥a​≤ci​}.
  2. Coupled (p. 6): for functions f1,…,fk:Rm→Rf_1,\dots,f_k:\mathbb R^m\to\mathbb Rf1​,…,fk​:Rm→R, U′={(δ1,…,δm):fj(∥δ1∥a,…,∥δm∥a)≤0, j=1,…,k}\mathcal U' = \{(\delta_1,\dots,\delta_m) : f_j(\|\delta_1\|_a,\dots,\|\delta_m\|_a) \le 0,\ j=1,\dots,k\}U′={(δ1​,…,δm​):fj​(∥δ1​∥a​,…,∥δm​∥a​)≤0, j=1,…,k}, with the budget set Z={z∈Rm:fj(z)≤0 ∀j, z≥0}\mathcal Z = \{z \in \mathbb R^m : f_j(z) \le 0\ \forall j,\ z \ge 0\}Z={z∈Rm:fj​(z)≤0 ∀j, z≥0}.
  3. Norm budget (Corollary 1): for a norm ∥⋅∥s\|\cdot\|_s∥⋅∥s​ on Rm\mathbb R^mRm and l≥0l \ge 0l≥0, U′={(δ1,…,δm):∥(∥δ1∥a,…,∥δm∥a)∥s≤l}\mathcal U' = \{(\delta_1,\dots,\delta_m) : \|(\|\delta_1\|_a,\dots,\|\delta_m\|_a)\|_s \le l\}U′={(δ1​,…,δm​):∥(∥δ1​∥a​,…,∥δm​∥a​)∥s​≤l}. The dual norm is ∥y∥s∗=sup⁡{y⊤z:∥z∥s≤1}\|y\|_s^* = \sup\{y^\top z : \|z\|_s \le 1\}∥y∥s∗​=sup{y⊤z:∥z∥s​≤1}. A norm is absolute if ∥(∣z1∣,…,∣zm∣)∥s=∥z∥s\|(|z_1|,\dots,|z_m|)\|_s = \|z\|_s∥(∣z1​∣,…,∣zm​∣)∥s​=∥z∥s​ for all zzz.

A fourth, polytope set, {(δ1,…,δm):∃c≥0, Tc≤s, ∥δj∥a≤cj}\{(\delta_1,\dots,\delta_m) : \exists c \ge 0,\ Tc \le s,\ \|\delta_j\|_a \le c_j\}{(δ1​,…,δm​):∃c≥0, Tc≤s, ∥δj​∥a​≤cj​} for T∈Rk×mT \in \mathbb R^{k\times m}T∈Rk×m, s∈Rks\in\mathbb R^ks∈Rk, is the subject of Corollary 2. Write ∣x∣=(∣x1∣,…,∣xm∣)|x| = (|x_1|,\dots,|x_m|)∣x∣=(∣x1​∣,…,∣xm​∣).

Formalization targets

Goal: Corollary 1 (p. 7)

For an absolute norm ∥⋅∥s\|\cdot\|_s∥⋅∥s​ and l≥0l \ge 0l≥0, for every x∈Rmx \in \mathbb R^mx∈Rm the worst case over the norm-budget set is attained and

max⁡ΔA∈U′∥b−(A+ΔA)x∥a=∥b−Ax∥a+l ∥x∥s∗,\max_{\Delta A\in\mathcal U'} \|b-(A+\Delta A)x\|_a = \|b - Ax\|_a + l\,\|x\|_s^*,ΔA∈U′max​∥b−(A+ΔA)x∥a​=∥b−Ax∥a​+l∥x∥s∗​,

and the robust problem and min⁡x∥b−Ax∥a+l∥x∥s∗\min_x \|b-Ax\|_a + l\|x\|_s^*minx​∥b−Ax∥a​+l∥x∥s∗​ have the same minimizers.

Milestone: Theorem 3 (p. 6)

For c≥0c \ge 0c≥0 and every xxx: max⁡ΔA∈Ua∥b−(A+ΔA)x∥a=∥b−Ax∥a+∑ici∣xi∣\max_{\Delta A\in\mathcal U_a}\|b-(A+\Delta A)x\|_a = \|b-Ax\|_a + \sum_i c_i|x_i|maxΔA∈Ua​​∥b−(A+ΔA)x∥a​=∥b−Ax∥a​+∑i​ci​∣xi​∣, attained, with the same minimizers.

Milestone: Eq. (13) (proof of Theorem 4, Appendix B, p. 19)

For every xxx, in the extended reals,

sup⁡ΔA∈U′∥b−(A+ΔA)x∥a=∥b−Ax∥a+sup⁡c∈Z∣x∣⊤c.\sup_{\Delta A\in\mathcal U'} \|b-(A+\Delta A)x\|_a = \|b-Ax\|_a + \sup_{c\in\mathcal Z} |x|^\top c .ΔA∈U′sup​∥b−(A+ΔA)x∥a​=∥b−Ax∥a​+c∈Zsup​∣x∣⊤c.

Milestone: Corollary 2 (p. 7)

If some c≥0c \ge 0c≥0 has Tc≤sTc \le sTc≤s, then for every xxx the worst case over the polytope set equals ∥b−Ax∥a+inf⁡{s⊤λ:x≤T⊤λ, −x≤T⊤λ, λ≥0}\|b-Ax\|_a + \inf\{s^\top\lambda : x \le T^\top\lambda,\ -x\le T^\top\lambda,\ \lambda\ge0\}∥b−Ax∥a​+inf{s⊤λ:x≤T⊤λ, −x≤T⊤λ, λ≥0} (both sides +∞+\infty+∞ when the constraints are infeasible), the infimum is attained when feasible, and robust minimizers are exactly the xxx-parts of optimal solutions of that linear program.

The paper's general result, Theorem 4 (p. 6), expresses the coupled robust problem through a Lagrangian function v(λ,κ,x)v(\lambda,\kappa,x)v(λ,κ,x) under the assumption that Z\mathcal ZZ has nonempty relative interior. The mission does not pose it: that assumption is not Slater's condition, and the statement fails without one (an explicit counterexample with Z={0}×[0,∞)\mathcal Z = \{0\}\times[0,\infty)Z={0}×[0,∞) is recorded in the series plan). The mission poses the decomposition (13), on which Theorem 4 rests, and the two corollaries, which are true as stated under the readings below.

Significance

The result. Corollary 1 says that any norm penalty l∥x∥s∗l\|x\|_s^*l∥x∥s∗​ is the worst-case cost of column disturbances whose sizes are jointly bounded in the dual norm. Taking ∥⋅∥s=ℓ∞\|\cdot\|_s = \ell_\infty∥⋅∥s​=ℓ∞​ gives the ℓ1\ell_1ℓ1​ penalty (budget per column), ℓ1\ell_1ℓ1​ gives ℓ∞\ell_\inftyℓ∞​ (a shared budget), and both Euclidean gives the Frobenius-ball model of robust least squares. Corollary 2 shows that polytope budgets keep the problem a linear program apart from the loss, which allows modeling, for instance, corruption of an unknown subset of features. Eq. (13) is the common reduction behind these: the coupled worst case is the uncoupled one maximized over the admissible budget vectors.

Formalizing it. None of these statements has a machine-checked proof. The mission makes precise two points the paper leaves implicit: which "symmetric" norms the corollary is true for, and in what sense "max" holds when the budget set is empty or unbounded. The finished development is a self-contained library of worst-case residual identities for arbitrary norms on finite-dimensional or general normed spaces. Related platform items, credited and not reused: SPOBounds.StronglyConvex.dual_norm_ball_max (maximum of a linear functional over a norm ball, with the continuous-dual norm), and RobustLS.Unstructured.worst_case_residual_closed_form (El Ghaoui–Lebret, which perturbs [A b][A\ b][A b] in a Frobenius ball, a different set).

Difficulty

The upper bound of every identity is a triangle inequality. The content is in the matching lower bound: a disturbance must be exhibited that aligns all perturbed columns with the residual direction, and in (13) each column disturbance must have norm exactly cic_ici​, including columns with xi=0x_i = 0xi​=0, which is where n≥1n \ge 1n≥1 enters. The paper's first line of the proof of (13) rewrites U′\mathcal U'U′ as {ΔA:∃c∈Z, ∥δi∥a≤ci}\{\Delta A : \exists c \in \mathcal Z,\ \|\delta_i\|_a \le c_i\}{ΔA:∃c∈Z, ∥δi​∥a​≤ci​}; that set identity is false unless Z\mathcal ZZ is downward closed, so the obvious route through it does not work for (13) as stated. For Corollary 1 the remaining step is the identity sup⁡{∣x∣⊤c:c≥0, ∥c∥s≤l}=l∥x∥s∗\sup\{|x|^\top c : c\ge0,\ \|c\|_s\le l\} = l\|x\|_s^*sup{∣x∣⊤c:c≥0, ∥c∥s​≤l}=l∥x∥s∗​, which needs the absolute property and fails for norms that are only permutation invariant. For Corollary 2 the remaining step is linear programming duality, which Mathlib does not yet provide in this form.

Formalization scope

(Rn,∥⋅∥a)(\mathbb R^n, \|\cdot\|_a)(Rn,∥⋅∥a​) is an arbitrary real normed space EEE with Nontrivial E (the paper's implicit n≥1n\ge1n≥1); finite dimension is not imposed, a harmless generalization. Columns are a family a : Fin m → E, disturbances δ : Fin m → E, coefficients Fin m → ℝ, and Ax=∑ixi⋅aiAx = \sum_i x_i \cdot a_iAx=∑i​xi​⋅ai​. Explicit readings:

  1. The robust objective is a supremum over the uncertainty set, computed in EReal; it is never defined by its closed form. "Max" is stated as IsGreatest of the set of residual values (attained) in Theorem 3 and Corollary 1, where the maximum exists, and as an EReal supremum in (13) and Corollary 2, where it need not.
  2. "Is equivalent to" / "the resulting regularized regression problem is" means: equal objectives at every xxx and equal sets of minimizers. Existence of a minimizer is not claimed.
  3. "Symmetric norm" is read as absolute; ∥⋅∥s\|\cdot\|_s∥⋅∥s​ is a Mathlib Seminorm on Fin m → ℝ with Nz=0⇒z=0N z = 0 \Rightarrow z = 0Nz=0⇒z=0 (the type already carries the sup norm, so the notation ∥⋅∥\|\cdot\|∥⋅∥ is not used for it). The dual norm is a real sSup of {y⊤z:Nz≤1}\{y^\top z : N z \le 1\}{y⊤z:Nz≤1}, a nonempty set that is bounded above because NNN is a norm on Rm\mathbb R^mRm.
  4. l≥0l \ge 0l≥0 is added to Corollary 1, and feasibility of c≥0c\ge0c≥0, Tc≤sTc\le sTc≤s to Corollary 2; without them the sets are empty.
  5. Eq. (13) is stated for U′\mathcal U'U′ as defined on p. 6 (not through the paper's set rewriting); the convexity of the fjf_jfj​ is kept as the paper's standing assumption and is not used.

A trivializing formalization is ruled out: the robust objective is the EReal supremum (or the residual-value set) over the uncertainty set, so no identity holds by unfolding, and no real sSup junk value enters a robust objective. Welcome contributions: the explicit worst-case disturbance in an arbitrary normed space, the absolute-norm duality lemma, and a finite-dimensional LP strong duality theorem, each reusable beyond this mission.

Selected references

  • H. Xu, C. Caramanis, S. Mannor, Robust Regression and Lasso, arXiv:0811.1790v1, 2008; IEEE Transactions on Information Theory 56(7):3561–3574, 2010. https://arxiv.org/abs/0811.1790v1, https://doi.org/10.1109/TIT.2010.2048503
  • L. El Ghaoui, H. Lebret, Robust solutions to least-squares problems with uncertain data, SIAM Journal on Matrix Analysis and Applications 18(4):1035–1064, 1997. https://doi.org/10.1137/S0895479896298130
  • A. Ben-Tal, L. El Ghaoui, A. Nemirovski, Robust Optimization, Princeton University Press, 2009. https://doi.org/10.1515/9781400831050
  • R. Tibshirani, Regression shrinkage and selection via the lasso, Journal of the Royal Statistical Society B 58(1):267–288, 1996. https://doi.org/10.1111/j.2517-6161.1996.tb02080.x
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Operations ResearchOptimization·Captain: mikedeng1

Reliable Facility Location Design Under the Risk of Disruptions 4: The Fixed-Probability Reformulation (RRSP) Lower-Bounds the Relaxed SubproblemResearch Paper

Motivation

Facility networks fail: plants close after floods, distribution centres lose power, suppliers go bankrupt. The reliable uncapacitated facility location problem (RUFL) of Cui, Ouyang and Shen (UCTC-FR-2010-02, February 2010; published as Operations Research 58(4), 2010, doi:10.1287/opre.1090.0801) chooses which facilities to open and, for every customer, an ordered list of backup facilities, so as to minimize fixed cost plus expected transportation and penalty cost when facilities fail independently with site-dependent probabilities. It extends the uniform-probability model of Snyder and Daskin (Transportation Science, 2005).

RUFL is solved by Lagrangian relaxation in the sense of Fisher (Management Science, 1981): dualizing the constraints that link assignments to open facilities splits the problem into one relaxed subproblem (RSPi_ii​) per customer. Every evaluation of the Lagrangian dual solves all III subproblems, and (RSPi_ii​) is itself a hard combinatorial problem, because the probability that a backup facility is used depends on which facilities sit above it. The paper therefore replaces (RSPi_ii​) by a fixed-probability reformulation (RRSPi_ii​), an assignment problem, and Proposition 4 asserts that its optimal value is a valid lower bound. A Lagrangian bound computed from (RRSPi_ii​) is a valid bound on RUFL only if this holds.

Setting

Fix one customer iii and drop the index iii from the variables. The data are: the demand rate λi≥0\lambda_i \ge 0λi​≥0; regular facilities j=0,…,J−1j = 0, \dots, J-1j=0,…,J−1 with unit costs dijd_{ij}dij​ and failure probabilities 0≤qj<10 \le q_j < 10≤qj​<1; an emergency facility JJJ with diJ=φid_{iJ} = \varphi_idiJ​=φi​ (the penalty per unit of unserved demand) and qJ=0q_J = 0qJ​=0; multipliers μij\mu_{ij}μij​; and levels r=0,…,Rr = 0, \dots, Rr=0,…,R with R≥1R \ge 1R≥1.

A level assignment is a binary array YjrY_{jr}Yjr​ (Yjr=1Y_{jr} = 1Yjr​=1: facility jjj serves at level rrr) such that the customer has distinct regular facilities at levels 0,…,s−10, \dots, s-10,…,s−1, the emergency facility at a level s≤Rs \le Rs≤R, and nothing after it. In the paper's constraints:

∑j=0JYjr+∑s<rYJs=1 (∀r),∑r<RYjr≤1 (j<J),∑r≤RYJr=1.\sum_{j=0}^{J} Y_{jr} + \sum_{s<r} Y_{Js} = 1 \ (\forall r),\qquad \sum_{r<R} Y_{jr} \le 1 \ (j<J),\qquad \sum_{r\le R} Y_{Jr} = 1 .j=0∑J​Yjr​+s<r∑​YJs​=1 (∀r),r<R∑​Yjr​≤1 (j<J),r≤R∑​YJr​=1.

The level-rrr facility serves exactly when all facilities at the levels above it have failed. The transitional probabilities are Pj0=1−qjP_{j0} = 1 - q_jPj0​=1−qj​ and Pjr=(1−qj)∑k<Jqk1−qkWk,r−1P_{jr} = (1-q_j)\sum_{k<J} \frac{q_k}{1-q_k} W_{k,r-1}Pjr​=(1−qj​)∑k<J​1−qk​qk​​Wk,r−1​, with Wjr=PjrYjrW_{jr} = P_{jr} Y_{jr}Wjr​=Pjr​Yjr​ imposed through linear constraints. The relaxed subproblem is

(RSPi)min⁡ ∑j≤J∑r≤RλidijWjr+∑j<J∑r<RμijYjr.\text{(RSP}_i)\qquad \min\ \sum_{j\le J}\sum_{r\le R} \lambda_i d_{ij} W_{jr} + \sum_{j<J}\sum_{r<R} \mu_{ij} Y_{jr}.(RSPi​)min j≤J∑​r≤R∑​λi​dij​Wjr​+j<J∑​r<R∑​μij​Yjr​.

Order the regular facilities by reliability, qj0≤qj1≤⋯≤qjJ−1q_{j_0} \le q_{j_1} \le \dots \le q_{j_{J-1}}qj0​​≤qj1​​≤⋯≤qjJ−1​​, and set βr=∏ℓ<rqjℓ\beta_r = \prod_{\ell<r} q_{j_\ell}βr​=∏ℓ<r​qjℓ​​ and αr=(1−qjr)βr\alpha_r = (1 - q_{j_r})\beta_rαr​=(1−qjr​​)βr​. The reformulation freezes the probabilities at these values:

(RRSPi)min⁡ ∑j<J∑r<R(λidijαr+μij)Yjr+∑r≤RλidiJβrYJr\text{(RRSP}_i)\qquad \min\ \sum_{j<J}\sum_{r<R} (\lambda_i d_{ij}\alpha_r + \mu_{ij}) Y_{jr} + \sum_{r\le R} \lambda_i d_{iJ}\beta_r Y_{Jr}(RRSPi​)min j<J∑​r<R∑​(λi​dij​αr​+μij​)Yjr​+r≤R∑​λi​diJ​βr​YJr​

over the same level assignments.

The proof works through a split formulation: YYY chooses whose distance is paid at each level, a second level assignment ZZZ chooses whose failure probability is used, and the cost is G=∑rλidi,y(r)Pz(r),r+∑μi,y(r)G = \sum_r \lambda_i d_{i,y(r)} P_{z(r),r} + \sum \mu_{i,y(r)}G=∑r​λi​di,y(r)​Pz(r),r​+∑μi,y(r)​. Imposing Y=ZY = ZY=Z gives back (RSPi_ii​).

Formalization targets

Goal: Proposition 4

With λi≥0\lambda_i \ge 0λi​≥0, 0≤qj<10 \le q_j < 10≤qj​<1, μij≥0\mu_{ij} \ge 0μij​≥0, R≥1R \ge 1R≥1 and any reliability ordering: for every (RSPi_ii​)-feasible (Y,P,W)(Y, P, W)(Y,P,W) there is an (RRSPi_ii​)-feasible Y′Y'Y′ with

objRRSP(Y′)≤objRSP(Y,W),that is,min⁡(RRSPi)≤min⁡(RSPi).\mathrm{obj}_{\text{RRSP}}(Y') \le \mathrm{obj}_{\text{RSP}}(Y, W), \qquad\text{that is,}\qquad \min(\text{RRSP}_i) \le \min(\text{RSP}_i).objRRSP​(Y′)≤objRSP​(Y,W),that is,min(RRSPi​)≤min(RSPi​).

Milestones, in proof order

  1. Swap identity (A.4, p. 39). Exchanging the probability facilities jjj, kkk of two consecutive levels rrr, r+1r+1r+1 while keeping YYY changes the cost by qj−qk1−qjλiPjr(diu−div)\frac{q_j - q_k}{1 - q_j}\lambda_i P_{jr}(d_{iu} - d_{iv})1−qj​qj​−qk​​λi​Pjr​(diu​−div​).
  2. Lemma 1 (p. 38). The split formulation has an optimal solution whose probability facilities are ordered by qqq on the regular levels.
  3. Relaxation (A.4, p. 39). Every (RSPi_ii​)-feasible point gives a split-feasible point with Z=YZ = YZ=Y and the same cost.

Significance

The result. Proposition 4 makes (RRSPi_ii​) usable as a lower-bounding oracle. (RRSPi_ii​) is an assignment problem with J+1J+1J+1 rows and R+1R+1R+1 levels, so it can be solved in strongly polynomial time by the Hungarian method (Kuhn, 1955). The exact subproblem algorithm of §3.3.1 needs branch and bound over subsets. With the bound, every subgradient iteration of the paper's Lagrangian scheme still yields a valid lower bound on RUFL, which is what the gap-closing branch and bound relies on.

Formalizing it. The proposition has a printed proof, but the proof is incomplete (see below), and to our knowledge no machine-checked version exists. A formal proof certifies the bound, settles which hypotheses it needs, and gives a reusable model of multi-level backup assignment with transitional probabilities.

Difficulty

The obvious argument says that αr\alpha_rαr​ is the largest probability any facility can have of serving at level rrr, so freezing the probabilities at αr\alpha_rαr​ can only lower the cost. That is false as stated: transport costs dijd_{ij}dij​ and the penalty φi\varphi_iφi​ may be negative, and a larger serving probability then means a higher cost. What is needed is a comparison of the whole cost profile, not level by level.

The paper's route is the split formulation. Lemma 1 shows that the probability facilities of some optimal split solution can be taken in increasing order of qqq. The proof then ends with "without loss of generality, we can fix Z=Z∗Z = Z^*Z=Z∗ and P=P∗P = P^*P=P∗ … which leads to the (RRSP) formulation". This step has a gap. Lemma 1 only says that Z∗Z^*Z∗ is ordered. Turning its probabilities into αr\alpha_rαr​, βr\beta_rβr​ also needs Z∗Z^*Z∗ to use the facilities j0,j1,…j_0, j_1, \dotsj0​,j1​,… with the globally smallest failure probabilities, and the paper never shows this. A complete proof has to replace Z∗Z^*Z∗'s facilities by the most reliable ones and show that the cost does not increase. That replacement raises every cumulative service probability 1−∏ℓ≤rq1 - \prod_{\ell\le r} q1−∏ℓ≤r​q, so the comparison is a rearrangement argument over the ordered distances. Lemma 1 alone does not close the proposition.

The sign of the multipliers matters. With μij\mu_{ij}μij​ of mixed sign the proposition is false, for instance with J=2J = 2J=2, R=1R = 1R=1, d=(3.09,4.73)d = (3.09, 4.73)d=(3.09,4.73), q=(0.62,0.86)q = (0.62, 0.86)q=(0.62,0.86), φi=−0.93\varphi_i = -0.93φi​=−0.93, μ=(2.18,−2.99)\mu = (2.18, -2.99)μ=(2.18,−2.99), λi=2.3\lambda_i = 2.3λi​=2.3. There min⁡(RSPi)=−3.306\min(\text{RSP}_i) = -3.306min(RSPi​)=−3.306 while min⁡(RRSPi)=−2.139\min(\text{RRSP}_i) = -2.139min(RRSPi​)=−2.139. Lemma 1, by contrast, holds for multipliers of either sign.

Formalization scope

Facilities are Fin (J+1) with Fin.last J the emergency facility, levels are Fin (R+1), and every variable is a real array, with YYY constrained to {0,1}\{0,1\}{0,1}. The customer index is dropped. The ordering jℓj_\elljℓ​ is a bijection σ\sigmaσ of Fin J with q∘σq \circ \sigmaq∘σ monotone, and the goal quantifies over every such σ\sigmaσ. "Lower bound" is stated as for-all/exists, so no infimum of a possibly empty set is taken; both feasible sets are finite and contain the emergency-only assignment.

Conventions fixed in Lean, each recorded in the docstrings:

  • The level constraints (4b), (7b), (19c) sum over all facilities j=0,…,Jj = 0, \dots, Jj=0,…,J. The printed upper limit J−1J-1J−1 is a typo: with it, a regular facility would have to share the emergency facility's level.
  • αr=0\alpha_r = 0αr​=0 for r≥Jr \ge Jr≥J, and βr\beta_rβr​ for r>Jr > Jr>J is the product of all qjq_jqj​. These values are never multiplied by a nonzero assignment, and R≤JR \le JR≤J is not assumed.
  • The split cost is the GGG used in the proof of Lemma 1, not the printed (19a), which would charge the ZZZ-facility's distance. YYY and ZZZ must put the emergency facility at the same level.
  • μij≥0\mu_{ij} \ge 0μij​≥0 is a hypothesis of the goal only. λi≥0\lambda_i \ge 0λi​≥0, 0≤qj<10 \le q_j < 10≤qj​<1 and R≥1R \ge 1R≥1 are the paper's standing assumptions. No sign is assumed on dijd_{ij}dij​ or φi\varphi_iφi​.

The statements are not trivial. A sanity-check file exhibits a two-facility instance satisfying every hypothesis, together with feasible points of all three formulations.

A complete development needs finite sums and products over Fin, the explicit form of PPP along a level assignment (a product of failure probabilities), and a rearrangement inequality for ordered sequences. All three are reusable for the other missions of this series and for reliability models in general. Contributions are welcome on the milestones, on a corrected proof of the final step, and on lemmas such as "the transitional probabilities of a level assignment are products of the qqq's".

Selected references

  • L. Cui, Y. Ouyang, Z.-J. M. Shen, Reliable Facility Location Design under the Risk of Disruptions, UCTC-FR-2010-02, University of California Transportation Center, February 2010; published in Operations Research 58(4):998–1011, 2010. https://doi.org/10.1287/opre.1090.0801
  • L. V. Snyder, M. S. Daskin, Reliability Models for Facility Location: The Expected Failure Cost Case, Transportation Science 39(3):400–416, 2005. https://doi.org/10.1287/trsc.1040.0107
  • M. L. Fisher, The Lagrangian Relaxation Method for Solving Integer Programming Problems, Management Science 27(1):1–18, 1981. https://doi.org/10.1287/mnsc.27.1.1
  • H. W. Kuhn, The Hungarian Method for the Assignment Problem, Naval Research Logistics Quarterly 2(1–2):83–97, 1955. https://doi.org/10.1002/nav.3800020109
  • H. D. Sherali, A. Alameddine, A New Reformulation-Linearization Technique for Bilinear Programming Problems, Journal of Global Optimization 2:379–410, 1992. https://doi.org/10.1007/BF00122429
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