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Algorithmic Game TheoryOperations ResearchProbability·Captain: mikedeng1

Posted Price Mechanisms and Optimal Threshold Strategies for Random Arrivals II: For I.I.D. Variables, Adaptive Thresholds Achieve E[max Xᵢ] ≤ β*·E[X_t] with β* ≈ 1.341Research Paper

Motivation

A prophet inequality compares a gambler who sees nonnegative random rewards X1,…,XnX_1,\ldots,X_nX1​,…,Xn​ one at a time, and must accept or reject each on arrival, with a prophet who knows all values in advance and simply takes max⁡iXi\max_i X_imaxi​Xi​. For independent and identically distributed (i.i.d.) rewards the question is the best constant β\betaβ such that some online rule always earns at least E(max⁡iXi)/βE(\max_i X_i)/\betaE(maxi​Xi​)/β. The question matters in operations research and mechanism design because a seller who posts take-it-or-leave-it prices to arriving customers faces exactly this stopping problem on the customers' virtual values; prophet inequalities translate into revenue guarantees for posted price mechanisms relative to Myerson's optimal auction (Chawla, Hartline, Malec and Sivan 2010).

Timeline (as recounted in §1 of the paper):

  • Hill and Kertz (1982) characterized, through a recursion, the smallest constants ana_nan​ with E(max⁡iXi)≤ansup⁡tE(Xt)E(\max_iX_i)\le a_n\sup_tE(X_t)E(maxi​Xi​)≤an​supt​E(Xt​) for nnn i.i.d. nonnegative variables, showed 1.1<an<1.61.1<a_n<1.61.1<an​<1.6, gave instances where ana_nan​ cannot be beaten, and conjectured that (an)(a_n)(an​) is monotone; the computation of its limit was left open.
  • Kertz (1986) proved an→β∗≈1.341a_n\to\beta^*\approx1.341an​→β∗≈1.341, the solution of the integral equation (2) below, and conjectured that β∗\beta^*β∗ bounds every ana_nan​; the best uniform bound then known was an≤e/(e−1)≈1.582a_n\le e/(e-1)\approx1.582an​≤e/(e−1)≈1.582.
  • Abolhassani et al. (2017) improved the uniform bound to 1/0.738≈1.3551/0.738\approx1.3551/0.738≈1.355.
  • Correa, Foncea, Hoeksma, Oosterwijk and Vredeveld (EC 2017; Math. Oper. Res. 2021) proved E(max⁡iXi)≤β∗E(Xt)E(\max_iX_i)\le\beta^*E(X_t)E(maxi​Xi​)≤β∗E(Xt​) for a threshold rule ttt, so an≤β∗a_n\le\beta^*an​≤β∗ for all nnn and 1/β∗≈0.7451/\beta^*\approx0.7451/β∗≈0.745 is the tight i.i.d. guarantee.

Setting

Let X1,…,XnX_1,\ldots,X_nX1​,…,Xn​ be i.i.d. nonnegative random variables with distribution function FFF. A threshold rule fixes real numbers τ1,…,τn\tau_1,\ldots,\tau_nτ1​,…,τn​ and stops at

t=min⁡{i∈{1,…,n}:Xi≥τi},t=\min\{i\in\{1,\ldots,n\}: X_i\ge\tau_i\},t=min{i∈{1,…,n}:Xi​≥τi​},

receiving XtX_tXt​. Because the thresholds may change with the step iii, the rule is adaptive; for i.i.d. variables the number of variables already seen is all the history the rule needs.

The analysis works with quantiles. The generalized inverse is F−1(q)=inf⁡{x≥0:F(x)≥q}F^{-1}(q)=\inf\{x\ge0: F(x)\ge q\}F−1(q)=inf{x≥0:F(x)≥q}, and τ(q)=F−1(1−q)\tau(q)=F^{-1}(1-q)τ(q)=F−1(1−q) is the threshold that accepts with probability qqq (with a coin toss to break ties at an atom). The function

R(q)=∫0qF−1(1−θ) dθR(q)=\int_0^qF^{-1}(1-\theta)\,d\thetaR(q)=∫0q​F−1(1−θ)dθ

is the expected reward from a variable accepted with probability qqq. The quantile stopping rule of Algorithm 2 partitions [0,1][0,1][0,1] into intervals Ai=[εi−1,εi]A_i=[\varepsilon_{i-1},\varepsilon_i]Ai​=[εi−1​,εi​], draws an acceptance probability qi∈Aiq_i\in A_iqi​∈Ai​ with density proportional to ψ(q)=(n−1)(1−q)n−2\psi(q)=(n-1)(1-q)^{n-2}ψ(q)=(n−1)(1−q)n−2, and stops at step iii with probability qiq_iqi​; its value is E(Xr)E(X_r)E(Xr​). The analysis then passes through the normalizations γi=∫Aiψ\gamma_i=\int_{A_i}\psiγi​=∫Ai​​ψ and ρi\rho_iρi​, the recursion (8)–(9) on xi=1−εix_i=1-\varepsilon_ixi​=1−εi​, and the differential equation

y′(t)=y(t)(ln⁡y(t)−1)−(β−1),y(0)=1.(ODE)y'(t)=y(t)\big(\ln y(t)-1\big)-(\beta-1),\qquad y(0)=1.\qquad\text{(ODE)}y′(t)=y(t)(lny(t)−1)−(β−1),y(0)=1.(ODE)

Formalization targets

Goal: Theorem 2

Let β∗>1\beta^*>1β∗>1 be the unique solution of

∫01dyy(1−ln⁡y)+(β−1)=1.(2)\int_0^1\frac{dy}{y(1-\ln y)+(\beta-1)}=1.\qquad(2)∫01​y(1−lny)+(β−1)dy​=1.(2)

For every n≥1n\ge1n≥1 and every law of nonnegative i.i.d. X1,…,XnX_1,\ldots,X_nX1​,…,Xn​ there are thresholds τ1,…,τn\tau_1,\ldots,\tau_nτ1​,…,τn​ with

E(max⁡{X1,…,Xn})≤β∗E(Xt).E(\max\{X_1,\ldots,X_n\})\le\beta^*E(X_t).E(max{X1​,…,Xn​})≤β∗E(Xt​).

Milestones

In order: the quantile sandwich P(X≥τ(q))≥q≥P(X>τ(q))P(X\ge\tau(q))\ge q\ge P(X>\tau(q))P(X≥τ(q))≥q≥P(X>τ(q)); the representation (7) E(max⁡iXi)=n∫01ψ(q)R(q) dqE(\max_iX_i)=n\int_0^1\psi(q)R(q)\,dqE(maxi​Xi​)=n∫01​ψ(q)R(q)dq; the identity "expected reward of the quantile rule at qqq equals R(q)R(q)R(q)"; Lemma 4 (E(Xr)=∑iρi∫AiψRE(X_r)=\sum_i\rho_i\int_{A_i}\psi RE(Xr​)=∑i​ρi​∫Ai​​ψR); Lemma 5 (E(max⁡iXi)=nγ1E(Xr)E(\max_iX_i)=n\gamma_1E(X_r)E(maxi​Xi​)=nγ1​E(Xr​) when all ρi\rho_iρi​ agree); the equivalence of equal ρi\rho_iρi​ with the recursion (8) and γ1=1−x1n−1\gamma_1=1-x_1^{n-1}γ1​=1−x1n−1​; the closed form (9)–(10); Lemma 6 on (ODE); Proposition D.1; Lemma 7 (xin−1<y(i/n)x_i^{n-1}<y(i/n)xin−1​<y(i/n)); uniqueness of β∗\beta^*β∗ in (2); optimality of the dynamic-programming thresholds; domination of the randomized rule by them; and n(1−x1n−1)≤β∗n(1-x_1^{n-1})\le\beta^*n(1−x1n−1​)≤β∗.

A companion statement records the numerical guarantee 1/β∗>0.7451/\beta^*>0.7451/β∗>0.745.

Significance

The result. Theorem 2 gives the optimal constant of the i.i.d. prophet inequality and, through an=n(1−x1n−1)a_n=n(1-x_1^{n-1})an​=n(1−x1n−1​), shows an≤β∗a_n\le\beta^*an​≤β∗ for every nnn, which settles the problem posed by Hill and Kertz in 1982. Since an→β∗a_n\to\beta^*an​→β∗ (Kertz 1986), no rule of any kind achieves a better constant uniformly in nnn. Through the virtual-value connection it implies that, for customers with i.i.d. valuations, an adaptive posted price mechanism earns at least a 1/β∗>0.7451/\beta^*>0.7451/β∗>0.745 fraction of the optimal auction's revenue (Corollary 2 of the paper).

Formalizing it. The theorem is proved on paper; no machine-checked proof of it or of any of its lemmas is known. The proof combines a measure-theoretic part (quantile functions, randomized tie-breaking at atoms, Tonelli and integration by parts), a combinatorial recursion, and real analysis of an autonomous ODE with a third-derivative Taylor argument. Formal versions of these parts are reusable: the quantile representation of E(max⁡iXi)E(\max_iX_i)E(maxi​Xi​), the expected reward of a quantile rule, and the optimality of dynamic-programming thresholds are standard tools across prophet inequalities and optimal stopping.

Difficulty

The obvious attempt, computing the optimal dynamic-programming thresholds and bounding their value against E(max⁡iXi)E(\max_iX_i)E(maxi​Xi​), does not lead to a closed-form constant: the optimal values satisfy a nonlinear recursion that depends on the whole distribution. The paper avoids it by analysing a randomized rule whose value is exactly a ψ\psiψ-weighted average of RRR, which reduces the problem to a distribution-free recursion. Two steps then carry the weight. First, randomizing correctly at atoms of FFF so that every step accepts with probability exactly qqq; without this, R(q)R(q)R(q) is not the step reward. Second, comparing the discrete recursion (9) with the continuous (ODE): the comparison needs strict convexity and y′′′>0y'''>0y′′′>0, and the latter holds only because β>1.25\beta>1.25β>1.25, a standing assumption validated at β∗\beta^*β∗ at the end. The existence of the partition with all ρi\rho_iρi​ equal (a solution of (8) with x0=1x_0=1x0​=1, xn=0x_n=0xn​=0, xi∈(0,1)x_i\in(0,1)xi​∈(0,1)) is taken from Hill and Kertz and is not proved in the paper.

Formalization scope

Lean conventions:

  • The common law is a probability measure μ\muμ on R\mathbb RR with μ((−∞,0))=0\mu((-\infty,0))=0μ((−∞,0))=0; the sample is the coordinate vector of SamuelCahnProphet.IID.iidLaw μ n (the published i.i.d. setting), and E(max⁡iXi)E(\max_iX_i)E(maxi​Xi​) is its Emax. Coordinates are 0-based; the partition εi\varepsilon_iεi​, γi\gamma_iγi​, ρi\rho_iρi​ and the recursion keep the paper's 1-based index.
  • All expectations of the random variables, R(q)R(q)R(q) and E(Xr)E(X_r)E(Xr​) are lower Lebesgue integrals in [0,∞][0,\infty][0,∞]; no integrability is assumed in the goal, so infinite means are covered. Only bounded deterministic integrals (γi\gamma_iγi​, ρi\rho_iρi​, (2)) are interval integrals.
  • XtX_tXt​ is 000 when no XiX_iXi​ reaches its threshold (the page leaves it undefined; 000 is the least favourable choice).
  • The quantile rule's coin at an atom is an independent uniform variable on [0,1][0,1][0,1]; acceptance probabilities are drawn independently with density ψ/γi\psi/\gamma_iψ/γi​ on AiA_iAi​.
  • β∗\beta^*β∗ enters through (2) and β∗>1\beta^*>1β∗>1, not through a choice function; uniqueness is a milestone.
  • Statements involving ψ\psiψ, γi\gamma_iγi​, ρi\rho_iρi​ or the recursion assume n≥2n\ge2n≥2 (for n=1n=1n=1, ψ≡0\psi\equiv0ψ≡0). Lemmas 6 and 7 carry §4's standing assumption β>1.25\beta>1.25β>1.25; Proposition D.1 carries β>1.25\beta>1.25β>1.25. Lemma 6 does not assert existence of a solution of (ODE) on [0,1][0,1][0,1], which fails for β>β∗\beta>\beta^*β>β∗.
  • The dynamic-programming milestones assume EX<∞E X<\inftyEX<∞ and use the optimal-stopping recurrence Vi=E[max⁡(X,Vi+1)]V_i=E[\max(X,V_{i+1})]Vi​=E[max(X,Vi+1​)]; the page prints Vi=E(X∣X≥τi)V_i=E(X\mid X\ge\tau_i)Vi​=E(X∣X≥τi​), which is a slip.
  • The page's "β∗≈1.341>1/0.745\beta^*\approx1.341>1/0.745β∗≈1.341>1/0.745" has its inequality reversed and is not formalized.

A degenerate β\betaβ cannot trivialize the goal: β\betaβ is pinned by (2) and β>1\beta>1β>1, and the goal is stated for every n≥1n\ge1n≥1 and every nonnegative law, including laws with infinite mean.

A complete development needs the quantile function of a law on R\mathbb RR, Tonelli's theorem on product measures, uniqueness for ODEs with locally Lipschitz right-hand side (ODE_solution_unique), and Taylor's theorem; the existence of the Hill–Kertz partition is a further proof obligation. Contributions to any milestone, and reusable lemmas on quantile functions and finite-horizon optimal stopping, are welcome.

Selected references

  • J. Correa, P. Foncea, R. Hoeksma, T. Oosterwijk, T. Vredeveld, Posted price mechanisms and optimal threshold strategies for random arrivals, Mathematics of Operations Research 46(4):1452–1478, 2021. https://doi.org/10.1287/moor.2020.1105
  • T. P. Hill, R. P. Kertz, Comparisons of stop rule and supremum expectations of i.i.d. random variables, Annals of Probability 10(2):336–345, 1982. https://doi.org/10.1214/aop/1176993861
  • R. P. Kertz, Stop rule and supremum expectations of i.i.d. random variables: a complete comparison by conjugate duality, Journal of Multivariate Analysis 19(1):88–112, 1986. https://doi.org/10.1016/0047-259X(86)90095-3
  • M. Abolhassani, S. Ehsani, H. Esfandiari, M. T. HajiAghayi, R. Kleinberg, B. Lucier, Beating 1−1/e for ordered prophets, Proc. 49th ACM STOC, 61–71, 2017. https://doi.org/10.1145/3055399.3055479
  • S. Chawla, J. D. Hartline, D. L. Malec, B. Sivan, Multi-parameter mechanism design and sequential posted pricing, Proc. 42nd ACM STOC, 311–320, 2010. https://doi.org/10.1145/1806689.1806733
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Harmonic AnalysisNumerical AnalysisQuantum Information·Captain: mikedeng1

Quantum Algorithm for Systems of Linear Equations with Exponentially Improved Dependence on Precision II: A Discretized Gaussian Fourier Double Sum Is ε-Close to 1/x on [−1, −1/κ] ∪ [1/κ, 1]Research Paper

Motivation

A quantum algorithm for a system of linear equations must turn operations it can implement into an approximation of the inverse of the system matrix. For a Hermitian matrix, time evolution e−iAte^{-iAt}e−iAt is such an operation. Childs, Kothari and Somma use a Fourier expansion of the scalar reciprocal 1/x1/x1/x to express an approximation to A−1A^{-1}A−1 as a finite linear combination of these evolutions. Their paper reports an exponential improvement in the dependence on the requested precision over earlier linear-systems methods. The scalar approximation in Lemma 11 is the mathematical input to their Fourier algorithm and to the query and gate analyses in Theorem 3. This mission isolates that approximation and the Gaussian estimates stated around it. Theorem 3's complexity claims themselves are outside the present formalization. Childs, Kothari and Somma, §3, pp. 10–14.

Setting

Fix a condition number κ≥1\kappa\ge1κ≥1. The scalar spectral domain is

Dκ=[−1,−1/κ]∪[1/κ,1].D_\kappa=[-1,-1/\kappa]\cup[1/\kappa,1].Dκ​=[−1,−1/κ]∪[1/κ,1].

It contains the real eigenvalues permitted after the paper's normalization and excludes zero, where the reciprocal is undefined. For an accuracy ε>0\varepsilon>0ε>0, two functions are ε\varepsilonε-close on DκD_\kappaDκ​ when their difference has magnitude at most ε\varepsilonε at every point of that domain. A complex-valued approximant is compared with 1/x1/x1/x as a complex number. The paper gives this domain and closeness convention before the Fourier construction. Childs, Kothari and Somma, pp. 9–10.

The intermediate function gyJ,zK(x)g_{y_J,z_K}(x)gyJ​,zK​​(x) is a truncated Gaussian Fourier integral. It integrates ze−z2/2e−ixyzz e^{-z^2/2}e^{-ixyz}ze−z2/2e−ixyz over −zK≤z≤zK-z_K\le z\le z_K−zK​≤z≤zK​ and then over 0≤y≤yJ0\le y\le y_J0≤y≤yJ​, multiplying by i/2πi/\sqrt{2\pi}i/2π​. The finite approximant hJ,K,Δy,Δz(x)h_{J,K,\Delta_y,\Delta_z}(x)hJ,K,Δy​,Δz​​(x) is a Gaussian Fourier double sum with the same normalization and phase. Its samples are yj=jΔyy_j=j\Delta_yyj​=jΔy​ for j=0,…,J−1j=0,\ldots,J-1j=0,…,J−1 and zk=kΔzz_k=k\Delta_zzk​=kΔz​ for k=−K,…,Kk=-K,\ldots,Kk=−K,…,K; each term carries both mesh widths. Thus J,KJ,KJ,K count the retained samples, while Δy,Δz\Delta_y,\Delta_zΔy​,Δz​ control their spacing. The sign in the phase and the factor iii are part of the definitions. Childs, Kothari and Somma, (18), p. 10, and (21), p. 11.

Formalization targets

Truncation

Lemma 12 says that for cutoffs of scale

yJ=Θ ⁣(κlog⁡(κ/ε)),zK=Θ ⁣(log⁡(κ/ε)),y_J=\Theta\!\bigl(\kappa\sqrt{\log(\kappa/\varepsilon)}\bigr), \qquad z_K=\Theta\!\bigl(\sqrt{\log(\kappa/\varepsilon)}\bigr),yJ​=Θ(κlog(κ/ε)​),zK​=Θ(log(κ/ε)​),

the function gyJ,zKg_{y_J,z_K}gyJ​,zK​​ is ε\varepsilonε-close to 1/x1/x1/x on DκD_\kappaDκ​. The proposal includes the paper's explicit error bound (27) and its Gaussian tail bound (28), as well as the Gaussian Poisson-summation identity of Lemma 13. These are separate reusable targets, not replacements for the approximation theorem. Childs, Kothari and Somma, Lemmas 12–13 and (27)–(28), pp. 11–12.

Finite Fourier sum

The goal is Lemma 11:

∣hJ,K,Δy,Δz(x)−1x∣≤εfor every x∈Dκ,\left|h_{J,K,\Delta_y,\Delta_z}(x)-\frac1x\right|\le\varepsilon \quad\text{for every }x\in D_\kappa,​hJ,K,Δy​,Δz​​(x)−x1​​≤εfor every x∈Dκ​,

where

J=Θ ⁣(κεlog⁡κε),K=Θ ⁣(κlog⁡κε),Δy=Θ ⁣(εlog⁡(κ/ε)),Δz=Θ ⁣(1κlog⁡(κ/ε)).J=\Theta\!\left(\frac\kappa\varepsilon\log\frac\kappa\varepsilon\right),\quad K=\Theta\!\left(\kappa\log\frac\kappa\varepsilon\right),\quad \Delta_y=\Theta\!\left(\frac\varepsilon{\sqrt{\log(\kappa/\varepsilon)}}\right),\quad \Delta_z=\Theta\!\left(\frac1{\kappa\sqrt{\log(\kappa/\varepsilon)}}\right).J=Θ(εκ​logεκ​),K=Θ(κlogεκ​),Δy​=Θ(log(κ/ε)​ε​),Δz​=Θ(κlog(κ/ε)​1​).

The Θ\ThetaΘ statements impose upper and lower bounds with absolute constants, uniformly across κ\kappaκ and ε\varepsilonε. The requested approximation error is exactly ε\varepsilonε, matching the lemma's claim. The four scales specify both the size of the finite expansion and its mesh. Childs, Kothari and Somma, Lemma 11, p. 10.

Significance

The finite sum provides the paper's Fourier route from scalar reciprocal approximation to a linear combination of time-evolution operators. Its sample counts and spacings are the quantities that enter the algorithm's implementation costs. A result that only asserted approximation after arbitrarily many samples would not express the bound used there. The truncated integral and Poisson identity also remain useful for other Gaussian quadrature and Fourier-sampling arguments. Childs, Kothari and Somma, §§3.1–3.2, pp. 11–14.

The paper proves these claims on paper. This proposal asks for machine-checked Lean proofs of the scalar statements, including the complex normalization, the finite and infinite sum conventions, and the uniform scale bounds. It does not assert that the quantum algorithm, its Hamiltonian simulation subroutines, or its query and gate complexity theorems have been formalized.

Difficulty

The infinite Gaussian Fourier representation alone does not specify a finite implementable expansion. Restricting both integrals introduces two truncation errors, while replacing them by samples adds discretization and periodic-aliasing effects. These errors have to be controlled simultaneously with JJJ, KKK, Δy\Delta_yΔy​, and Δz\Delta_zΔz​ at the scales stated in Lemma 11. Merely taking the mesh arbitrarily fine gives approximation without the theorem's finite-size bounds. The proof also uses a complex Fourier phase although its target is real, and its infinite sums must have their ordinary convergent meaning. Childs, Kothari and Somma, proof of Lemma 11, pp. 13–14.

Formalization scope

The Lean development uses R\mathbb RR for x,κ,εx,\kappa,\varepsilonx,κ,ε and the cutoff and mesh parameters, C\mathbb CC for ggg and hhh, and the complex norm for closeness. Finite sums use exactly 0≤j<J0\le j<J0≤j<J and −K≤k≤K-K\le k\le K−K≤k≤K; the integral for ggg is iterated and has nonnegative upper cutoffs. The optional identity (20) is also an iterated integral, with the zzz integral evaluated before the yyy integral. Infinite sums in Lemma 13 are over Z\mathbb ZZ. The Gaussian integrals and series in the statements are convergent, so Lean's totalized integral and sum conventions do not supply artificial zero values.

The paper's condition-number convention is recorded as κ≥1\kappa\ge1κ≥1 and Corollary 10's operating range as 0<ε<1/20<\varepsilon<1/20<ε<1/2. Those conditions keep DκD_\kappaDκ​ nonempty and log⁡(κ/ε)\log(\kappa/\varepsilon)log(κ/ε) positive. The unnumbered reciprocal-exponential bound from p. 13 has x≠0x\ne0x=0 explicitly, because the printed fractions have no value at zero. The Θ\ThetaΘ bounds quantify their constants before the problem parameters. In particular, choices with unbounded sample counts or vanishing mesh widths cannot satisfy the goal solely by brute-force approximation.

A complete development needs reusable Gaussian integration and tail estimates, complex exponential identities, summability of Gaussian integer series, and Poisson summation in Mathlib's analytic setting. Contributions that establish these general facts, the stated milestones, or Lemma 11 with its original bounds all fit this scope. This mission uses the reviewed shared definition of DκD_\kappaDκ​. Childs, Kothari and Somma, pp. 9–14.

Selected references

  • A. M. Childs, R. Kothari and R. D. Somma, Quantum algorithm for systems of linear equations with exponentially improved dependence on precision, SIAM Journal on Computing 46(6), 2017; arXiv:1511.02306v2.
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Algorithmic Game TheoryCombinatoricsOperations Research·Captain: mikedeng1

A Little Charity Guarantees Almost Envy-Freeness III: With Additive Valuations, Donating the Pool to an Unenvied Agent Yields a 4/7-Groupwise-Maximin-Share AllocationResearch Paper

Motivation

When indivisible goods are shared among people, comparing each person's bundle with another person's bundle is only one way to judge fairness. A second test asks whether a group could repartition the goods it collectively received so that one of its members would reliably obtain more. Groupwise maximin share (GMMS) makes this test for every subgroup. It strengthens the ordinary maximin-share benchmark, which tests only the grand coalition and all goods. Chaudhury, Kavitha, Mehlhorn and Sgouritsa use this distinction to study a complete allocation obtained from their almost envy-free allocation: goods initially left unassigned are given to one unenvied agent. Their Theorem 16 proves that the resulting allocation gives every agent at least four sevenths of her groupwise maximin share under additive valuations. Chaudhury et al., pp. 4–5, 15–16.

The paper first constructs a partial EFX allocation whose unallocated goods have bounded value to every agent. Its Section 3 then assumes additive valuations and derives maximin-share and GMMS guarantees. This mission addresses the GMMS consequence of that construction. The existence of the starting allocation is the subject of the first mission in this series; the present theorem specifies what happens when its pool is donated. Chaudhury et al., Theorems 8 and 16.

Setting

Let NNN be a finite set of agents and MMM a finite set of indivisible goods. Each agent iii has a valuation vi(S)v_i(S)vi​(S) for a bundle S⊆MS\subseteq MS⊆M. Here valuations are nonnegative and additive: vi(S)v_i(S)vi​(S) is the sum of the values of the individual goods in SSS. A partial allocation X=(Xi)i∈NX=(X_i)_{i\in N}X=(Xi​)i∈N​ gives pairwise disjoint bundles to the agents. The remaining goods form its pool, P=M∖⋃i∈NXiP=M\setminus\bigcup_{i\in N}X_iP=M∖⋃i∈N​Xi​. An allocation is complete when its pool is empty. These are the paper's allocation conventions. Chaudhury et al., pp. 3–4.

An allocation is envy-free up to any good (EFX) if, after any single good ggg is removed from agent jjj's bundle, agent iii values that remainder no more than her own bundle: vi(Xj∖{g})≤vi(Xi)v_i(X_j\setminus\{g\})\le v_i(X_i)vi​(Xj​∖{g})≤vi​(Xi​) for all i,ji,ji,j and g∈Xjg\in X_jg∈Xj​. The envy graph has a directed edge i→ji\to ji→j when iii values jjj's bundle more than her own. A source is a vertex with no incoming edge, so nobody envies that agent. Chaudhury et al., pp. 3, 8.

For a set SSS and a positive number kkk of parts, MMS⁡i(k,S)\operatorname{MMS}_i(k,S)MMSi​(k,S) is the largest worst-part value agent iii can secure by partitioning SSS into kkk bundles. A complete allocation YYY is α\alphaα-GMMS when each agent meets an α\alphaα fraction of this benchmark for every subgroup containing her:

vi(Yi)≥αMMS⁡i ⁣(∣N′∣,⋃j∈N′Yj)(N′⊆N, i∈N′).v_i(Y_i)\ge\alpha\operatorname{MMS}_i\!\left(|N'|,\bigcup_{j\in N'}Y_j\right) \qquad(N'\subseteq N,\ i\in N').vi​(Yi​)≥αMMSi​​∣N′∣,j∈N′⋃​Yj​​(N′⊆N, i∈N′).

The benchmark uses only goods allocated to that subgroup. The paper states it both as a complete-allocation property in its introduction and in Definition 15. Chaudhury et al., pp. 5, 15.

Formalization targets

The donated allocation

Assume XXX is partial and EFX, every agent satisfies vi(P)≤vi(Xi)v_i(P)\le v_i(X_i)vi​(P)≤vi​(Xi​), and sss is a source of its envy graph. Define Ys=Xs∪PY_s=X_s\cup PYs​=Xs​∪P and Yj=XjY_j=X_jYj​=Xj​ for j≠sj\ne sj=s. The goal states that YYY is complete, that donation does not lower any agent's own value, and that

vi(Yi)≥47MMS⁡i ⁣(∣N′∣,⋃j∈N′Yj)(N′⊆N, i∈N′).v_i(Y_i)\ge\frac47\operatorname{MMS}_i\!\left(|N'|,\bigcup_{j\in N'}Y_j\right) \qquad(N'\subseteq N,\ i\in N').vi​(Yi​)≥74​MMSi​​∣N′∣,j∈N′⋃​Yj​​(N′⊆N, i∈N′).

This is the GMMS bullet of Theorem 16 applied to the particular allocation the authors define immediately before it. The paper obtains a suitable XXX from Lemma 12, which has the relevant properties of Theorem 8. Chaudhury et al., pp. 11–12, 14–16.

Intermediate results

The milestones are Proposition 13, the reduction step in Theorem 16's proof, and all three parts of Lemma 17. Proposition 13 compares maximin shares after deleting agents and at most as many goods. Lemma 17 bounds the value of each bad good, the donated bundle, and the other good bundles. They retain the constants 222 and 3/23/23/2 used in the paper. Chaudhury et al., pp. 14, 16–17.

Significance

The result turns an almost envy-free partial allocation into a complete allocation with a guarantee for every coalition. A plain maximin-share statement would only compare each agent with a partition of all goods among all agents; here every subgroup and its allocated goods count. The distinction matters even when an ordinary maximin-share bound is easy to meet because there are fewer goods than agents. Chaudhury et al., p. 5.

The paper proves Theorem 16 mathematically. The remaining work for this mission is a machine-checked proof of its stated GMMS consequence and its supporting results. Its definitions of partial allocation, pool, finite maximin share and groupwise guarantee can also serve later formalizations of fair division. The Nash-social-welfare half-guarantee in the printed theorem depends on the starting allocation from Lemma 12; this mission records only the value preservation under donation. Chaudhury et al., pp. 14, 16.

Difficulty

Giving all leftover goods to one agent makes the allocation complete, but it can change how another agent values that enlarged bundle and how a subgroup's benchmark is calculated. EFX alone compares bundles after deleting one good; GMMS compares an agent with every repartition of a subgroup's goods. The difficulty is to control those repartitions while keeping the exact 4/74/74/7 constant. Merely applying an ordinary maximin-share bound to the grand coalition does not establish the required subgroup inequalities. Chaudhury et al., pp. 15–17.

Formalization scope

Agents and goods are represented by Fin n and Fin m; Lean numbers agents from zero, and the paper's “agent 1” is an explicit source sss. Bundles are finite sets. Valuations are real-valued but include nonnegativity alongside additivity, representing the paper's codomain R≥0\mathbb R_{\ge0}R≥0​. The pool is computed from XXX, and the donated allocation is a function of XXX and sss. No independent pool or arbitrary completed allocation is allowed. Completeness is a conclusion. The maximin share is a finite maximum of finite minima over labelled partitions, which may have empty parts. Every use has a positive part count; in the GMMS definition this follows from i∈N′i\in N'i∈N′. Cardinality is converted to real numbers before fractions are formed. These choices exclude zero-part maximin shares and integer division. Chaudhury et al., pp. 3–5, 15–16.

The theorem is conditional on the EFX and pool-value properties of the source allocation, rather than repeating its existence proof. It states the conclusion for every such allocation and every source. The paper's half-optimal-Nash-social-welfare bullet is outside this mission because it invokes the separate black-box starting allocation of Lemma 12. Contributions toward finite-partition comparisons, EFX value bounds, and the groupwise estimate are welcome. Chaudhury et al., pp. 14–17.

Selected references

  • B. R. Chaudhury, T. Kavitha, K. Mehlhorn and A. Sgouritsa, A Little Charity Guarantees Almost Envy-Freeness, SIAM Journal on Computing, 2021. Formalization source: arXiv:1907.04596v3.
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Algorithmic Game TheoryCombinatoricsOperations Research·Captain: mikedeng1

A Little Charity Guarantees Almost Envy-Freeness II: With Additive Valuations Such an Allocation Gives Every Agent Her Maximin Share Divided by 2 − |P|/nResearch Paper

Fair division of indivisible goods

A set of nnn agents must share a set MMM of mmm indivisible goods, each agent valuing bundles of goods by her own valuation. Two fairness notions dominate the literature. Envy-freeness up to any good (EFX), introduced by Caragiannis, Kurokawa, Moulin, Procaccia, Shah and Wang (EC 2016), asks that no agent prefer another's bundle once any single good is removed from it. The maximin share (MMS), proposed by Budish (JPE 2011), asks that every agent receive at least what she could secure by splitting the goods into nnn bundles herself and taking the worst one.

Neither notion is known to be achievable in full. Whether complete EFX allocations always exist is open in general. Complete MMS allocations need not exist: Procaccia and Wang (EC 2014) gave a counterexample with three agents, and the best known approximation factors for additive valuations are 3/4−ε3/4-\varepsilon3/4−ε (Ghodsi et al., EC 2018) and 3/43/43/4 (Garg and Taki, arXiv:1903.00029). Amanatidis, Birmpas and Markakis (IJCAI 2018) showed that every complete EFX allocation is a 4/74/74/7-MMS allocation.

Caragiannis, Gravin and Huang (EC 2019) showed that EFX can be achieved if some goods are left unallocated, with no bound on how many. Chaudhury, Kavitha, Mehlhorn and Sgouritsa (arXiv:1907.04596, SODA 2020, SIAM J. Comput. 2021) relax completeness instead: some goods may be "donated to charity". Their Theorem 8 produces an EFX partial allocation in which nobody envies the donated set and the donated set has fewer goods than there are unenvied agents. This mission formalizes their Theorem 14: such an allocation also gives every agent a maximin-share guarantee that improves as more goods are donated.

Setting

Agents are N=[n]N=[n]N=[n] and goods are MMM, ∣M∣=m|M|=m∣M∣=m. Agent iii has a valuation vi:2M→R≥0v_i:2^M\to\mathbb{R}_{\ge 0}vi​:2M→R≥0​, assumed additive: vi(S)=∑g∈Svi({g})v_i(S)=\sum_{g\in S}v_i(\{g\})vi​(S)=∑g∈S​vi​({g}) for every S⊆MS\subseteq MS⊆M.

A (partial) allocation X=⟨X1,…,Xn⟩X=\langle X_1,\dots,X_n\rangleX=⟨X1​,…,Xn​⟩ gives agent iii the bundle Xi⊆MX_i\subseteq MXi​⊆M, the bundles being pairwise disjoint. The pool of unallocated goods is P=M∖⋃iXiP=M\setminus\bigcup_i X_iP=M∖⋃i​Xi​, and k=∣P∣k=|P|k=∣P∣.

  • XXX is EFX if vi(Xi)≥vi(Xj∖{g})v_i(X_i)\ge v_i(X_j\setminus\{g\})vi​(Xi​)≥vi​(Xj​∖{g}) for all agents i,ji,ji,j and every g∈Xjg\in X_jg∈Xj​.
  • The envy graph GXG_XGX​ has the agents as vertices and an edge i→ji\to ji→j exactly when vi(Xi)<vi(Xj)v_i(X_i)<v_i(X_j)vi​(Xi​)<vi​(Xj​). A source is a vertex of indegree zero: an agent nobody envies.
  • The maximin share of agent iii over k′≥1k'\ge1k′≥1 bundles of a set SSS of goods is
MMSi(k′,S)=max⁡(S1,…,Sk′) min⁡1≤j≤k′vi(Sj),\mathrm{MMS}_i(k',S)=\max_{(S_1,\dots,S_{k'})}\ \min_{1\le j\le k'} v_i(S_j),MMSi​(k′,S)=(S1​,…,Sk′​)max​ 1≤j≤k′min​vi​(Sj​),

the maximum over partitions of SSS into k′k'k′ possibly empty bundles. Agent iii's maximin share in the instance is MMSi(n,M)\mathrm{MMS}_i(n,M)MMSi​(n,M).

The three conditions of Theorem 8 on (X,P)(X,P)(X,P) are:

  1. XXX is EFX;
  2. vi(Xi)≥vi(P)v_i(X_i)\ge v_i(P)vi​(Xi​)≥vi​(P) for every agent iii;
  3. ∣P∣|P|∣P∣ is less than the number of sources of GXG_XGX​; in particular ∣P∣<n|P|<n∣P∣<n.

Formalization targets

Goal: Theorem 14 (MMS bullet)

For every allocation XXX with pool PPP satisfying conditions 1–3, and every agent iii,

vi(Xi) ≥ MMSi(n,M)2−kn,k=∣P∣.v_i(X_i)\ \ge\ \frac{\mathrm{MMS}_i(n,M)}{2-\frac{k}{n}},\qquad k=|P|.vi​(Xi​) ≥ 2−nk​MMSi​(n,M)​,k=∣P∣.

The factor ranges from 12\tfrac1221​ when P=∅P=\emptysetP=∅ to (1+1n)−1(1+\tfrac1n)^{-1}(1+n1​)−1 when ∣P∣=n−1|P|=n-1∣P∣=n−1.

Milestones

  1. Proposition 13 (quoted by the paper from Garg, McGlaughlin and Taki, SOSA 2019): for N′⊆NN'\subseteq NN′⊆N and M′⊆MM'\subseteq MM′⊆M with ∣N∖N′∣≥∣M∖M′∣|N\setminus N'|\ge|M\setminus M'|∣N∖N′∣≥∣M∖M′∣ and i∈N′i\in N'i∈N′,
MMSi(∣N′∣,M′) ≥ MMSi(∣N∣,M).\mathrm{MMS}_i(|N'|,M')\ \ge\ \mathrm{MMS}_i(|N|,M).MMSi​(∣N′∣,M′) ≥ MMSi​(∣N∣,M).
  1. MMS is at most the proportional share: MMSi(k′,S)≤vi(S)/k′\mathrm{MMS}_i(k',S)\le v_i(S)/k'MMSi​(k′,S)≤vi​(S)/k′ for additive valuations and k′≥1k'\ge1k′≥1.
  2. The EFX half-bound: if XXX is EFX and ∣Xj∣≥2|X_j|\ge2∣Xj​∣≥2, then vi(Xi)≥(1−1/∣Xj∣) vi(Xj)≥12vi(Xj)v_i(X_i)\ge(1-1/|X_j|)\,v_i(X_j)\ge\tfrac12 v_i(X_j)vi​(Xi​)≥(1−1/∣Xj​∣)vi​(Xj​)≥21​vi​(Xj​).
  3. The counting step (summing inequalities (1)–(3) of the proof): with N′N'N′ the sources of GXG_XGX​, agent iii and all agents holding at least two goods, n′=∣N′∣n'=|N'|n′=∣N′∣ and M′=⋃j∈N′XjM'=\bigcup_{j\in N'}X_jM′=⋃j∈N′​Xj​,
(2n′−k) vi(Xi) ≥ vi(M′∪P).(2n'-k)\,v_i(X_i)\ \ge\ v_i(M'\cup P).(2n′−k)vi​(Xi​) ≥ vi​(M′∪P).

Significance

Theorem 14 shows that leaving goods unallocated is not merely a cost: under conditions 1–3, each donated good buys a quantitative improvement of every agent's maximin-share guarantee, interpolating between the factor 12\tfrac1221​ the bound gives when the pool is empty and a factor tending to 111 when nearly nnn goods are donated. Together with Theorem 8 it shows that a single allocation can be simultaneously EFX, envy-free towards the charity, small in its charity, and approximately MMS. The same reduction (Proposition 13 applied to a carefully chosen sub-instance) is the template for the paper's 4/74/74/7-groupwise-maximin-share result, Theorem 16, formalized in mission III of this series.

The result is proved in the paper; no machine-checked proof of it, of Proposition 13, or of the existence of EFX allocations with bounded charity is known to exist. The mission produces a formal maximin-share definition on arbitrary subsets of goods with an arbitrary number of bundles, a formal proof of the monotonicity of the maximin share under removal of agents and goods (Proposition 13, which the paper quotes without proof), and the guarantee itself. Combined with mission I of this series (Theorem 8), it yields the printed existence statement.

Difficulty

The guarantee compares an agent's own bundle with a benchmark defined over all partitions of all goods, while EFX and the source condition speak only about the allocation at hand. The obvious attempt, summing vi(Xi)≥12vi(Xj)v_i(X_i)\ge\tfrac12 v_i(X_j)vi​(Xi​)≥21​vi​(Xj​) over all agents and adding the pool, gives only a factor near 12\tfrac1221​ and ignores the pool's size. Agents holding a single good are the obstruction: EFX gives no bound on the value of their bundles relative to vi(Xi)v_i(X_i)vi​(Xi​), and the benchmark MMSi(n,M)\mathrm{MMS}_i(n,M)MMSi​(n,M) is defined on the full instance, which contains them. Proposition 13, the comparison of maximin shares across instances, is a combinatorial statement about all partitions of the original instance and requires nonnegativity of the valuations: with a good of negative value it fails.

Formalization scope

Agents are Fin n (0-based) and goods Fin m; the set MMM is the whole of Fin m. Valuations are functions Fin n → Finset (Fin m) → ℝ; additivity is the sum formula together with nonnegativity, which is the paper's codomain R≥0\mathbb{R}_{\ge0}R≥0​. An allocation is a family of pairwise disjoint finsets and the pool is always computed as the complement of their union, never taken as a free parameter. Sources are agents of indegree zero in the envy graph (nobody envies them), not agents who envy nobody. The maximin share MMS(k′,S)\mathrm{MMS}(k',S)MMS(k′,S) is a supremum over labellings Fin m → Fin k' restricted to SSS of the minimum bundle value; it is used only with k′≥1k'\ge1k′≥1, which every statement has in its hypotheses or derives from them (in the goal, condition 3 forces n≥1n\ge1n≥1). Every cardinality is cast to R\mathbb{R}R before division or subtraction, and 2−k/n>12-k/n>12−k/n>1 under condition 3, so no division by zero occurs.

The goal is posed as an implication for every allocation satisfying conditions 1–3, rather than as the paper's "there exists an allocation"; the paper's proof of the MMS bullet uses only those three conditions, and existence is Theorem 8. The Nash-social-welfare bullet of Theorem 14 is not posed: it depends on Lemma 12, which takes the allocation of an earlier paper as a black box. The goal cannot be trivialized by a free pool, by overlapping bundles, by zero agents (condition 3 excludes them), by a junk maximin share over zero bundles, or by natural-number division; the statement keeps all three conditions, each of which is needed.

Contributions welcome: a library-quality maximin-share API for additive valuations (attainment of the maximum, monotonicity, the proportional bound), which is reusable for other MMS results; proofs of the milestones; and the final assembly.

Selected references

  • B. R. Chaudhury, T. Kavitha, K. Mehlhorn, A. Sgouritsa, A Little Charity Guarantees Almost Envy-Freeness, SIAM J. Comput. 50(4), 2021; cited from arXiv:1907.04596v3. https://arxiv.org/abs/1907.04596
  • E. Budish, The Combinatorial Assignment Problem: Approximate Competitive Equilibrium from Equal Incomes, J. Political Economy 119(6), 2011. https://doi.org/10.1086/664613
  • I. Caragiannis, D. Kurokawa, H. Moulin, A. D. Procaccia, N. Shah, J. Wang, The Unreasonable Fairness of Maximum Nash Welfare, EC 2016. https://doi.org/10.1145/2940716.2940726
  • A. D. Procaccia, J. Wang, Fair Enough: Guaranteeing Approximate Maximin Shares, EC 2014. https://doi.org/10.1145/2600057.2602835
  • M. Ghodsi, M. HajiAghayi, M. Seddighin, S. Seddighin, H. Yami, Fair Allocation of Indivisible Goods: Improvements and Generalizations, EC 2018. https://doi.org/10.1145/3219166.3219238
  • J. Garg, S. Taki, An Improved Approximation Algorithm for Maximin Shares, CoRR abs/1903.00029, 2019. https://arxiv.org/abs/1903.00029
  • J. Garg, P. McGlaughlin, S. Taki, Approximating Maximin Share Allocations, SOSA 2019. https://doi.org/10.4230/OASIcs.SOSA.2019.20
  • I. Caragiannis, N. Gravin, X. Huang, Envy-Freeness up to Any Item with High Nash Welfare: The Virtue of Donating Items, EC 2019. https://doi.org/10.1145/3328526.3329574
  • G. Amanatidis, G. Birmpas, E. Markakis, Comparing Approximate Relaxations of Envy-Freeness, IJCAI 2018. https://doi.org/10.24963/ijcai.2018/7
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Linear algebraNumerical AnalysisQuantum Information·Captain: mikedeng1

Quantum Algorithm for Systems of Linear Equations with Exponentially Improved Dependence on Precision I: A Truncated Odd Chebyshev Series Is 2ε-Close to 1/x on [−1, −1/κ] ∪ [1/κ, 1]Research Paper

Motivation

The quantum linear systems problem asks, given a sparse Hermitian N×NN \times NN×N matrix AAA with condition number κ\kappaκ and a procedure preparing a state ∣b⟩|b\rangle∣b⟩, to prepare a state close to A−1∣b⟩/∥A−1∣b⟩∥A^{-1}|b\rangle / \|A^{-1}|b\rangle\|A−1∣b⟩/∥A−1∣b⟩∥. Harrow, Hassidim and Lloyd (2009) gave a quantum algorithm whose running time is polynomial in log⁡N\log NlogN and κ\kappaκ but grows like 1/ε1/\varepsilon1/ε in the target precision ε\varepsilonε, because it estimates eigenvalues by phase estimation. Childs, Kothari and Somma (arXiv:1511.02306, SIAM J. Comput. 46(6), 2017) reduced the precision dependence to polylog⁡(1/ε)\mathrm{poly}\log(1/\varepsilon)polylog(1/ε), an exponential improvement.

The reduction has two parts. A quantum part implements a linear combination of unitaries applied to AAA, and turns any function that is ε\varepsilonε-close to 1/x1/x1/x on the spectrum of AAA into an approximate preparation of the solution state (Corollary 10 and Proposition 9 of the paper). An analytic part supplies such a function with small degree and small coefficient weight. The paper gives two analytic constructions: a Fourier expansion (Section 3) and an expansion in Chebyshev polynomials (Section 4). This mission formalizes the analytic core of the Chebyshev construction, the input to the paper's Theorem 4. The quantum algorithms and their query and gate counts are not formalized here.

Setting

For a real number κ≥1\kappa \ge 1κ≥1 (a condition number: the ratio of the largest to the smallest singular value), the domain is

Dκ:=[−1,−1/κ]∪[1/κ,1].D_\kappa := [-1, -1/\kappa] \cup [1/\kappa, 1].Dκ​:=[−1,−1/κ]∪[1/κ,1].

A function ggg is ε\varepsilonε-close to hhh on a set D⊆RD \subseteq \mathbb RD⊆R if ∣g(x)−h(x)∣≤ε|g(x) - h(x)| \le \varepsilon∣g(x)−h(x)∣≤ε for all x∈Dx \in Dx∈D.

The Chebyshev polynomials of the first kind are T0(x)=1\mathcal T_0(x) = 1T0​(x)=1, T1(x)=x\mathcal T_1(x) = xT1​(x)=x and Tn+1(x)=2xTn(x)−Tn−1(x)\mathcal T_{n+1}(x) = 2x\mathcal T_n(x) - \mathcal T_{n-1}(x)Tn+1​(x)=2xTn​(x)−Tn−1​(x); those of the second kind Un\mathcal U_nUn​ satisfy the same recursion with U0=1\mathcal U_0 = 1U0​=1, U1=2x\mathcal U_1 = 2xU1​=2x.

For natural numbers b,jb, jb,j let

cb,j:=122b∑i=j+1b(2bb+i),c_{b,j} := \frac{1}{2^{2b}} \sum_{i=j+1}^{b} \binom{2b}{b+i},cb,j​:=22b1​i=j+1∑b​(b+i2b​),

the probability of more than b+jb+jb+j heads in 2b2b2b fair coin flips. The tamed inverse (74) is fb(x)=(1−(1−x2)b)/xf_b(x) = (1 - (1-x^2)^b)/xfb​(x)=(1−(1−x2)b)/x, and the odd Chebyshev series is

Sb,n(x):=4∑j=0n−1(−1)jcb,j T2j+1(x).S_{b,n}(x) := 4 \sum_{j=0}^{n-1} (-1)^j c_{b,j}\, \mathcal T_{2j+1}(x).Sb,n​(x):=4j=0∑n−1​(−1)jcb,j​T2j+1​(x).

In Lean these are Dκ, coeff b j, fTamed b, and chebSum b n in the namespace QuantumLinSys.Chebyshev; bOf κ ε and j0Of b ε are the parameters bbb and j0j_0j0​ below.

Formalization targets

Goal: Lemma 14 (p. 16)

With b=κ2log⁡(κ/ε)b = \kappa^2 \log(\kappa/\varepsilon)b=κ2log(κ/ε) and j0=blog⁡(4b/ε)j_0 = \sqrt{b\log(4b/\varepsilon)}j0​=blog(4b/ε)​, the truncated series

g(x)=4∑j=0j0(−1)jcb,j T2j+1(x)g(x) = 4\sum_{j=0}^{j_0} (-1)^j c_{b,j}\, \mathcal T_{2j+1}(x)g(x)=4j=0∑j0​​(−1)jcb,j​T2j+1​(x)

is 2ε2\varepsilon2ε-close to 1/x1/x1/x on DκD_\kappaDκ​, for every κ≥1\kappa \ge 1κ≥1 and ε>0\varepsilon > 0ε>0.

Milestones, in the order the proof uses them

  1. Lemma 17 (p. 19). For integers d≥1d \ge 1d≥1 and b≥(κd)2log⁡(κd/ε)b \ge (\kappa d)^2\log(\kappa d/\varepsilon)b≥(κd)2log(κd/ε), fbf_bfb​ is ε\varepsilonε-close to 1/x1/x1/x on DκdD_{\kappa d}Dκd​.
  2. Lemma 18 (p. 19). On [−1,1][-1,1][−1,1], fb=Sb,bf_b = S_{b,b}fb​=Sb,b​ exactly:
1−(1−x2)bx=4∑j=0b−1(−1)jcb,j T2j+1(x).\frac{1-(1-x^2)^b}{x} = 4\sum_{j=0}^{b-1}(-1)^j c_{b,j}\,\mathcal T_{2j+1}(x).x1−(1−x2)b​=4j=0∑b−1​(−1)jcb,j​T2j+1​(x).
  1. Display (89) (p. 21). cb,j≤e−j2/bc_{b,j} \le e^{-j^2/b}cb,j​≤e−j2/b.
  2. Lemma 19 (p. 21). The series truncated at j0=blog⁡(4b/ε)j_0 = \sqrt{b\log(4b/\varepsilon)}j0​=blog(4b/ε)​ is ε\varepsilonε-close to fbf_bfb​ on [−1,1][-1,1][−1,1].

Two further statements of the same approach are included as companion theorems: Lemma 16 (p. 17), the closed form of the nnn-th power of the 2×22\times 22×2 rotation block in terms of Tn\mathcal T_nTn​ and Un−1\mathcal U_{n-1}Un−1​, and Proposition 9 (p. 9), the 4ε4\varepsilon4ε perturbation bound for normalized states.

Significance

Lemma 14 provides a polynomial of degree O(κlog⁡(κ/ε))O(\kappa\log(\kappa/\varepsilon))O(κlog(κ/ε)) whose Chebyshev coefficients have total weight O(blog⁡(b/ε))O(\sqrt{b\log(b/\varepsilon)})O(blog(b/ε)​), approximating 1/x1/x1/x uniformly on the region where a well-conditioned matrix has its eigenvalues. Applied to a Hermitian matrix through a quantum walk, whose powers implement Tn\mathcal T_nTn​ (Lemma 16), it gives the query complexity O(dκ2log⁡2(dκ/ε))O(d\kappa^2\log^2(d\kappa/\varepsilon))O(dκ2log2(dκ/ε)) of Theorem 4. The same polynomial approximation of 1/x1/x1/x reappears in later work on quantum singular value transformation and matrix inversion.

All results of this mission are proved in the paper. None of them is machine-checked in Mathlib or on the platform, as far as a search found: Mathlib has the Chebyshev polynomials and the identity Tn(cos⁡θ)=cos⁡nθ\mathcal T_n(\cos\theta) = \cos n\thetaTn​(cosθ)=cosnθ, but no Chebyshev expansion of a rational function, no binomial tail bound in this form, and no approximation theorem for 1/x1/x1/x. The formalization produces a checked uniform approximation of 1/x1/x1/x with explicit, non-asymptotic parameters.

Difficulty

The exact identity (Lemma 18) has no slack: every coefficient, sign and summation bound of (77) must be right for all bbb, and an off-by-one in the inner sum or in the Chebyshev index makes it false. Mathlib's Chebyshev library offers evaluation facts but no expansion of a given polynomial in the Chebyshev basis. The bound (89) is a Chernoff–Hoeffding tail bound for a symmetric binomial distribution, which must be stated for sums of binomial coefficients rather than for random variables. The goal then needs both approximation errors at the page's specific parameters, including the corner cases in which log⁡(κ/ε)\log(\kappa/\varepsilon)log(κ/ε) or log⁡(4b/ε)\log(4b/\varepsilon)log(4b/ε) is negative.

Formalization scope

All functions are real functions of one real variable. Chebyshev polynomials are Mathlib's Polynomial.Chebyshev.T ℝ and Polynomial.Chebyshev.U ℝ, indexed by integers. The sum ∑j=0n−1\sum_{j=0}^{n-1}∑j=0n−1​ is over Finset.range n, so the series of (55)/(88) truncated at j0j_0j0​ is chebSum b (j₀ + 1) and the full series (77) is chebSum b b.

The formalization commits to the following conventions, each disclosed in the item it affects.

  • κ≥1\kappa \ge 1κ≥1 on every statement that mentions DκD_\kappaDκ​, and d≥1d \ge 1d≥1 in Lemma 17. Below these values the domain is empty or contains 000.
  • ε>0\varepsilon > 0ε>0. No upper bound on ε\varepsilonε is imposed in this mission.
  • The paper's real b=κ2log⁡(κ/ε)b = \kappa^2\log(\kappa/\varepsilon)b=κ2log(κ/ε) is rounded up to a natural number in the goal, and the truncation index j0j_0j0​ is rounded down, the sum running over j=0,…,⌊j0⌋j = 0,\dots,\lfloor j_0\rfloorj=0,…,⌊j0​⌋.
  • In Lemmas 17–19 bbb is a natural number. The page's "integer" exponent cannot be negative without making (1−x2)b(1-x^2)^b(1−x2)b singular.
  • At x=0x = 0x=0, fb(0)f_b(0)fb​(0) is Lean's 0/0=00/0 = 00/0=0, which is the value of its continuous extension. Lemma 18 is therefore stated on all of [−1,1][-1,1][−1,1].
  • Proposition 9 is stated for continuous linear operators on CN\mathbb C^NCN, with ∥C−1∥≤1\|C^{-1}\| \le 1∥C−1∥≤1 given as a two-sided inverse of norm at most 111, and for unit vectors ψ\psiψ.

A trivializing reading is ruled out: the goal fixes the page's bbb, j0j_0j0​ and constant 2ε2\varepsilon2ε, so neither an arbitrarily large truncation nor a weaker constant satisfies it, and the domain DκD_\kappaDκ​ excludes the origin, where Lean's 1/0=01/0 = 01/0=0 would make closeness to 1/x1/x1/x meaningless.

Useful infrastructure, reusable beyond this mission: Chebyshev expansions of polynomials on [−1,1][-1,1][−1,1], binomial tail bounds, and uniform approximation of 1/x1/x1/x. Contributions of general lemmas of this kind are welcome.

Selected references

  • A. M. Childs, R. Kothari and R. D. Somma, Quantum algorithm for systems of linear equations with exponentially improved dependence on precision, SIAM J. Comput. 46(6), 2017; arXiv:1511.02306v2. https://arxiv.org/abs/1511.02306
  • A. W. Harrow, A. Hassidim and S. Lloyd, Quantum algorithm for linear systems of equations, Phys. Rev. Lett. 103, 150502, 2009. https://arxiv.org/abs/0811.3171
  • D. W. Berry, A. M. Childs and R. Kothari, Hamiltonian simulation with nearly optimal dependence on all parameters, FOCS 2015. https://arxiv.org/abs/1501.01715
  • W. Hoeffding, Probability inequalities for sums of bounded random variables, J. Amer. Statist. Assoc. 58, 1963. https://doi.org/10.1080/01621459.1963.10500830
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Algorithmic Game TheoryOperations ResearchOptimization·Captain: mikedeng1

A game-theoretic approach to computation offloading in mobile cloud computing III: Variational Solutions Are the Nash Equilibria of the Extended Cloudlet-Pricing GameResearch Paper

Why a cloudlet price matters

Mobile devices can divide work between local execution, a nearby shared cloudlet, and a remote cloud. A cloudlet has limited capacity, so one user's choice changes the delay faced by the others. Cardellini and coauthors model this as a generalized Nash equilibrium problem, in which each user's feasible choices depend on the aggregate cloudlet load. The shared utilization cap makes a direct distributed solution awkward: a user must know how much capacity all other users consume before choosing a feasible deviation. The paper therefore introduces an additional player who sets a cloudlet price. This mission formalizes the relationship between the original coupled game and that extended, ordinary Nash game Cardellini et al., accepted manuscript, pp. 10–16.

The offloading game

There are NNN users and nnn cloudlet servers. User uuu chooses fractions xu,mx_{u,m}xu,m​, xu,cletx_{u,\mathrm{clet}}xu,clet​, and xu,cloudx_{u,\mathrm{cloud}}xu,cloud​ for local, cloudlet, and remote-cloud execution. These fractions are nonnegative and sum to one. At most a fraction χ\chiχ can be offloaded, and a user-specific linear power constraint applies. The set K~u\widetilde K_uKu​ contains these private feasible choices. The cloudlet load and the shared feasible set are

L(x)=1n∑u=1Nδuxu,clet,Ω={x:L(x)≤Umax⁡},K=(∏u=1NK~u)∩Ω.L(x)=\frac1n\sum_{u=1}^{N}\delta_u x_{u,\mathrm{clet}},\qquad \Omega=\{x:L(x)\le U_{\max}\},\qquad K=\left(\prod_{u=1}^{N}\widetilde K_u\right)\cap\Omega.L(x)=n1​u=1∑N​δu​xu,clet​,Ω={x:L(x)≤Umax​},K=(u=1∏N​Ku​)∩Ω.

Each user's cost λuRu\lambda_u R_uλu​Ru​ is the response-time expression on p. 10, with coefficients αu,βu,γu,δu\alpha_u,\beta_u,\gamma_u,\delta_uαu​,βu​,γu​,δu​. The VI map FFF is the stack of the user's partial gradients, written in closed form on p. 11. A variational solution xˉ\bar xxˉ belongs to KKK and satisfies ⟨F(xˉ),x−xˉ⟩≥0\langle F(\bar x),x-\bar x\rangle\ge0⟨F(xˉ),x−xˉ⟩≥0 for every x∈Kx\in Kx∈K. The pairing sums all three coordinates for each user. Section 5 assumes 0<Umax⁡<10<U_{\max}<10<Umax​<1 and 0<αu,δu<10<\alpha_u,\delta_u<10<αu​,δu​<1 for every user; the model also has n>0n>0n>0 and 0<χ≤10<\chi\le10<χ≤1 Cardellini et al., pp. 7, 9–11.

The extended game replaces the joint cap in each user's feasible set by a price. User uuu minimizes λuRu(x)+ρ(δu/n)xu,clet\lambda_uR_u(x)+\rho(\delta_u/n)x_{u,\mathrm{clet}}λu​Ru​(x)+ρ(δu​/n)xu,clet​ over K~u\widetilde K_uKu​. A cloudlet manager chooses ρ≥0\rho\ge0ρ≥0 to maximize ρ(L(x)−Umax⁡)\rho(L(x)-U_{\max})ρ(L(x)−Umax​). The manager's choice is part of the Nash equilibrium condition, not a preimposed complementary-slackness equation. The extended game's VI set is Ke=(∏uK~u)×R+K_e=(\prod_u\widetilde K_u)\times\mathbb R_+Ke​=(∏u​Ku​)×R+​ and its map is Fe(x,ρ)=(F(x)+price⁡(ρ),Umax⁡−L(x))F_e(x,\rho)=(F(x)+\operatorname{price}(\rho),U_{\max}-L(x))Fe​(x,ρ)=(F(x)+price(ρ),Umax​−L(x)) Cardellini et al., p. 15.

Formalization targets

The goal is the two-part assertion of Theorem 2. Under the standing assumptions and a strict load bound on the full product of private feasible sets, its equilibrium characterization is

xˉ∈SOL⁡(K,F)⟺∃ρˉ,  (xˉ,ρˉ)∈NE⁡ext.\bar x\in\operatorname{SOL}(K,F) \quad\Longleftrightarrow\quad \exists\bar\rho,\; (\bar x,\bar\rho)\in\operatorname{NE}_{\mathrm{ext}}.xˉ∈SOL(K,F)⟺∃ρˉ​,(xˉ,ρˉ​)∈NEext​.

The same goal states that monotonicity of FFF on ∏uK~u\prod_u\widetilde K_u∏u​Ku​ implies monotonicity of FeF_eFe​ on KeK_eKe​. The three milestones follow the paper's path: the extended Nash game is equivalent to its VI; the shared affine constraint has a scalar multiplier at a VI solution; and the price-load coupling cancels in the monotonicity pairing. The source states the first as a classical result and gives the last two in its proof Cardellini et al., pp. 15–16.

What the result provides

The characterization lets a variational solution of a game with coupled feasible sets be found as an equilibrium of a game whose NNN users have separate feasible sets. The additional scalar has a concrete interpretation: it is the multiplier of the shared cloudlet-utilization cap. The monotonicity assertion connects the paper's analysis of the original VI to methods for the extended one. The paper uses this relationship as the entry point for its distributed algorithms in the next section Cardellini et al., pp. 16–17.

The result is proved in the paper but is not yet machine checked in this mission. A complete development would give reusable Lean interfaces for a finite-dimensional VI on an intersection of a product polytope and one affine half-space, a multiplier characterization for that intersection, and an equilibrium-to-VI conversion for separable player constraints. Those components could support other capacity-sharing games. The theorem drafts remain proof obligations; the definitions compile locally.

Where the proof is delicate

A Nash equilibrium requires each user to be optimal against every privately feasible deviation, including deviations that violate the original shared cap. Consequently, the user's cloudlet cost must remain well defined throughout K~u\widetilde K_uKu​ for the equivalence to hold. A load bound only on KKK does not cover those deviations. The multiplier comparison must also account for the manager's maximization condition and the sign of the load term in FeF_eFe​. For monotonicity, FeF_eFe​ evaluates FFF on the whole product ∏uK~u\prod_u\widetilde K_u∏u​Ku​, a larger domain than KKK. These domain distinctions explain why the statement needs two explicit repairs to the printed theorem Cardellini et al., pp. 15–16.

Formalization scope

Lean represents the users as Fin N and the three processing locations as a finite tier type. Indices therefore start at zero. The costs, the map FFF, the private sets, Ω\OmegaΩ, and KKK are separate definitions. The Euclidean pairing is written as a finite sum; no Pi-type sup norm is used. The extended Nash predicate quantifies over user deviations in K~u\widetilde K_uKu​ and over every nonnegative manager price. The VI predicates are in their own module so the game is not built into their meaning. The theorem's statement remains meaningful at N=0N=0N=0; no positive-user hypothesis is added to Section 5's assumptions.

The first repair requires L(x)<1L(x)<1L(x)<1 at every x∈∏uK~ux\in\prod_u\widetilde K_ux∈∏u​Ku​. The paper's Theorem 1 condition (18) implies this bound, but is stronger than needed. Without the bound, a private deviation can cross the pole of δuxu,clet/(1−L(x))\delta_u x_{u,\mathrm{clet}}/(1-L(x))δu​xu,clet​/(1−L(x)); Lean's total division then assigns a value at a zero denominator even though the paper's cost has none. In a two-user instance with n=1n=1n=1, δu=0.9\delta_u=0.9δu​=0.9 and Umax⁡=0.5U_{\max}=0.5Umax​=0.5, the pole can lie within one user's private feasible interval. The second repair reads “the original game is monotone” on ∏uK~u\prod_u\widetilde K_u∏u​Ku​, because that is precisely the xxx-domain of KeK_eKe​. Monotonicity on KKK alone is insufficient. Both repairs are disclosed in the item notes, and the source wording remains visible in the milestone quotations.

An empty KKK would make a solution statement vacuous; the formal development should retain concrete feasible parameter instances. The map FFF is the paper's displayed formula, rather than a derivative chosen to make a milestone tautological. The VI uses all user coordinates, and the extended game does not silently reinstate the shared constraint in user deviations. Contributions toward the stated multiplier theorem, Nash-to-VI equivalence, and the cancellation identity are welcome, along with reusable finite-dimensional convex-analysis lemmas.

Selected references

  • V. Cardellini, V. De Nitto Personé, V. Di Valerio, F. Facchinei, V. Grassi, F. Lo Presti, and V. Piccialli, A game-theoretic approach to computation offloading in mobile cloud computing, accepted manuscript for Mathematical Programming, 2015, DOI 10.1007/s10107-015-0881-6.
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Mechanism DesignOperations ResearchOptimization·Captain: mikedeng1

Double Counting in Supply Chain Carbon Footprinting II: A Carbon Leader Paying Linear Emission-Contingent Rules That Double-Count Internally Earns Its Effort-Contracting ProfitResearch Paper

Motivation

Firms increasingly account for, and offset, the greenhouse-gas emissions of their entire supply chain, not only their own operations. Emissions in a supply chain are often jointly produced: the footprint of one process (transport, packaging, a molten-bulk delivery) depends on the abatement efforts of several firms at once. When each firm is charged for "its" emissions, the question is how to allocate the footprint of a jointly produced process so that every firm has the right incentive to abate.

Caro, Corbett, Tan and Zuidwijk (working paper, 2012; published in Manufacturing & Service Operations Management 15(4), 2013) model this as a moral-hazard problem in teams. Their §4 shows that a social planner who wants the first-best efforts must, under joint production, double-count emissions: the marginal payments across firms for one process exceed the carbon price. This mission formalizes §5, which looks at a different institutional arrangement observed in practice. One firm, the carbon leader (the paper's example is the cosmetics company Natura), voluntarily pays for all supply-chain emissions at a carbon price ppp and compensates the other firms to induce abatement.

Timeline. Holmström (1982) showed that a budget-balanced sharing rule cannot implement efficient efforts in a team. Strausz (1999) showed that sequential moves can restore efficiency. Battaglini (2006) studied joint production with multidimensional output. Caro et al. (2012) placed the carbon leader in this line: a Stackelberg leader whose commitment plays the role of Strausz's sequential structure.

Setting

There are finite sets of firms N\mathcal NN and processes I\mathcal II. Firm nnn chooses efforts en∈[0,A]mn\mathbf e_n\in[0,A]^{m_n}en​∈[0,A]mn​, one for each of its abatement actions, and the effort profile e\mathbf ee lies in the box [0,A]M[0,A]^M[0,A]M. Firm nnn earns profit Vn(en)V_n(\mathbf e_n)Vn​(en​), which is differentiable, concave and componentwise decreasing: effort is costly. Process iii emits fi(e)≥0f_i(\mathbf e)\ge0fi​(e)≥0, which is differentiable, convex and componentwise decreasing on the box. The influence matrix BBB has bn,i=1b_{n,i}=1bn,i​=1 if firm nnn influences process iii, that is, if ∑j∂fi/∂en,j<0\sum_j\partial f_i/\partial e_{n,j}<0∑j​∂fi​/∂en,j​<0, and bn,i=0b_{n,i}=0bn,i​=0 otherwise.

The first best at carbon price ccc maximizes the social value ∑nVn(en)−c∑ifi(e)\sum_n V_n(\mathbf e_n)-c\sum_i f_i(\mathbf e)∑n​Vn​(en​)−c∑i​fi​(e) over the box. At the societal cost c=pSc=p_Sc=pS​ its maximizer is e∗\mathbf e^*e∗, assumed unique.

The carbon leader is a firm NNN, written L in Lean. Every other firm nnn has a reservation profit πˉn\bar\pi_nπˉn​. The signed transfer gng_ngn​ is recorded as a payment by firm nnn; a negative value means compensation from the leader. The leader faces two problems.

  • PEP_EPE​ (6)–(8): it sets gn(en)g_n(\mathbf e_n)gn​(en​), contingent on firm nnn's own effort. It maximizes VN(eN)−p∑ifi(e)+∑n≠Ngn(en)V_N(\mathbf e_N)-p\sum_i f_i(\mathbf e)+\sum_{n\ne N}g_n(\mathbf e_n)VN​(eN​)−p∑i​fi​(e)+∑n=N​gn​(en​) subject to participation, Vn−gn≥πˉnV_n-g_n\ge\bar\pi_nVn​−gn​≥πˉn​, and incentive compatibility, en\mathbf e_nen​ being a best response. Its optimal value is zEz^EzE, attained at efforts eE\mathbf e^EeE.
  • PFP_FPF​ (9)–(11): the same problem, except that the payments gn(f)g_n(\mathbf f)gn​(f) may depend only on the emissions vector f=f(e)\mathbf f=\mathbf f(\mathbf e)f=f(e), because efforts cannot be verified.

Formalization targets

Goal: Proposition 5 (p. 16)

Let (gE,eE)(g^E,\mathbf e^E)(gE,eE) be optimal for PEP_EPE​ and define, for n≠Nn\neq Nn=N,

gn(f)=p∑i∈Ibn,ifi+kn,kn=Vn(enE)−p∑i∈Ibn,ifi(eE)−πˉn.(12)g_n(\mathbf f)=p\sum_{i\in\mathcal I}b_{n,i}f_i+k_n,\qquad k_n=V_n(\mathbf e^E_n)-p\sum_{i\in\mathcal I}b_{n,i}f_i(\mathbf e^E)-\bar\pi_n.\qquad(12)gn​(f)=pi∈I∑​bn,i​fi​+kn​,kn​=Vn​(enE​)−pi∈I∑​bn,i​fi​(eE)−πˉn​.(12)

Then (g,eE)(g,\mathbf e^E)(g,eE) is feasible for PFP_FPF​, its value equals zEz^EzE, and every feasible solution of PFP_FPF​ has value at most zEz^EzE:

max⁡PF  =  zE  =  max⁡PE.\max P_F \;=\; z^E \;=\; \max P_E .maxPF​=zE=maxPE​.

Milestones (proof in App. A.4, p. 26)

  1. Reduction of PEP_EPE​ (p. 15). zE=max⁡e[∑nVn(en)−p∑ifi(e)]−∑n≠Nπˉnz^E=\max_{\mathbf e}\big[\sum_n V_n(\mathbf e_n)-p\sum_i f_i(\mathbf e)\big]-\sum_{n\ne N}\bar\pi_nzE=maxe​[∑n​Vn​(en​)−p∑i​fi​(e)]−∑n=N​πˉn​, attained at eE\mathbf e^EeE.
  2. Participation under (12). Vn(enE)−gn(f(eE))=πˉnV_n(\mathbf e^E_n)-g_n(\mathbf f(\mathbf e^E))=\bar\pi_nVn​(enE​)−gn​(f(eE))=πˉn​ for n≠Nn\ne Nn=N.
  3. First-order identity. ∂Vn(eE)/∂en,j=p∑ibn,i ∂fi(eE)/∂en,j\partial V_n(\mathbf e^E)/\partial e_{n,j}=p\sum_i b_{n,i}\,\partial f_i(\mathbf e^E)/\partial e_{n,j}∂Vn​(eE)/∂en,j​=p∑i​bn,i​∂fi​(eE)/∂en,j​ for n≠Nn\neq Nn=N.
  4. Incentive compatibility under (12). enE\mathbf e^E_nenE​ maximizes Vn(x)−gn(f(e−nE,x))V_n(\mathbf x)-g_n(\mathbf f(\mathbf e^E_{-n},\mathbf x))Vn​(x)−gn​(f(e−nE​,x)) over firm nnn's box.
  5. Upper bound. Every feasible solution of PFP_FPF​ has value at most zEz^EzE.

Companion: Lemma 6 (p. 17)

If 0≤p<pS0\le p<p_S0≤p<pS​, each VnV_nVn​ is supermodular and each fif_ifi​ is submodular, then eE≤e∗\mathbf e^E\le\mathbf e^*eE≤e∗ componentwise.

Significance

The result. Proposition 5 says that, when efforts are unobservable, a carbon leader that can commit loses nothing compared with contracting on efforts. A linear rule, the form footprint accounting already takes in practice, achieves the benchmark. The rule charges each firm the full price ppp on every footprint it influences, so emissions are double-counted internally, yet the supply chain as a whole pays for carbon once. This is how the paper reconciles its §4 impossibility (a planner must double-count) with a footprint-balanced scheme: the leader moves first and is excluded from the incentive constraints. Lemma 6 then says that a leader paying a price below the societal cost induces weakly less effort than the first best.

Formalizing it. Both results are proved in the paper. As far as the platform's catalog shows, neither is machine-checked anywhere. The proof of Proposition 5 combines a reduction of a bilevel problem with a first-order argument for concave games on a box. The appendix compresses these into three sentences, one of which contains a misprint ("since f is concave" for convex). Formalizing it makes the leader–follower conventions explicit: the leader's tie-breaking choice of follower efforts, and the unilateral deviation in (11).

Difficulty

The paper calls PFP_FPF​ a constrained version of PEP_EPE​, but their feasible sets are not literally nested: PFP_FPF​'s payments are functions of the emission vector and PEP_EPE​'s of a firm's own effort. Establishing the common upper bound therefore requires care with the two payment domains and the participation constraint (10).

The incentive compatibility of (12) is the substantive step. It is a global best-response claim on a closed effort box, while the appendix states only a first-order identity at an interior point. The influence indicator bn,i=0b_{n,i}=0bn,i​=0 also has to agree with every action-level derivative, rather than only their sum. For Lemma 6, the optimum at price ppp need not be unique.

Formalization scope

  • Indices. Firms, actions and processes are finite types. Efforts are e : (n : ι) → act n → ℝ, and a unilateral deviation is Function.update.
  • Partial derivatives. A partial derivative is the one-variable deriv along one coordinate. Every theorem that uses one assumes differentiability.
  • Optimality. "Optimal" means feasible with value at least that of every feasible point, never sSup. zEz^EzE is the PEP_EPE​ objective at an optimal pair.
  • Influence matrix. BBB is a real 0/1 matrix, and its defining sign condition is assumed at every profile in the box.
  • Interiority. eE\mathbf e^EeE is assumed interior, the page's "A is a sufficiently large bound to guarantee interior solutions"; the box itself stays closed.
  • Followers' efforts. In PEP_EPE​ and PFP_FPF​ the leader chooses the followers' efforts subject to the best-response constraints, as the page assumes.
  • Hypotheses not imposed. The row and column sums of BBB, the strictness of cnc_ncn​ and gn≤0g_n\le0gn​≤0 are unused and not imposed.

Rule (12) is a function of the emission vector only, and the deviation in (11) moves only firm nnn's efforts. A formalization in which payments may depend on efforts, or in which a deviation also moves the leader, would make the goal trivial and is ruled out. A sorry-free instance with two firms checks that every hypothesis of the goal can be satisfied. Supermodularity reuses the published Supermodularity.Monotonicity.SupermodularOn. All other definitions live in CarbonDoubleCount.Leader.Setting.

Proofs of the milestones, or alternative routes such as a Lagrangian argument for incentive compatibility, are welcome. A general lemma that a concave differentiable function on a box is maximized at an interior stationary point would be reusable beyond this mission.

Selected references

  • F. Caro, C. J. Corbett, T. Tan, R. Zuidwijk, Double-Counting in Supply Chain Carbon Footprinting, working paper dated December 21, 2012; Manufacturing & Service Operations Management 15(4), 2013. https://doi.org/10.1287/msom.2013.0443
  • B. Holmström, Moral Hazard in Teams, Bell Journal of Economics 13(2), 1982. https://doi.org/10.2307/3003457
  • R. Strausz, Efficiency in Sequential Partnerships, Journal of Economic Theory 85, 1999. https://doi.org/10.1006/jeth.1998.2488
  • M. Battaglini, Joint Production in Teams, Journal of Economic Theory 130(1), 2006. https://doi.org/10.1016/j.jet.2005.03.003
  • D. M. Topkis, Minimizing a Submodular Function on a Lattice, Operations Research 26(2), 1978. https://doi.org/10.1287/opre.26.2.305
  • R. K. Sundaram, A First Course in Optimization Theory, Cambridge University Press, 1996. https://doi.org/10.1017/CBO9780511804526
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Algorithmic Game TheoryCombinatoricsOperations Research·Captain: mikedeng1

A Little Charity Guarantees Almost Envy-Freeness I: Under Monotone Valuations an EFX Allocation Exists Whose Unenvied Pool Has Fewer Goods Than There Are Unenvied AgentsResearch Paper

Motivation

Allocating indivisible goods fairly is difficult because a single good can change how an agent compares two bundles. Exact envy-freeness can be impossible (one good, two agents), so the field works with relaxations. Envy-freeness up to any good (EFX) requires each agent to prefer her own bundle to every other agent's bundle after any one good of that other bundle is removed. Whether EFX allocations of all goods always exist is open; the question motivates weakening the requirement that every good be assigned, and asking how little must be left over. Chaudhury, Kavitha, Mehlhorn and Sgouritsa show that leaving a small, unenvied set of goods unallocated (donated to "charity") suffices for every normalized monotone valuation profile (arXiv:1907.04596v3, Theorem 8, pp. 11–12).

Timeline (as recounted on pp. 2–3 of the source):

  • 2004: Lipton, Markakis, Mossel and Saberi introduce the envy-graph and cycle-elimination technique and compute allocations now called EF1 (DOI 10.1145/988772.988792).
  • 2016: Caragiannis, Kurokawa, Moulin, Procaccia, Shah and Wang define EFX (DOI 10.1145/2940716.2940726).
  • 2018: Plaut and Roughgarden prove EFX allocations of all goods exist for two agents, or for any number of agents with identical valuations (arXiv:1707.04769).
  • 2019: Caragiannis, Gravin and Huang introduce EFX with charity: a partial EFX allocation in which each agent gets at least half her value in a Nash-optimal allocation, with no bound on the number or value of donated goods (arXiv:1902.04319).
  • 2020: Chaudhury, Garg and Mehlhorn prove existence of complete EFX allocations for three agents with additive valuations (arXiv:2002.05119).
  • 2020/2021: the present paper bounds the charity: fewer goods than unenvied agents, and no agent envies the donated set. Its SODA 2020 version assumed gross-substitute valuations; the journal version (arXiv v3) needs only normalized monotone valuations (p. 8, §1.4).

The two bounds matter separately. The empty allocation is EFX and donates everything; a cardinality bound alone still lets the donated goods carry most of an agent's value; the value bound alone allows almost all goods to be donated. The paper's later maximin-share and groupwise-maximin-share guarantees (Theorems 14 and 16, treated in the next missions of this series) are derived from exactly the allocation produced here.

Setting

There are n≥1n\ge1n≥1 agents, indexed by N={1,…,n}N=\{1,\ldots,n\}N={1,…,n} in the paper, and a finite set MMM of mmm indivisible goods. Agent iii has a valuation vi:2M→R≥0v_i:2^M\to\mathbb R_{\ge0}vi​:2M→R≥0​. It is normalized if vi(∅)=0v_i(\varnothing)=0vi​(∅)=0 and monotone if S⊆TS\subseteq TS⊆T implies vi(S)≤vi(T)v_i(S)\le v_i(T)vi​(S)≤vi​(T). No additivity, submodularity or substitutes condition is assumed. These are the general valuations of §1.1.1, p. 3, and §2 of the source.

A partial allocation X=(Xi)i∈NX=(X_i)_{i\in N}X=(Xi​)i∈N​ consists of pairwise disjoint bundles Xi⊆MX_i\subseteq MXi​⊆M. Its pool is the goods not assigned to anyone,

P(X)=M∖⋃i∈NXi.P(X)=M\setminus\bigcup_{i\in N}X_i.P(X)=M∖i∈N⋃​Xi​.

The allocation is EFX when

vi(Xj∖{g})≤vi(Xi)for all i,j∈N and every g∈Xj.v_i(X_j\setminus\{g\})\le v_i(X_i) \qquad\text{for all }i,j\in N\text{ and every }g\in X_j.vi​(Xj​∖{g})≤vi​(Xi​)for all i,j∈N and every g∈Xj​.

The paper calls allocations partial by default (p. 3, footnote 5). The envy graph GXG_XGX​ has the agents as vertices and an edge i→ji\to ji→j when vi(Xi)<vi(Xj)v_i(X_i)<v_i(X_j)vi​(Xi​)<vi​(Xj​). A source is a vertex with no incoming edge. Its reachability component C(s)C(s)C(s) includes sss itself. The social welfare of XXX is ϕ(X)=∑ivi(Xi)\phi(X)=\sum_i v_i(X_i)ϕ(X)=∑i​vi​(Xi​). These notions are introduced on pp. 8–9 of the source.

For a set SSS of goods, an envied set is one some agent values more than her own bundle. An inclusion-wise minimal envied subset ZZZ is envied, but no strict subset of ZZZ is envied by anyone. An agent who envies such a ZZZ is a most envious agent of SSS; the paper allows ties. The three update rules U0, U1 and U2 use these sets to change an allocation while maintaining EFX (Definition 3 and Algorithm 2, p. 9).

Formalization targets

The goal is the allocation guarantee of Theorem 8:

∃X partial:X is EFX,vi(P(X))≤vi(Xi) (i∈N),∣P(X)∣<∣sources⁡(GX)∣≤n.\exists X\text{ partial}:\quad X\text{ is EFX},\qquad v_i(P(X))\le v_i(X_i)\ (i\in N),\qquad |P(X)|<|\operatorname{sources}(G_X)|\le n.∃X partial:X is EFX,vi​(P(X))≤vi​(Xi​) (i∈N),∣P(X)∣<∣sources(GX​)∣≤n.

Both the stronger source-count bound and its consequence ∣P(X)∣<n|P(X)|<n∣P(X)∣<n are stated. The theorem asserts existence for every normalized, monotone valuation profile, including nonadditive profiles. It does not require the returned envy graph to be acyclic; acyclicity is an invariant used during construction, rather than an additional advertised property of the final allocation.

The attack path consists of the paper's numbered Lemmas 2, 4, 5, 6 and 7. Lemma 2 concerns removal of envy cycles; its Lean form keeps the page's conditional "if XXX is EFX then X′X'X′ is EFX" and the unconditional strict welfare increase. Lemma 4 records what U0 does and what its failure implies. Lemma 5 records U1's welfare and EFX guarantees. Lemma 6 supplies the finite source, good and agent data required for U2. Lemma 7 states U2's welfare and EFX guarantees. Their source wording and page locations appear in the milestone list; the Lean statements include the exact allocation updates where those lemmas rely on them.

Significance

The theorem guarantees a partial EFX allocation even for general monotone valuations, while limiting the unallocated pool more tightly than the number of agents: its size is below the number of unenvied agents. Every agent also values that entire pool no more than her own bundle. These two bounds distinguish the allocation from a merely EFX partial allocation. They provide the starting point for the paper's later statements on approximate maximin shares under additive valuations (Theorems 14 and 16).

The mathematical result is proved in the paper. The mission asks for a machine-checked proof of its allocation guarantee and of the supporting lemmas, with a reusable Lean account of finite partial allocations, the unallocated pool, envy graphs, minimal envied subsets and the update rules. Such definitions are useful for other fair-division questions involving unallocated indivisible goods.

Difficulty

EFX must hold after the allocation is changed, for every agent pair and for removal of every good from the other agent's new bundle. Simply giving a pool good to an agent may violate that condition, even though it makes the pool smaller. Conversely, replacing a bundle with an envied subset can improve welfare while returning goods to the pool. The source-count bound depends on controlling both kinds of progress. Rule U2 adds a further complication: its bundle moves follow envy paths, so an overlap between selected paths would make the new allocation ambiguous. These are the points at which the straightforward approach of distributing the remaining goods one at a time stops working.

Formalization scope

Lean represents agents by Fin n, goods by Fin m, bundles by finite sets of goods, and valuations by real-valued functions on bundles. The paper's one-based subscripts become zero-based Lean indices. Nonnegative values need no separate hypothesis: normalization and monotonicity imply them. The hypothesis n>0n>0n>0 is explicit because the paper presumes agents and the strict bound ∣P∣<n|P|<n∣P∣<n is false when n=0n=0n=0. The pool is computed as the complement of the union of pairwise disjoint assigned bundles. It is never a free set. EFX ranges over every pair i,ji,ji,j, including i=ji=ji=j, and every good of XjX_jXj​.

The minimal-envied-subset definition checks every strict subset against every agent. The most envious agent is a relation, allowing the paper's arbitrary tie choice. Reachability includes a path of length zero. U2's new allocation is calculated from its paths and chosen subsets. Lemma 6 includes Algorithm 1's acyclic-graph invariant and the ordering property established in its proof. It replaces the printed threshold ∣P∣≥n|P|\ge n∣P∣≥n with ∣P∣≥∣sources⁡(GX)∣|P|\ge|\operatorname{sources}(G_X)|∣P∣≥∣sources(GX​)∣, the exact number of fresh goods its construction needs and the threshold used by the goal. Lemma 7 takes that ordering property to make path assignments unambiguous.

The printed U2 pool expression in Algorithm 2, line 13, is malformed; the formal statement uses the pool of the constructed allocation and the corrected union of leftover goods. Theorem 8's final sentence also asserts an nmV/ΔnmV/\DeltanmV/Δ iteration bound. This mission poses the allocation conclusions, while a future run-level formalization would be needed to state and check the iteration count. The paper's preceding count of U1/U2 steps and successive U0 steps does not by itself imply the printed number. Definitions and the numbered lemma statements are welcome contributions; a purported proof that uses a free empty pool, overlapping bundles, zero agents or an arbitrary replacement allocation would not establish this target.

Selected references

  • B. R. Chaudhury, T. Kavitha, K. Mehlhorn and A. Sgouritsa, A Little Charity Guarantees Almost Envy-Freeness, arXiv:1907.04596v3, 2020; published in SIAM Journal on Computing, 2021. Pinned preprint.
  • R. J. Lipton, E. Markakis, E. Mossel and A. Saberi, On approximately fair allocations of indivisible goods, ACM EC 2004. https://doi.org/10.1145/988772.988792
  • I. Caragiannis, D. Kurokawa, H. Moulin, A. D. Procaccia, N. Shah and J. Wang, The unreasonable fairness of maximum Nash welfare, ACM EC 2016. https://doi.org/10.1145/2940716.2940726
  • B. Plaut and T. Roughgarden, Almost envy-freeness with general valuations, SODA 2018. https://arxiv.org/abs/1707.04769
  • I. Caragiannis, N. Gravin and X. Huang, Envy-freeness up to any item with high Nash welfare: the virtue of donating items, ACM EC 2019. https://arxiv.org/abs/1902.04319
  • B. R. Chaudhury, J. Garg and K. Mehlhorn, EFX exists for three agents, ACM EC 2020. https://arxiv.org/abs/2002.05119
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CombinatoricsOperations ResearchOptimization·Captain: mikedeng1

Scheduling Problems with Two Competing Agents 9: Total Completion Time Against a Maximum Cost Has at Most n_A·n_B + 1 Nondominated PairsResearch Paper

Motivation

Many scheduling decisions are not owned by a single decision maker. A machine shared by two departments, a production line serving two customers, or a computing resource shared by two users must process the jobs of two agents, each of which judges a schedule by its own criterion. Agnetis, Mirchandani, Pacciarelli and Pacifici introduced this model in Scheduling Problems with Two Competing Agents (Operations Research, 2004, doi:10.1287/opre.1030.0092), and it became the starting point of the literature on multi-agent scheduling (surveyed in Agnetis, Billaut, Gawiejnowicz, Pacciarelli and Soukhal, Multiagent Scheduling, Springer, 2014, doi:10.1007/978-3-642-41880-8).

When neither agent can impose its criterion on the other, the natural object to compute is the set of compromises that cannot be improved for one agent without hurting the other: the Pareto frontier. Section 11 of the paper asks how large that frontier can be for each pair of criteria it studies, because the size of the frontier decides whether it can be listed in polynomial time. This mission formalizes the answer for one agent minimizing its total completion time against the other agent's maximum cost.

Setting

Agent AAA owns jobs J1A,…,JnAAJ^A_1,\dots,J^A_{n_A}J1A​,…,JnA​A​ and agent BBB owns jobs J1B,…,JnBBJ^B_1,\dots,J^B_{n_B}J1B​,…,JnB​B​, with nB≥1n_B\ge 1nB​≥1. Every job JjJ_jJj​ has a positive processing time pjp_jpj​, is available at time 000, and is processed without interruption on a single machine that handles one job at a time. Since both criteria below are nondecreasing in completion times, a schedule σ\sigmaσ is a sequence of all nA+nBn_A+n_BnA​+nB​ jobs processed in that order from time 000 without idle time, and Cj(σ)C_j(\sigma)Cj​(σ) denotes the completion time of JjJ_jJj​.

  • Agent AAA wants to minimize its total completion time ∑h=1nAChA(σ)\sum_{h=1}^{n_A} C^A_h(\sigma)∑h=1nA​​ChA​(σ).
  • Each BBB-job has a nondecreasing cost function fkBf^B_kfkB​ of its completion time, and agent BBB wants to minimize its maximum cost fmax⁡B(σ)=max⁡kfkB(CkB(σ))f^B_{\max}(\sigma)=\max_k f^B_k(C^B_k(\sigma))fmaxB​(σ)=maxk​fkB​(CkB​(σ)).

A schedule σ\sigmaσ is nondominated if no schedule σˉ\bar\sigmaσˉ has ∑ChA(σˉ)≤∑ChA(σ)\sum C^A_h(\bar\sigma)\le\sum C^A_h(\sigma)∑ChA​(σˉ)≤∑ChA​(σ) and fmax⁡B(σˉ)≤fmax⁡B(σ)f^B_{\max}(\bar\sigma)\le f^B_{\max}(\sigma)fmaxB​(σˉ)≤fmaxB​(σ) with at least one inequality strict. Its nondominated pair is (∑ChA(σ),fmax⁡B(σ))\bigl(\sum C^A_h(\sigma),f^B_{\max}(\sigma)\bigr)(∑ChA​(σ),fmaxB​(σ)). The constrained problem 1∥∑CiA:fmax⁡B≤Q1\|\sum C^A_i : f^B_{\max}\le Q1∥∑CiA​:fmaxB​≤Q asks for a schedule with fkB(CkB)≤Qf^B_k(C^B_k)\le QfkB​(CkB​)≤Q for every BBB-job that minimizes ∑ChA\sum C^A_h∑ChA​ among such schedules; such a schedule is optimal for the bound QQQ.

The AAA-jobs of a schedule follow the SPT order when they appear by nondecreasing processing time, equal lengths in index order. A BBB-job overtakes an AAA-job when it moves from after it to before it.

Formalization targets

Goal: Theorem 11.6, corrected

∣{(∑ChA(σ), fmax⁡B(σ)):σ nondominated}∣ ≤ nA nB+1.\bigl|\{(\textstyle\sum C^A_h(\sigma),\,f^B_{\max}(\sigma)) : \sigma\ \text{nondominated}\}\bigr|\ \le\ n_A\,n_B+1.​{(∑ChA​(σ),fmaxB​(σ)):σ nondominated}​ ≤ nA​nB​+1.

The paper prints the bound nAnBn_An_BnA​nB​. That bound is false: with one job per agent, unit processing times and fB(t)=tf^B(t)=tfB(t)=t, the schedules ABABAB and BABABA give the two nondominated pairs (1,2)(1,2)(1,2) and (2,1)(2,1)(2,1). The corrected bound nAnB+1n_An_B+1nA​nB​+1 is the one the printed argument supports.

Milestones

  1. Lemma 5.4 (p. 234): if no BBB-job can complete last within the bound, every optimal schedule ends with a longest AAA-job. This is the reason the AAA-jobs of optimal schedules are in SPT order.
  2. Lemma 11.4 (p. 240): for Q′<QQ'<QQ′<Q and optimal schedules σ,σ′\sigma,\sigma'σ,σ′ for QQQ and Q′Q'Q′ whose AAA-jobs follow the SPT order, Cj(σ′)≥Cj(σ)C_j(\sigma')\ge C_j(\sigma)Cj​(σ′)≥Cj​(σ) for every AAA-job jjj.
  3. Lemma 11.5 (p. 240): under the same hypotheses, if a BBB-job precedes an AAA-job in σ\sigmaσ, it precedes it also in σ′\sigma'σ′.

Significance

A frontier of size at most nAnB+1n_An_B+1nA​nB​+1 means that the scheme the paper calls PP, which solves the constrained problem for a decreasing sequence of bounds, lists every nondominated pair with polynomially many calls to a polynomial algorithm (Theorem 5.5 of the paper). The contrast with the other criteria of §11 is the point: for two total-completion-time agents the paper exhibits an exponential frontier (Example 11.7). The bound therefore separates criteria whose compromises can be negotiated over an explicit list from those where they cannot.

Formalizing it adds three things. First, the printed statements need corrections: the bound is off by one, and Lemmas 11.4 and 11.5 are false when identical AAA-jobs may be ordered differently in the two schedules. A machine-checked version fixes the exact hypotheses. Second, the monotonicity of overtakes (Lemma 11.5) is a reusable structural fact about parametric scheduling under a tightening constraint. Third, no part of this paper or of two-agent scheduling has been machine-checked before, to our knowledge; the published sequence model the mission builds on comes from the formalization of Moore's 1968 algorithm.

Difficulty

The obvious argument counts overtakes: as the bound decreases, each BBB-job overtakes each AAA-job at most once, so consecutive frontier points differ by at least one new overtake. The step that does not go through as printed is "at most once". Optimal schedules for a given bound are not unique, and two optimal schedules can disagree on the order of identical AAA-jobs and on the position of a BBB-job between them. Then an "overtake" can be undone between two bounds without any change in the objectives. The counting is valid only for a consistently chosen family of schedules, and turning the comparison of optimal schedules for two different bounds into a strict improvement needs an exchange argument with careful bookkeeping of which jobs shift. A second, smaller gap is the base case: the first schedule of the chain carries no overtake and must be counted separately.

Formalization scope

Jobs are Fin nA ⊕ Fin nB, 0-based, and a schedule is a duplicate-free list of all jobs; completion times come from the published definition MooreLateJobs.Shared.completionTime (Moore 1968 series), referenced rather than redefined. Processing times are real and strictly positive, the paper's standing convention, which the exchange arguments use. The bound QQQ is real; the paper's integer QQQ is a special case. Feasibility for the bound is stated job by job. The maximum cost fmax⁡Bf^B_{\max}fmaxB​ is a finite maximum and requires nB≥1n_B\ge 1nB​≥1.

Explicit readings of the paper's phrases:

  • "Nondominated schedules" in Theorem 11.6 is read as nondominated pairs, one schedule per pair, as §11 defines the set it enumerates. Counting schedules would count swaps of identical jobs separately.
  • The count is Set.encard of a set of real pairs, so the goal asserts finiteness as well as the bound; it is not a Set.ncard, which would be 000 on an infinite set.
  • "The AAA-jobs are always SPT ordered" (p. 240) is read as the SPT order with ties broken by index, imposed as a hypothesis on both schedules in Lemmas 11.4 and 11.5. Without a fixed tie-break both lemmas are false.
  • Lemma 5.4 is restated with nA≥1n_A\ge 1nA​≥1, since an empty schedule has no last job. It is also a milestone of mission 3 of this series and is restated here identically because draft items cannot import each other.

Nothing in the statements is trivial by construction. The goal is about every instance with positive data, its hypotheses are satisfiable, and the counterexample to the printed bound is checked in Lean. The milestones' SPT hypotheses are met by some optimal schedule of every feasible instance, so they are not vacuous. Running times, including the polynomiality of PP and the choice of the decrement ϵ\epsilonϵ in Figure 4, are not formalized.

A complete development needs exchange lemmas for single-machine sequences (moving a job, swapping two adjacent jobs, and their effect on completion times), the existence of SPT-ordered optimal schedules, and a chain-counting argument for nested sets of overtakes. The exchange lemmas are reusable for any single-machine sequencing mission. Contributions of any of these, and of a proof of the corrected bound that avoids the scheme PP, are welcome.

Selected references

  • A. Agnetis, P. B. Mirchandani, D. Pacciarelli, A. Pacifici, Scheduling Problems with Two Competing Agents, Operations Research 52(2), 229–242, 2004. https://doi.org/10.1287/opre.1030.0092
  • J. M. Moore, An n Job, One Machine Sequencing Algorithm for Minimizing the Number of Late Jobs, Management Science 15(1), 102–109, 1968. https://doi.org/10.1287/mnsc.15.1.102
  • A. Agnetis, J.-C. Billaut, S. Gawiejnowicz, D. Pacciarelli, A. Soukhal, Multiagent Scheduling: Models and Algorithms, Springer, 2014. https://doi.org/10.1007/978-3-642-41880-8
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Algorithmic Game TheoryOperations ResearchOptimization·Captain: mikedeng1

A game-theoretic approach to computation offloading in mobile cloud computing I: The Offloading GNEP Has a SolutionResearch Paper

Motivation

Mobile devices run applications whose computational load can exceed what the device itself can serve in reasonable time and with reasonable battery drain. Computation offloading sends part of that load elsewhere: to a cloudlet, a small cluster of servers one wireless hop away, or to a distant cloud reached through the wide-area network. The cloudlet is shared, so its response time depends on how much load all users send to it, and each user's best offloading decision depends on everybody else's. Cardellini, De Nitto Personé, Di Valerio, Facchinei, Grassi, Lo Presti and Piccialli (Math. Program., 2016, DOI 10.1007/s10107-015-0881-6) model this as a non-cooperative game between users and study it with the tools of variational inequalities.

The game is a generalized Nash equilibrium problem (GNEP): not only the costs but also the feasible sets of the players depend on the other players' choices, because all users share one capacity constraint on the cloudlet. GNEPs with a shared convex constraint (jointly convex games) can be reduced to a single variational inequality, a reduction the paper takes from Facchinei, Fischer and Piccialli (Oper. Res. Lett. 2007, DOI 10.1016/j.orl.2006.03.004); Facchinei and Kanzow survey the area (Ann. Oper. Res. 2010, DOI 10.1007/s10479-009-0653-x). This mission formalizes the first step of the paper's analysis: the game has an equilibrium.

Setting

There are NNN users u=1,…,Nu=1,\dots,Nu=1,…,N and three tiers I={m,clet,cloud}I=\{m,\mathrm{clet},\mathrm{cloud}\}I={m,clet,cloud} (mobile device, cloudlet, cloud). User uuu chooses the fractions xu=(xu,m,xu,clet,xu,cloud)x_u=(x_{u,m},x_{u,\mathrm{clet}},x_{u,\mathrm{cloud}})xu​=(xu,m​,xu,clet​,xu,cloud​) of its tasks run on each tier. A profile is x=(x1,…,xN)∈R3Nx=(x_1,\dots,x_N)\in\mathbb R^{3N}x=(x1​,…,xN​)∈R3N.

The data are reals αu,βu,γu,δu\alpha_u,\beta_u,\gamma_u,\delta_uαu​,βu​,γu​,δu​ (arrival rates divided by service or transfer rates), powers Pu,m,Pu,t,Pu,max⁡P_{u,m},P_{u,t},P_{u,\max}Pu,m​,Pu,t​,Pu,max​, the number n≥1n\ge1n≥1 of cloudlet servers, the offloadable fraction χ∈(0,1]\chi\in(0,1]χ∈(0,1] and a utilisation cap Umax⁡U_{\max}Umax​. Assumption A requires Umax⁡U_{\max}Umax​ and every αu,δu\alpha_u,\delta_uαu​,δu​ to lie in (0,1)(0,1)(0,1).

User uuu's private feasible set is

K~u={xu∈R+3: ∑i∈Ixu,i=1, xu,clet+xu,cloud≤χ, αuPu,mxu,m+βuPu,t(xu,clet+xu,cloud)≤Pu,max⁡},\tilde K_u=\Big\{x_u\in\mathbb R^3_+:\ \textstyle\sum_{i\in I}x_{u,i}=1,\ x_{u,\mathrm{clet}}+x_{u,\mathrm{cloud}}\le\chi,\ \alpha_uP_{u,m}x_{u,m}+\beta_uP_{u,t}(x_{u,\mathrm{clet}}+x_{u,\mathrm{cloud}})\le P_{u,\max}\Big\},K~u​={xu​∈R+3​: ∑i∈I​xu,i​=1, xu,clet​+xu,cloud​≤χ, αu​Pu,m​xu,m​+βu​Pu,t​(xu,clet​+xu,cloud​)≤Pu,max​},

the shared constraint is Ω={x:1n∑vδvxv,clet≤Umax⁡}\Omega=\{x:\frac1n\sum_v\delta_vx_{v,\mathrm{clet}}\le U_{\max}\}Ω={x:n1​∑v​δv​xv,clet​≤Umax​}, and the joint feasible set is K=(∏uK~u)∩ΩK=\big(\prod_u\tilde K_u\big)\cap\OmegaK=(∏u​K~u​)∩Ω. User uuu minimises the mean response cost

λuRu(xu,x−u)=αuxu,m1−αuxu,m+βuxu,clet+γuxu,cloud+δuxu,clet1−1n∑vδvxv,clet\lambda_uR_u(x_u,x_{-u})=\frac{\alpha_ux_{u,m}}{1-\alpha_ux_{u,m}}+\beta_ux_{u,\mathrm{clet}}+\gamma_ux_{u,\mathrm{cloud}}+\frac{\delta_ux_{u,\mathrm{clet}}}{1-\frac1n\sum_v\delta_vx_{v,\mathrm{clet}}}λu​Ru​(xu​,x−u​)=1−αu​xu,m​αu​xu,m​​+βu​xu,clet​+γu​xu,cloud​+1−n1​∑v​δv​xv,clet​δu​xu,clet​​

over {y∈K~u:(y,x−u)∈Ω}\{y\in\tilde K_u:(y,x_{-u})\in\Omega\}{y∈K~u​:(y,x−u​)∈Ω}. A solution of the GNEP is a profile xˉ∈K\bar x\in Kxˉ∈K at which no user can lower its cost by a deviation that keeps the shared constraint satisfied.

The map F:R3N→R3NF:\mathbb R^{3N}\to\mathbb R^{3N}F:R3N→R3N stacks the users' partial gradients,

F(x)u=(αu(1−αuxu,m)2, βu+δu1−1n∑v≠uδvxv,clet(1−1n∑vδvxv,clet)2, γu),F(x)_u=\Big(\frac{\alpha_u}{(1-\alpha_ux_{u,m})^2},\ \beta_u+\delta_u\frac{1-\frac1n\sum_{v\ne u}\delta_vx_{v,\mathrm{clet}}}{\big(1-\frac1n\sum_v\delta_vx_{v,\mathrm{clet}}\big)^2},\ \gamma_u\Big),F(x)u​=((1−αu​xu,m​)2αu​​, βu​+δu​(1−n1​∑v​δv​xv,clet​)21−n1​∑v=u​δv​xv,clet​​, γu​),

and xˉ\bar xxˉ solves the variational inequality VI(K,F)\mathrm{VI}(K,F)VI(K,F) if xˉ∈K\bar x\in Kxˉ∈K and F(xˉ)⊤(x−xˉ)≥0F(\bar x)^\top(x-\bar x)\ge0F(xˉ)⊤(x−xˉ)≥0 for all x∈Kx\in Kx∈K. Such solutions are the variational (or normalized) solutions of the game.

Formalization targets

Goal: Proposition 1 (p. 12)

Under Assumption A, and provided every K~u\tilde K_uK~u​ is nonempty,

∃ xˉ∈K  ∀u  ∀y∈K~u with (y,xˉ−u)∈Ω:λuRu(xˉu,xˉ−u)≤λuRu(y,xˉ−u).\exists\,\bar x\in K\ \ \forall u\ \ \forall y\in\tilde K_u\ \text{with}\ (y,\bar x_{-u})\in\Omega:\quad \lambda_uR_u(\bar x_u,\bar x_{-u})\le\lambda_uR_u(y,\bar x_{-u}).∃xˉ∈K  ∀u  ∀y∈K~u​ with (y,xˉ−u​)∈Ω:λu​Ru​(xˉu​,xˉ−u​)≤λu​Ru​(y,xˉ−u​).

Milestones

  1. F(x)u=∇xuλuRu(x)F(x)_u=\nabla_{x_u}\lambda_uR_u(x)F(x)u​=∇xu​​λu​Ru​(x) wherever both denominators are positive (p. 11).
  2. For fixed x−ux_{-u}x−u​, user uuu's feasible set is convex and its cost is convex on it (p. 11).
  3. Every solution of VI(K,F)\mathrm{VI}(K,F)VI(K,F) is a solution of the GNEP (proof of Proposition 1).
  4. FFF is continuous on KKK, and KKK is compact and convex (proof of Proposition 1).
  5. VI(K,F)\mathrm{VI}(K,F)VI(K,F) has a solution (proof of Proposition 1, citing Facchinei–Pang, Corollary 2.2.5).

Milestones 3 and 5 give the goal; milestones 1 and 2 are what milestone 3 rests on, and milestone 4 is what milestone 5 rests on. The platform's Proved statement of Brouwer's fixed-point theorem (AGT.brouwer_fixed_point) is included as a reference item for milestone 5.

Significance

The result. Existence of an equilibrium is the precondition for everything else in the paper: the monotonicity of FFF (Theorem 1), the reformulation with a cloudlet price as an extended game (Theorem 2), and the distributed algorithm whose convergence is Theorem 3. Proposition 1 also shows that variational solutions exist, which is the specific equilibrium the paper's algorithm computes.

Formalizing it. The result is proved in the paper, in three lines that cite two textbook theorems. The work here is to make those citations machine-checked for this concrete model: that the closed-form FFF is indeed the stacked partial gradient, that each user's problem is convex despite the rational cost terms, that the VI-to-GNEP reduction holds, and that a VI on a compact convex set with continuous map has a solution. None of these steps is formalized in Mathlib for GNEPs; the last is a finite-dimensional Hartman–Stampacchia theorem, which Mathlib does not contain. No part of this paper has a machine-checked proof.

Difficulty

The obvious argument is to apply Kakutani's theorem to the best-response correspondence. With a shared constraint this needs lower semicontinuity of the feasible-set map x−u↦{y∈K~u:(y,x−u)∈Ω}x_{-u}\mapsto\{y\in\tilde K_u:(y,x_{-u})\in\Omega\}x−u​↦{y∈K~u​:(y,x−u​)∈Ω}, which is a separate argument, and Kakutani is not in Mathlib either. The VI route avoids it but has its own points. The cost has the rational terms αuxu,m/(1−αuxu,m)\alpha_ux_{u,m}/(1-\alpha_ux_{u,m})αu​xu,m​/(1−αu​xu,m​) and δuxu,clet/D(x)\delta_ux_{u,\mathrm{clet}}/D(x)δu​xu,clet​/D(x), and convexity and differentiability must be checked on the region where the denominators are positive; on a user's feasible set this needs Assumption A and the shared constraint, not the private constraints alone. The existence of a VI solution needs a fixed-point theorem on a compact convex set, and Mathlib has no Brouwer theorem. That is why the platform's statement of it is attached to this mission.

Formalization scope

Users are Fin N (0-based) and tiers an inductive type Tier with three constructors; a profile is Fin N → Tier → ℝ. The inner product a⊤ba^\top ba⊤b is the coordinatewise double sum (not Mathlib's sup norm on Pi types). The cost and FFF are the paper's closed forms; FFF is not defined as a derivative, so milestone 1 has content. Lean's x/0=0x/0=0x/0=0 makes both formulas junk where a denominator vanishes. Under Assumption A both denominators are positive on KKK and at every point the GNEP definition compares, and milestone 1 assumes the two positivity conditions explicitly.

Standing hypotheses in every statement: Assumption A, n≥1n\ge1n≥1, 0<χ≤10<\chi\le10<χ≤1. Nothing is assumed of βu,γu\beta_u,\gamma_uβu​,γu​ or the powers, as in the paper. Added hypothesis: every K~u\tilde K_uK~u​ is nonempty, in the goal and in milestone 5. The printed proposition is false without it: if 0<Pu,max⁡<min⁡(αuPu,m,βuPu,t)0<P_{u,\max}<\min(\alpha_uP_{u,m},\beta_uP_{u,t})0<Pu,max​<min(αu​Pu,m​,βu​Pu,t​) then K~u=∅\tilde K_u=\emptysetK~u​=∅, so K=∅K=\emptysetK=∅. The condition is equivalent to K≠∅K\ne\emptysetK=∅. Milestone 4 adds convexity of KKK to the paper's "continuous and compact".

Trivializing formalizations are ruled out: KKK cannot be empty under the added hypothesis, FFF is not a derivative by definition, no statement evaluates the cost at a point with a vanishing denominator, and the GNEP keeps the shared constraint in each player's feasible set (dropping it gives a different game, a NEP).

Contributions welcome: a finite-dimensional Hartman–Stampacchia theorem (reusable well beyond this mission), the general VI-implies-GNEP reduction for jointly convex games, and proofs of the model-specific milestones.

Selected references

  • V. Cardellini, V. De Nitto Personé, V. Di Valerio, F. Facchinei, V. Grassi, F. Lo Presti, V. Piccialli, A game-theoretic approach to computation offloading in mobile cloud computing, Mathematical Programming (2016). https://doi.org/10.1007/s10107-015-0881-6 (accepted manuscript: IRIS Sapienza, handle 11573/779661)
  • F. Facchinei, A. Fischer, V. Piccialli, On generalized Nash games and variational inequalities, Operations Research Letters 35 (2007). https://doi.org/10.1016/j.orl.2006.03.004
  • F. Facchinei, C. Kanzow, Generalized Nash equilibrium problems, Annals of Operations Research 175 (2010). https://doi.org/10.1007/s10479-009-0653-x
  • F. Facchinei, J.-S. Pang, Finite-Dimensional Variational Inequalities and Complementarity Problems, Springer, 2003. https://doi.org/10.1007/b97543
8 thms3 active usersReviewed
Markov ChainProbabilityStochastic Systems·Captain: mikedeng1

Generalized Couplings and Ergodic Rates for SPDEs and Other Markov Models: A Generalized Coupling and a Lyapunov Function Give a Unique Invariant Measure and Wasserstein Ergodic RatesResearch Paper

Motivation

Many Markov processes that arise as solutions of stochastic partial differential equations, stochastic delay equations, or other infinite-dimensional models are not strong Feller: their transition probabilities from two nearby starting points can be mutually singular. For such processes convergence to equilibrium cannot hold in total variation, and the classical Harris theorem (a Lyapunov function plus a minorization on a small set) does not apply. Hairer, Mattingly and Scheutzow ([23], 2011) replaced total variation by a coupling distance WdW_dWd​ built from a suitable distance-like function ddd, and proved a weak Harris theorem: contraction of WdW_dWd​ on the whole space, ddd-smallness of the level sets of a Lyapunov function, and the Lyapunov drift together give a unique invariant measure and a rate of convergence. Butkovsky ([6], 2014) extended it to subgeometric rates, and Kulik's monograph ([25], 2017) gives a systematic account.

The remaining difficulty is to verify the contraction hypothesis for a concrete model. Butkovsky, Kulik and Scheutzow (arXiv:1806.00395, Ann. Appl. Probab. 2020) show that it suffices to build a generalized coupling: a pair of processes whose first component has the correct law, whose second component is only close in law to the process started at the other point, and whose components approach each other. Their abstract theorem of §2 is the input to the paper's applications to stochastic functional differential equations and to the 2D Navier–Stokes, Euler-type and Boussinesq SPDEs of §4.

Setting

Let (E,ρ)(E,\rho)(E,ρ) be a Polish space with Borel σ\sigmaσ-field E\mathcal EE, and let {Pt}t≥0\{P_t\}_{t\ge0}{Pt​}t≥0​ be a Markov transition function: Markov kernels with P0(x,⋅)=δxP_0(x,\cdot)=\delta_xP0​(x,⋅)=δx​ and the Chapman–Kolmogorov identity. Write Ptf(x)=∫f(y) Pt(x,dy)P_tf(x)=\int f(y)\,P_t(x,dy)Pt​f(x)=∫f(y)Pt​(x,dy). The semigroup is Feller if PtP_tPt​ maps bounded continuous functions to continuous functions.

A distance-like function d:E×E→R+d:E\times E\to\mathbb R_+d:E×E→R+​ is symmetric, lower semicontinuous and vanishes exactly on the diagonal. A premetric θ\thetaθ is lower semicontinuous and vanishes exactly on the diagonal, but need not be symmetric. For probability measures μ,ν\mu,\nuμ,ν, C(μ,ν)\mathcal C(\mu,\nu)C(μ,ν) is the set of couplings and

Wd(μ,ν)=inf⁡λ∈C(μ,ν)∫d dλ∈[0,∞].W_d(\mu,\nu)=\inf_{\lambda\in\mathcal C(\mu,\nu)}\int d\,d\lambda\in[0,\infty].Wd​(μ,ν)=λ∈C(μ,ν)inf​∫ddλ∈[0,∞].

dTV(μ,ν)=sup⁡A∣μ(A)−ν(A)∣d_{TV}(\mu,\nu)=\sup_{A}|\mu(A)-\nu(A)|dTV​(μ,ν)=supA​∣μ(A)−ν(A)∣ is the total variation distance.

A measurable V≥0V\ge0V≥0 satisfies the Lyapunov condition if, for a concave differentiable φ:R+→R+\varphi:\mathbb R_+\to\mathbb R_+φ:R+​→R+​ increasing to infinity with φ(0)=0\varphi(0)=0φ(0)=0 and a constant K>0K>0K>0,

PtV(x)≤V(x)−∫0tPs(φ∘V)(x) ds+Kt,t≥0, x∈E.P_tV(x)\le V(x)-\int_0^tP_s(\varphi\circ V)(x)\,ds+Kt,\qquad t\ge0,\ x\in E.Pt​V(x)≤V(x)−∫0t​Ps​(φ∘V)(x)ds+Kt,t≥0, x∈E.

Put Hφ(x)=∫1xdu/φ(u)H_\varphi(x)=\int_1^x du/\varphi(u)Hφ​(x)=∫1x​du/φ(u) for x≥1x\ge1x≥1.

Assumption A asks for a non-increasing rrr with r(t)→0r(t)\to0r(t)→0, a locally bounded LLL, and for every x,yx,yx,y a pair of processes (Xx,y,Yx,y)(X^{x,y},Y^{x,y})(Xx,y,Yx,y) with Law(Xx,y)=Px\mathrm{Law}(X^{x,y})=\mathsf P_xLaw(Xx,y)=Px​,

dTV(Law(Ytx,y),Pt(y,⋅))≤L(t)θ(x,y),E θ(Xtx,y,Ytx,y)≤r(t)θ(x,y).d_{TV}\bigl(\mathrm{Law}(Y^{x,y}_t),P_t(y,\cdot)\bigr)\le L(t)\theta(x,y),\qquad \mathsf E\,\theta(X^{x,y}_t,Y^{x,y}_t)\le r(t)\theta(x,y).dTV​(Law(Ytx,y​),Pt​(y,⋅))≤L(t)θ(x,y),Eθ(Xtx,y​,Ytx,y​)≤r(t)θ(x,y).

Assumption B1 for a set BBB and t0>0t_0>0t0​>0: for every ε>0\varepsilon>0ε>0 there is a set DDD with inf⁡x∈BPt0(x,D)>0\inf_{x\in B}P_{t_0}(x,D)>0infx∈B​Pt0​​(x,D)>0 and sup⁡x,y∈Dθ(x,y)≤ε\sup_{x,y\in D}\theta(x,y)\le\varepsilonsupx,y∈D​θ(x,y)≤ε. Assumption B2 is a generalized-coupling version of B1 on a set BBB. The paper's auxiliary distance is dN=Nθ(x,y)∧Nθ(y,x)∧1d_N=N\theta(x,y)\wedge N\theta(y,x)\wedge1dN​=Nθ(x,y)∧Nθ(y,x)∧1.

Formalization targets

Goal: Theorem 2.5

Assume PPP is Feller, VVV satisfies the Lyapunov condition, ρ∧1≤θ\rho\wedge1\le\thetaρ∧1≤θ, Assumption A holds, and there is t0>0t_0>0t0​>0 such that B1 holds for every level set {V≤M}\{V\le M\}{V≤M} and t0t_0t0​. Then (Pt)(P_t)(Pt​) has a unique invariant probability measure π\piπ, and for every δ∈(0,1)\delta\in(0,1)δ∈(0,1) there are C1,C2>0C_1,C_2>0C1​,C2​>0 with

Wρ∧1(Pt(x,⋅),π)≤C1(1+φ(V(x))δ)φ(Hφ−1(C2t))δ,x∈E, t≥0.W_{\rho\wedge1}(P_t(x,\cdot),\pi)\le\frac{C_1\bigl(1+\varphi(V(x))^\delta\bigr)}{\varphi\bigl(H_\varphi^{-1}(C_2t)\bigr)^\delta},\qquad x\in E,\ t\ge0.Wρ∧1​(Pt​(x,⋅),π)≤φ(Hφ−1​(C2​t))δC1​(1+φ(V(x))δ)​,x∈E, t≥0.

The constants are existential, so the goal survives any improvement of them.

Companion: Theorem 2.6

In the exponential case φ(x)=γx\varphi(x)=\gamma xφ(x)=γx, hypothesis B1 on all level sets may be replaced by B2 on the single level set {V≤4K/γ}\{V\le4K/\gamma\}{V≤4K/γ}; the same bound then holds and is exponential in ttt.

Milestones

In attack order: dNd_NdN​ is distance-like (2.6); the coupling lemma, the gluing lemma and the reimbursement bound used inside the proof of Theorem 2.3(i); Theorem 2.3(i) (contractivity of dNd_NdN​ under A) and (ii) (dNd_NdN​-smallness under B1); the remark after Definition 2.2 that contractivity and smallness give (2.3)–(2.4); the non-expansion step of the proof of Theorem 2.5; Proposition 2.1 (cited weak Harris theorem); and, for the companion, Theorem 2.3(iii), Proposition 2.2 (cited) and Theorem 2.6.

Significance

Theorem 2.5 turns the verification of the weak Harris theorem into two checks that can be carried out model by model: construct a controlled process that is close in law to the true one (Assumption A), and check a support condition on level sets (B1). It covers subexponential rates, given by the function φ\varphiφ of the Lyapunov drift, and the Wasserstein distance it controls metrizes weak convergence. Theorem 2.6 is the abstract result behind the exponential ergodicity statements for SPDEs in §4 of the paper.

The results are proved in the paper; none of them, nor the weak Harris theorems of [6] and [23] they rely on, has a machine-checked proof. Mathlib has Markov kernels, their composition and invariant measures, but no coupling distances for lower semicontinuous costs, no maximal coupling or gluing lemma on Polish spaces, and no weak Harris theorem. Propositions 2.1 and 2.2 are cited by the paper, not proved there; formalizing them is part of the mission.

Difficulty

The obvious route to contraction is a true coupling of Pt(x,⋅)P_t(x,\cdot)Pt​(x,⋅) and Pt(y,⋅)P_t(y,\cdot)Pt​(y,⋅) whose components meet or approach. For processes without the strong Feller property, such a coupling is generally not available explicitly; the generalized coupling only gives the second marginal up to a total variation error. Turning the error-in-law bound into a statement about WdNW_{d_N}WdN​​ needs a maximal coupling of two laws on a Polish space and a gluing of two couplings along a common marginal, both of which rest on disintegration of measures. The cited Proposition 2.1 is itself a substantial result: existence of an invariant measure needs tightness from the Lyapunov drift and the Feller property, and the subexponential rate needs a careful interpolation between the drift and the contraction.

Formalization scope

The state space is any type with MetricSpace, CompleteSpace, SeparableSpace and the Borel σ-algebra; ρ\rhoρ is dist. Time is ℝ≥0 and PPP is a map ℝ≥0 → Kernel E E with Markov kernels, P0=idP_0=\mathrm{id}P0​=id, Chapman–Kolmogorov, and measurability of s↦Ps(x,A)s\mapsto P_s(x,A)s↦Ps​(x,A), which the time integral in (2.2) presupposes. Expectations, PtVP_tVPt​V and WdW_dWd​ are lower Lebesgue integrals in [0,∞][0,\infty][0,∞], and (2.2) is stated without subtraction (PtV+∫0tPs(φ∘V) ds≤V+KtP_tV+\int_0^tP_s(\varphi\circ V)\,ds\le V+KtPt​V+∫0t​Ps​(φ∘V)ds≤V+Kt), which is equivalent. A pair of processes is represented by its joint law on path space; Law(Xx,y)=Px\mathrm{Law}(X^{x,y})=\mathsf P_xLaw(Xx,y)=Px​ is read through the one-dimensional marginals Law(Xtx,y)=Pt(x,⋅)\mathrm{Law}(X^{x,y}_t)=P_t(x,\cdot)Law(Xtx,y​)=Pt​(x,⋅), a weaker hypothesis. Total variation is the published MarkovChainCLT.tvDist, without a factor 2. "Unique invariant measure" means unique among probability measures, with invariance ∫Pt(x,⋅) π(dx)=π\int P_t(x,\cdot)\,\pi(dx)=\pi∫Pt​(x,⋅)π(dx)=π for every ttt. Hφ−1(C2t)H_\varphi^{-1}(C_2t)Hφ−1​(C2​t) is encoded by quantifying over every u≥1u\ge1u≥1 with Hφ(u)=C2tH_\varphi(u)=C_2tHφ​(u)=C2​t; such a uuu exists and is unique under the Lyapunov condition. In Proposition 2.1 condition 2 is stated as ρ∧1≤d\rho\wedge1\le dρ∧1≤d, which is Proposition 2.1 for the equivalent complete metric ρ∧1\rho\wedge1ρ∧1 and is the form the proof of Theorem 2.5 uses.

No statement relies on a junk value: no Bochner integral of a possibly non-integrable function, no real-valued infimum over a possibly empty or unbounded set, no Measure.map along a non-measurable map, no default-valued inverse of HφH_\varphiHφ​ (which would make the bound read W≤0W\le0W≤0), and "invariant" is never used without "probability".

A complete development needs: Kantorovich-type coupling distances for lower semicontinuous costs, maximal couplings and gluing on Polish spaces, the transfer of WdW_dWd​-bounds through Markov kernels, and the weak Harris theorem with subexponential rates. All of these are reusable well beyond this mission. Contributions to any milestone, including the cited Propositions 2.1 and 2.2, are welcome.

Selected references

  • O. Butkovsky, A. Kulik, M. Scheutzow, Generalized couplings and ergodic rates for SPDEs and other Markov models, Ann. Appl. Probab. 30(1), 2020. arXiv:1806.00395, doi:10.1214/19-AAP1485
  • M. Hairer, J. C. Mattingly, M. Scheutzow, Asymptotic coupling and a general form of Harris' theorem with applications to stochastic delay equations, Probab. Theory Related Fields 149, 2011. arXiv:0902.4495
  • O. Butkovsky, Subgeometric rates of convergence of Markov processes in the Wasserstein metric, Ann. Appl. Probab. 24(2), 2014. arXiv:1211.4273
  • A. Kulik, Ergodic Behavior of Markov Processes, De Gruyter, Berlin, 2017. doi:10.1515/9783110458930
  • C. Villani, Optimal Transport: Old and New, Springer, 2009 (coupling lemma, Theorem 4.1; gluing, p. 23). doi:10.1007/978-3-540-71050-9
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🏆Completed
Operations ResearchOptimization·Captain: mikedeng1

Scheduling Problems with Two Competing Agents 3: The Least-Cost Backward Rule Gives a Nondominated Schedule Minimizing Total Completion Time Under a Maximum-Cost BoundResearch Paper

Motivation

Many scheduling situations involve more than one decision maker sharing a resource. Two departments of a firm may share a machine shop, two clients may share a contractor, or two users may share a processor, and each cares only about how its own jobs are served. Agnetis, Mirchandani, Pacciarelli and Pacifici (Oper. Res. 52(2), 2004) introduced a systematic study of such two-agent scheduling problems. Their framework has two questions. The constrained problem asks for the best schedule for one agent among those that keep the other agent's cost below a bound. The Pareto problem asks for the schedules whose cost pair cannot be improved for one agent without hurting the other. The paper settles the complexity of these questions for the standard scheduling objectives and gave rise to a large literature on multi-agent scheduling (see the survey by Perez-Gonzalez and Framinan, EJOR 235, 2014).

This mission covers §5.2 of the paper: agent AAA minimizes the total completion time of its jobs, and agent BBB requires that the maximum of its jobs' regular costs stay below a bound QQQ.

Setting

Agent AAA owns jobs J1A,…,JnAAJ^A_1,\dots,J^A_{n_A}J1A​,…,JnA​A​ and agent BBB owns jobs J1B,…,JnBBJ^B_1,\dots,J^B_{n_B}J1B​,…,JnB​B​. Job JjJ_jJj​ has a processing time pj>0p_j>0pj​>0. All jobs are available at time 000 and are processed one at a time, without interruption, on a single machine. Because every objective here is nondecreasing in the completion times, the machine is never left idle, and a schedule σ\sigmaσ is simply a sequence of all nA+nBn_A+n_BnA​+nB​ jobs; the completion time Cj(σ)C_j(\sigma)Cj​(σ) of a job is the total processing time of that job and the jobs before it. Write PAP_APA​ and PBP_BPB​ for the total processing times of the two agents.

Agent AAA's objective is the total completion time ∑hChA(σ)\sum_h C^A_h(\sigma)∑h​ChA​(σ). Each BBB-job has a nondecreasing cost function fkBf^B_kfkB​, and agent BBB's objective is the maximum cost

fmax⁡B(σ)=max⁡kfkB(CkB(σ)).f^B_{\max}(\sigma)=\max_k f^B_k\bigl(C^B_k(\sigma)\bigr).fmaxB​(σ)=kmax​fkB​(CkB​(σ)).

Given a bound QQQ, a schedule is feasible for the problem 1∥∑CiA:fmax⁡B≤Q1\|\sum C^A_i : f^B_{\max}\le Q1∥∑CiA​:fmaxB​≤Q if fkB(CkB)≤Qf^B_k(C^B_k)\le QfkB​(CkB​)≤Q for every BBB-job, and optimal if it is feasible and minimizes ∑ChA\sum C^A_h∑ChA​ among feasible schedules. The instance is feasible if a feasible schedule exists. A schedule is nondominated if no schedule is at least as good for both agents and strictly better for one.

The paper solves the problem with a backward rule (Figure 1). Fill the sequence from the end. With τ\tauτ the total length of the jobs not yet placed, place last any unplaced BBB-job with fkB(τ)≤Qf^B_k(\tau)\le QfkB​(τ)≤Q. If there is none, place last a longest unplaced AAA-job. If neither exists, the instance is infeasible. The least-cost variant of §5.2.1 chooses, among the BBB-jobs, one minimizing fkB(τ)f^B_k(\tau)fkB​(τ) over all unplaced BBB-jobs. A B-block of a schedule is a maximal run of consecutive BBB-jobs.

Formalization targets

Goal: Theorem 5.7

On a feasible instance with nB≥1n_B\ge1nB​≥1, every schedule σ~\tilde\sigmaσ~ produced by the least-cost variant, under any tie-breaking, satisfies

σ~ is optimal for 1∥∑CiA:fmax⁡B≤Qandσ~ is nondominated for (∑CiA, fmax⁡B).\tilde\sigma \text{ is optimal for } 1\|\textstyle\sum C^A_i : f^B_{\max}\le Q \quad\text{and}\quad \tilde\sigma \text{ is nondominated for } \bigl(\textstyle\sum C^A_i,\ f^B_{\max}\bigr).σ~ is optimal for 1∥∑CiA​:fmaxB​≤Qandσ~ is nondominated for (∑CiA​, fmaxB​).

The nondominance is the printed theorem; the optimality is how the paper introduces σ~\tilde\sigmaσ~, and rests on Theorem 5.5.

Milestones

  • Lemma 5.3: if some BBB-job JkˉBJ^B_{\bar k}JkˉB​ has fkˉB(PA+PB)≤Qf^B_{\bar k}(P_A+P_B)\le QfkˉB​(PA​+PB​)≤Q, some optimal schedule ends with JkˉBJ^B_{\bar k}JkˉB​ and no optimal schedule ends with an AAA-job.
  • Lemma 5.4: if every BBB-job has fkB(PA+PB)>Qf^B_k(P_A+P_B)>QfkB​(PA​+PB​)>Q, every optimal schedule ends with a longest AAA-job.
  • Theorem 5.5 (correctness): on a feasible instance every schedule of Figure 1 is optimal, and Figure 1 runs to completion exactly on feasible instances.
  • Lemma 5.6: all optimal schedules have the same partition of the BBB-jobs into B-blocks, and each B-block occupies the same time interval in all of them.

Significance

Theorem 5.5 shows that the constrained problem with total completion time against a maximum cost is solvable by sorting, in contrast to its weighted version, which the same section shows NP-hard. Lemma 5.6 describes all optimal schedules: they agree on the completion times of the AAA-jobs (up to permuting identical jobs) and on the B-blocks, and differ only inside each block. Theorem 5.7 turns this into a nondominated schedule. It is the building block for the Pareto problem 1∥∑CiA∘fmax⁡B1\|\sum C^A_i\circ f^B_{\max}1∥∑CiA​∘fmaxB​ of §11.2, where solving the constrained problem for a sequence of bounds enumerates the nondominated pairs.

The results are proved in the paper; none of them has a machine-checked proof that we know of. The mission formalizes the statements and asks for their proofs. The proof of Theorem 5.7 invokes "the very same proof of Lawler's algorithm (Lawler 1973) restricted to 1∥fmax⁡1\|f_{\max}1∥fmax​", applied inside each B-block. Lawler's rule is a separate statement on the platform, LawlerPrec.MinMax.lawler_rule_optimal, currently open. A solver may prove it and adapt it, but the goal does not need it in that exact form.

Difficulty

The interchange arguments of Lemmas 5.3 and 5.4 are short. The obstacle is Lemma 5.6. Two optimal schedules can differ in which BBB-job is placed at each step, and in the order of AAA-jobs of equal length. The paper's argument compares the completion time of each AAA-job across two optimal schedules and shows it cannot move earlier. That needs the fact that a BBB-job finishing before an AAA-job could not have been placed at that AAA-job's completion time, which comes from applying Lemma 5.3 to a prefix of the schedule. Formalizing it requires restricting optimality to prefixes and sub-instances, which the bare sequence model does not provide. The tempting shortcut of proving Theorem 5.7 from Lawler's rule on the whole schedule fails, since the bound QQQ and agent AAA's objective change which jobs may be placed where; the reduction is only to one Lawler instance per block.

Formalization scope

Jobs are Fin nA ⊕ Fin nB (0-based). A schedule is a duplicate-free list of all jobs, with completion times from the published sequence model MooreLateJobs.Shared.completionTime (Moore 1968 series), which this mission reuses. Processing times are real and strictly positive. Without positivity the second claim of Lemma 5.3 fails, because a zero-length BBB-job can sit anywhere. Cost functions are real-valued and nondecreasing, and QQQ is real (the paper's integer QQQ is a special case). Feasibility is stated job by job; fmax⁡Bf^B_{\max}fmaxB​ is a finite maximum and requires nB≥1n_B\ge1nB​≥1, which the goal assumes. Lemma 5.4 assumes nA≥1n_A\ge1nA​≥1, since "a longest AAA-job" presupposes one.

The paper's loose phrases are read as follows:

  • "the algorithm" is a property of a finished sequence. At position mmm, with the jobs at positions 0,…,m0,\dots,m0,…,m unplaced and τ\tauτ their total length, the job at mmm must be a choice the rule allows.
  • "Ties are broken arbitrarily" means that every sequence satisfying the rule is covered.
  • "no solution exists, STOP" leaves no allowed choice. Running to completion therefore means that some sequence satisfies the rule.
  • "the optimal schedule generated in this way" puts optimality into the goal as a conclusion, not a hypothesis.
  • "a longest A-job" is an AAA-job of maximal length; when several are tied, no statement fixes which one.
  • Nondominance quantifies over all schedules, not only those feasible for QQQ.
  • A B-block's interval runs from the earliest start to the latest completion of its jobs.

The running times of Theorems 5.5 and 5.8 (O(nAlog⁡nA+nBlog⁡nB)O(n_A\log n_A+n_B\log n_B)O(nA​lognA​+nB​lognB​) and O(nAlog⁡nA+nB2)O(n_A\log n_A+n_B^2)O(nA​lognA​+nB2​)) are not formalized. Nor is the claim (3) inside the proof of Lemma 5.6.

A trivializing formalization is ruled out: feasibility of the instance is a hypothesis and not built into the rule, the rule constrains every position, and the goal asserts nondominance against all schedules.

Useful infrastructure includes interchange lemmas for the sequence model (moving one job to the end, swapping two jobs), restriction of a schedule to a prefix, and Lawler's rule for 1∥fmax⁡1\|f_{\max}1∥fmax​ on a fixed time window. The interchange lemmas and the prefix restriction are reusable across the whole two-agent series.

Selected references

  • A. Agnetis, P. B. Mirchandani, D. Pacciarelli, A. Pacifici, Scheduling Problems with Two Competing Agents, Operations Research 52(2), 229–242, 2004. https://doi.org/10.1287/opre.1030.0092
  • E. L. Lawler, Optimal Sequencing of a Single Machine Subject to Precedence Constraints, Management Science 19(5), 544–546, 1973. https://doi.org/10.1287/mnsc.19.5.544
  • J. M. Moore, An n Job, One Machine Sequencing Algorithm for Minimizing the Number of Late Jobs, Management Science 15(1), 102–109, 1968. https://doi.org/10.1287/mnsc.15.1.102
  • R. L. Graham, E. L. Lawler, J. K. Lenstra, A. H. G. Rinnooy Kan, Optimization and Approximation in Deterministic Sequencing and Scheduling: A Survey, Annals of Discrete Mathematics 5, 287–326, 1979. https://doi.org/10.1016/S0167-5060(08)70356-X
  • P. Perez-Gonzalez, J. M. Framinan, A common framework and taxonomy for multicriteria scheduling problems with interfering and competing jobs: Multi-agent scheduling problems, European Journal of Operational Research 235(1), 1–16, 2014. https://doi.org/10.1016/j.ejor.2013.09.017
9 thms3 active usersReviewed
Numerical AnalysisOperations ResearchOptimization·Captain: mikedeng1

Adaptive Cubic Regularisation Methods for Unconstrained Optimization. Part II: Worst-Case Function- and Derivative-Evaluation Complexity 2: ARC(S) Reaches ‖g‖ ≤ ε in O(ε^(−3/2)) IterationsResearch Paper

Motivation

Second-order methods for smooth nonconvex minimization are used in practice because they converge in far fewer iterations than gradient descent, yet for a long time their worst-case guarantee from an arbitrary starting point was no better than that of steepest descent. Nesterov and Polyak (Math. Program. 108, 2006) showed that adding a cubic term to Newton's quadratic model and minimizing that model globally at each step reaches a point with ∥∇f∥≤ϵ\|\nabla f\|\le\epsilon∥∇f∥≤ϵ in O(ϵ−3/2)O(\epsilon^{-3/2})O(ϵ−3/2) iterations when the Hessian is Lipschitz, against O(ϵ−2)O(\epsilon^{-2})O(ϵ−2) for steepest descent. Their analysis needs the exact Hessian and an exact global minimizer of a nonconvex model, both of which are too expensive in large-scale computation.

Cartis, Gould and Toint built the Adaptive Regularisation with Cubics (ARC) framework for that setting: the Hessian may be replaced by an approximation BkB_kBk​, the regularisation weight is adapted without knowledge of a Lipschitz constant, and the step only approximately minimizes the model over a subspace (in practice a Krylov subspace generated by the Lanczos method). Part I (Math. Program. 127, 2011) proved convergence and fast local rates. Part II (Math. Program. 130, 2011), the source of this mission, proved that the practical variant ARC(S) keeps the O(ϵ−3/2)O(\epsilon^{-3/2})O(ϵ−3/2) worst-case bound. Later work showed that this order is sharp for the method (Cartis, Gould & Toint, SIAM J. Optim. 2010) and cannot be improved by any method using derivatives up to second order (Carmon, Duchi, Hinder & Sidford, Math. Program. 2020).

Setting

Let f:Rn→Rf:\mathbb R^n\to\mathbb Rf:Rn→R be twice continuously differentiable, with gradient g=∇fg=\nabla fg=∇f, Hessian H=∇2fH=\nabla^2 fH=∇2f, and Euclidean norm ∥⋅∥\|\cdot\|∥⋅∥. At iterate xkx_kxk​, with gk=g(xk)g_k=g(x_k)gk​=g(xk​), a symmetric operator BkB_kBk​ and a weight σk>0\sigma_k>0σk​>0, the cubic model is

mk(s)=f(xk)+s⊤gk+12s⊤Bks+13σk∥s∥3.m_k(s)=f(x_k)+s^\top g_k+\tfrac12 s^\top B_k s+\tfrac13\sigma_k\|s\|^3 .mk​(s)=f(xk​)+s⊤gk​+21​s⊤Bk​s+31​σk​∥s∥3.

ARC (Algorithm 2.1) has parameters γ2≥γ1>1\gamma_2\ge\gamma_1>1γ2​≥γ1​>1, 1>η2≥η1>01>\eta_2\ge\eta_1>01>η2​≥η1​>0 and σ0>0\sigma_0>0σ0​>0. At each iteration it:

  1. chooses a step sks_ksk​ with mk(sk)≤mk(−αgk)m_k(s_k)\le m_k(-\alpha g_k)mk​(sk​)≤mk​(−αgk​) for every α≥0\alpha\ge0α≥0 (the Cauchy condition);
  2. computes ρk=f(xk)−f(xk+sk)f(xk)−mk(sk)\rho_k=\dfrac{f(x_k)-f(x_k+s_k)}{f(x_k)-m_k(s_k)}ρk​=f(xk​)−mk​(sk​)f(xk​)−f(xk​+sk​)​;
  3. accepts the step (xk+1=xk+skx_{k+1}=x_k+s_kxk+1​=xk​+sk​) if ρk≥η1\rho_k\ge\eta_1ρk​≥η1​, and otherwise sets xk+1=xkx_{k+1}=x_kxk+1​=xk​;
  4. picks σk+1\sigma_{k+1}σk+1​ in (0,σk](0,\sigma_k](0,σk​], [σk,γ1σk][\sigma_k,\gamma_1\sigma_k][σk​,γ1​σk​] or [γ1σk,γ2σk][\gamma_1\sigma_k,\gamma_2\sigma_k][γ1​σk​,γ2​σk​] according as ρk>η2\rho_k>\eta_2ρk​>η2​, η1≤ρk≤η2\eta_1\le\rho_k\le\eta_2η1​≤ρk​≤η2​ or ρk<η1\rho_k<\eta_1ρk​<η1​.

Iterations with ρk≥η1\rho_k\ge\eta_1ρk​≥η1​ are successful. Sj\mathcal S_jSj​ and Uj\mathcal U_jUj​ are the successful and unsuccessful iterations k≤jk\le jk≤j.

ARC(S) (Algorithm 4.1) additionally requires each step to satisfy

  • gk⊤sk+sk⊤Bksk+σk∥sk∥3=0g_k^\top s_k+s_k^\top B_ks_k+\sigma_k\|s_k\|^3=0gk⊤​sk​+sk⊤​Bk​sk​+σk​∥sk​∥3=0 (4.1);
  • sk⊤Bksk+σk∥sk∥3≥0s_k^\top B_ks_k+\sigma_k\|s_k\|^3\ge0sk⊤​Bk​sk​+σk​∥sk​∥3≥0 (4.2);
  • the termination rule TC.s: ∥gk+Bksk+σk∥sk∥sk∥≤κθmin⁡(1,∥sk∥) ∥gk∥\|g_k+B_ks_k+\sigma_k\|s_k\|s_k\|\le\kappa_\theta\min(1,\|s_k\|)\,\|g_k\|∥gk​+Bk​sk​+σk​∥sk​∥sk​∥≤κθ​min(1,∥sk​∥)∥gk​∥, with κθ∈(0,1)\kappa_\theta\in(0,1)κθ​∈(0,1).

The assumptions are:

  • AF.4: ggg is κH\kappa_HκH​-Lipschitz on an open convex set containing the iterates, κH≥1\kappa_H\ge1κH​≥1;
  • AF.6: HHH is LLL-Lipschitz on Rn\mathbb R^nRn, L>0L>0L>0;
  • AM.4: ∥(H(xk)−Bk)sk∥≤C∥sk∥2\|(H(x_k)-B_k)s_k\|\le C\|s_k\|^2∥(H(xk​)−Bk​)sk​∥≤C∥sk​∥2, C>0C>0C>0;
  • (2.11): σk≥σmin⁡>0\sigma_k\ge\sigma_{\min}>0σk​≥σmin​>0;
  • (2.6): mk(sk)<f(xk)m_k(s_k)<f(x_k)mk​(sk​)<f(xk​) for every kkk;
  • f(xk)≥flowf(x_k)\ge f_{\rm low}f(xk​)≥flow​ for every kkk.

Formalization targets

Goal: Corollary 5.3

With L0=max⁡(σ0,32γ2(C+L))L_0=\max(\sigma_0,\tfrac32\gamma_2(C+L))L0​=max(σ0​,23​γ2​(C+L)), κg=(1−κθ)/(12L+C+L0+κθκH)\kappa_g=\sqrt{(1-\kappa_\theta)/(\tfrac12L+C+L_0+\kappa_\theta\kappa_H)}κg​=(1−κθ​)/(21​L+C+L0​+κθ​κH​)​, αS=σmin⁡κg3/6\alpha_S=\sigma_{\min}\kappa_g^3/6αS​=σmin​κg3​/6, κSs=(f(x0)−flow)/(η1αS)\kappa^s_S=(f(x_0)-f_{\rm low})/(\eta_1\alpha_S)κSs​=(f(x0​)−flow​)/(η1​αS​), κSu=log⁡(L0/σmin⁡)/log⁡γ1\kappa^u_S=\log(L_0/\sigma_{\min})/\log\gamma_1κSu​=log(L0​/σmin​)/logγ1​ and κS=(1+κSu)(2+κSs)\kappa_S=(1+\kappa^u_S)(2+\kappa^s_S)κS​=(1+κSu​)(2+κSs​), the corollary has three parts:

  1. at most ⌈κSsϵ−3/2⌉\lceil\kappa^s_S\epsilon^{-3/2}\rceil⌈κSs​ϵ−3/2⌉ successful iterations have min⁡(∥gk∥,∥gk+1∥)>ϵ\min(\|g_k\|,\|g_{k+1}\|)>\epsilonmin(∥gk​∥,∥gk+1​∥)>ϵ;
  2. if ∥g0∥,∥g1∥>ϵ\|g_0\|,\|g_1\|>\epsilon∥g0​∥,∥g1​∥>ϵ, at most ⌈κSsϵ−3/2⌉+1\lceil\kappa^s_S\epsilon^{-3/2}\rceil+1⌈κSs​ϵ−3/2⌉+1 successful iterations precede the first l1l_1l1​ with ∥gl1+1∥≤ϵ\|g_{l_1+1}\|\le\epsilon∥gl1​+1​∥≤ϵ;
  3. if moreover ϵ≤1\epsilon\le1ϵ≤1, then
l1≤⌈κS ϵ−3/2⌉.l_1\le\left\lceil\kappa_S\,\epsilon^{-3/2}\right\rceil .l1​≤⌈κS​ϵ−3/2⌉.

Milestones

The milestones follow the proof:

  • Theorem 2.1, (2.13) and (2.14): unsuccessful iterations bounded by successful ones;
  • Theorem 2.2: a uniform model decrease bounds the number of successful iterations;
  • Lemma 4.2: f(xk)−mk(sk)≥16σk∥sk∥3f(x_k)-m_k(s_k)\ge\tfrac16\sigma_k\|s_k\|^3f(xk​)−mk​(sk​)≥61​σk​∥sk​∥3;
  • Lemma 5.1: σk≤L0\sigma_k\le L_0σk​≤L0​;
  • Lemma 5.2: ∥sk∥≥κg∥gk+1∥\|s_k\|\ge\kappa_g\sqrt{\|g_{k+1}\|}∥sk​∥≥κg​∥gk+1​∥​ on successful iterations;
  • the displayed steps (5.20), (5.22) and (5.23) of the corollary's proof.

Significance

The corollary shows that inexact subspace minimization and approximate Hessians cost nothing in worst-case order. The bound is the same O(ϵ−3/2)O(\epsilon^{-3/2})O(ϵ−3/2) count of iterations, function evaluations and gradient evaluations as for the exact cubic-regularised Newton method. It is the founding result of the evaluation-complexity theory of adaptive regularisation methods, and later results build on it: higher-order regularisation, constrained and stochastic variants, and the lower bounds showing that ϵ−3/2\epsilon^{-3/2}ϵ−3/2 is optimal for second-order methods.

The result is proved on paper; to the knowledge of this mission it has no machine-checked proof. Formalizing it fixes the exact hypotheses: the standing assumption (2.6), the Lipschitz set in AF.4, and the off-by-one in Theorem 2.1. It also yields reusable Lean statements of the counting arguments (Theorems 2.1 and 2.2) shared by every trust-region and adaptive-regularisation complexity proof.

Difficulty

The first idea is to bound the model decrease by ϵ3/2\epsilon^{3/2}ϵ3/2 directly from ∥gk∥>ϵ\|g_k\|>\epsilon∥gk​∥>ϵ. That fails: TC.s and the Taylor estimates bound the step length by the gradient at the next iterate, ∥gk+1∥\|g_{k+1}\|∥gk+1​∥, not by ∥gk∥\|g_k\|∥gk​∥. The count must therefore use min⁡(∥gk∥,∥gk+1∥)\min(\|g_k\|,\|g_{k+1}\|)min(∥gk​∥,∥gk+1​∥), and turning it into a bound on the first l1l_1l1​ with ∥gl1+1∥≤ϵ\|g_{l_1+1}\|\le\epsilon∥gl1​+1​∥≤ϵ needs care at the last iteration. The constant κg\kappa_gκg​ combines four sources of error: the Hessian approximation, the Lipschitz Hessian, the bound on σk\sigma_kσk​, and the inexact model gradient. The bound on σk\sigma_kσk​ itself (Lemma 5.1) needs a second-order Taylor estimate of fff along the step. Unsuccessful iterations do not decrease fff and are counted separately through the growth of σk\sigma_kσk​.

Formalization scope

The Lean development uses the following conventions:

  • Rn\mathbb R^nRn is EuclideanSpace ℝ (Fin n), ggg is gradient f and HHH is fderiv ℝ (gradient f);
  • BkB_kBk​ is a continuous linear operator with IsSelfAdjoint, and operator norms are Mathlib's;
  • runs of ARC and ARC(S) are predicates on the sequences x,s,σ,Bx,s,\sigma,Bx,s,σ,B, because the step and the new weight are choices;
  • the Cauchy condition is stated as mk(sk)≤mk(−αgk)m_k(s_k)\le m_k(-\alpha g_k)mk​(sk​)≤mk​(−αgk​) for all α≥0\alpha\ge0α≥0;
  • TC.s uses the explicit model gradient gk+Bksk+σk∥sk∥skg_k+B_ks_k+\sigma_k\|s_k\|s_kgk​+Bk​sk​+σk​∥sk​∥sk​;
  • powers ϵ±3/2\epsilon^{\pm3/2}ϵ±3/2 are real powers and ceilings are integer ceilings.

Hypotheses and quantifiers:

  • (2.6) is a hypothesis for every kkk, the paper's standing assumption for ARC(S) (p. 12). It also rules out the junk value ρk=0\rho_k=0ρk​=0 that Lean's division by zero would give.
  • "At most NNN iterations before ∥gl1+1∥≤ϵ\|g_{l_1+1}\|\le\epsilon∥gl1​+1​∥≤ϵ" is stated as: every jjj with ∥gk∥>ϵ\|g_k\|>\epsilon∥gk​∥>ϵ for all k≤jk\le jk≤j satisfies j≤Nj\le Nj≤N. This also asserts that l1l_1l1​ exists.
  • Theorem 2.1 is posed with σk≤σˉ\sigma_k\le\bar\sigmaσk​≤σˉ for k≤j+1k\le j+1k≤j+1: the printed range k≤jk\le jk≤j makes it false at j=0j=0j=0.

The constants are written out exactly as printed; replacing them with "there is a constant" would trivialize the goal and is excluded. Contributions are welcome:

  • Taylor estimates under a Lipschitz Hessian on EuclideanSpace;
  • a general counting lemma behind Theorems 2.1–2.2.

Both are reusable well beyond this mission.

Selected references

  • C. Cartis, N. I. M. Gould, Ph. L. Toint, Adaptive cubic regularisation methods for unconstrained optimization. Part II: worst-case function- and derivative-evaluation complexity, Math. Program. 130(2):295–319, 2011 (preprint rev. 15 Sep 2009). https://doi.org/10.1007/s10107-009-0337-y
  • C. Cartis, N. I. M. Gould, Ph. L. Toint, Adaptive cubic regularisation methods for unconstrained optimization. Part I: motivation, convergence and numerical results, Math. Program. 127(2):245–295, 2011. https://doi.org/10.1007/s10107-009-0286-5
  • C. Cartis, N. I. M. Gould, Ph. L. Toint, On the complexity of steepest descent, Newton's and regularized Newton's methods for nonconvex unconstrained optimization problems, SIAM J. Optim. 20(6):2833–2852, 2010. https://doi.org/10.1137/090774100
  • Y. Carmon, J. C. Duchi, O. Hinder, A. Sidford, Lower bounds for finding stationary points I, Math. Program. 184:71–120, 2020. https://doi.org/10.1007/s10107-019-01406-y
  • Yu. Nesterov, B. T. Polyak, Cubic regularization of Newton method and its global performance, Math. Program. 108(1):177–205, 2006. https://doi.org/10.1007/s10107-006-0706-8
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Numerical AnalysisOperations ResearchOptimization·Captain: mikedeng1

On the Complexity of Steepest Descent, Newton's and Regularized Newton's Methods for Nonconvex Unconstrained Optimization Problems 2: Newton's Method Can Need ε^(−2+τ) Iterations to Reach ‖g‖ ≤ εResearch Paper

Motivation

Newton's method is the reference second-order method for unconstrained minimization of a smooth function f:Rn→Rf:\mathbb R^n\to\mathbb Rf:Rn→R. Near a nondegenerate local minimizer it converges quadratically, and in practice it often works well far from one. Its global behaviour on nonconvex functions is a different matter. The pure method may fail outright when the Hessian is singular or indefinite, and when every Hessian along the run is positive definite it is still not clear how fast the gradient goes to zero.

A natural question is how many iterations a method needs, in the worst case, to produce an iterate xkx_kxk​ with ∥∇f(xk)∥≤ε\|\nabla f(x_k)\|\le\varepsilon∥∇f(xk​)∥≤ε. For steepest descent on functions with a Lipschitz gradient the answer is known to be at most O(ε−2)O(\varepsilon^{-2})O(ε−2) (Nesterov 2004, p. 29). Cartis, Gould and Toint (SIAM J. Optim. 2010) showed that this bound is essentially sharp, and that Newton's method can be just as slow. A matching O(ε−3/2)O(\varepsilon^{-3/2})O(ε−3/2) bound holds for cubic regularization (Nesterov–Polyak 2006; Cartis–Gould–Toint 2011), so the Newton example separates plain Newton from its regularized variants in the worst case.

This mission is the second of three on that paper. It covers the Newton example of §3.

Setting

Work in the Euclidean plane R2\mathbb R^2R2, with coordinates [x]1,[x]2[x]_1,[x]_2[x]1​,[x]2​. For a twice continuously differentiable f:R2→Rf:\mathbb R^2\to\mathbb Rf:R2→R write g(x)=∇f(x)g(x)=\nabla f(x)g(x)=∇f(x) for the gradient and H(x)=∇2f(x)H(x)=\nabla^2 f(x)H(x)=∇2f(x) for the Hessian, a symmetric linear operator on R2\mathbb R^2R2 with operator norm ∥H(x)∥\|H(x)\|∥H(x)∥.

At an iterate xkx_kxk​, Newton's method (in its simplest form) minimizes the quadratic model

mk(xk+s)=f(xk)+g(xk)Ts+12sTH(xk)s.m_k(x_k+s)=f(x_k)+g(x_k)^Ts+\tfrac12 s^TH(x_k)s .mk​(xk​+s)=f(xk​)+g(xk​)Ts+21​sTH(xk​)s.

The method is well defined when H(xk)H(x_k)H(xk​) is positive definite. The model then has a unique global minimizer sks_ksk​, characterized by H(xk)sk=−g(xk)H(x_k)s_k=-g(x_k)H(xk​)sk​=−g(xk​), and the next iterate is xk+1=xk+skx_{k+1}=x_k+s_kxk+1​=xk​+sk​ (the unit Newton step). A run of the method from x0x_0x0​ is a sequence (xk)k≥0(x_k)_{k\ge0}(xk​)k≥0​ satisfying these two conditions at every kkk.

The paper aims at the standard assumptions under which globalized Newton methods are provably convergent:

AS.1 fff is twice continuously differentiable, bounded below, and has bounded and Lipschitz continuous second derivatives along each segment [xk,xk+1][x_k,x_{k+1}][xk​,xk+1​].

Fix τ∈(0,1)\tau\in(0,1)τ∈(0,1) and let η=τ/(4−2τ)\eta=\tau/(4-2\tau)η=τ/(4−2τ), so that 12+η=1/(2−τ)\tfrac12+\eta=1/(2-\tau)21​+η=1/(2−τ).

Formalization targets

Goal: Newton's method can need ⌊ε−(2−τ)⌋\lfloor\varepsilon^{-(2-\tau)}\rfloor⌊ε−(2−τ)⌋ iterations

For every τ∈(0,1)\tau\in(0,1)τ∈(0,1) there exist f:R2→Rf:\mathbb R^2\to\mathbb Rf:R2→R and a run (xk)(x_k)(xk​) of Newton's method on fff from x0=0x_0=0x0​=0 such that

  1. fff is twice continuously differentiable on R2\mathbb R^2R2 and bounded below, and sup⁡y∥H(y)∥<∞\sup_y\|H(y)\|<\inftysupy​∥H(y)∥<∞;
  2. there is one constant LLL with ∥H(y)−H(z)∥≤L∥y−z∥\|H(y)-H(z)\|\le L\|y-z\|∥H(y)−H(z)∥≤L∥y−z∥ for all y,zy,zy,z on a common segment [xk,xk+1][x_k,x_{k+1}][xk​,xk+1​];
  3. every step achieves the model value, f(xk+1)=mk(xk+1)f(x_{k+1})=m_k(x_{k+1})f(xk+1​)=mk​(xk+1​) (the paper's (3.8));
  4. for every k≥0k\ge0k≥0,
∥g(xk)∥ ≥ (1k+1)12−τ;\|g(x_k)\|\ \ge\ \Big(\frac1{k+1}\Big)^{\frac1{2-\tau}};∥g(xk​)∥ ≥ (k+11​)2−τ1​;
  1. for every ε∈(0,1)\varepsilon\in(0,1)ε∈(0,1) and every kkk, if ∥g(xk)∥≤ε\|g(x_k)\|\le\varepsilon∥g(xk​)∥≤ε then
k+1 ≥ ⌊1ε2−τ⌋.k+1\ \ge\ \Big\lfloor \frac1{\varepsilon^{2-\tau}}\Big\rfloor .k+1 ≥ ⌊ε2−τ1​⌋.

The goal fixes no constant: the bounds on the Hessian and its Lipschitz modulus are existential. The paper's explicit constants appear in the milestones.

Milestones

The milestones follow the paper's verification, in order:

  • the prescribed gradients satisfy the lower bound (2.3) (p. 6);
  • the prescribed data (xk,fk,gk,Hk)(x_k,f_k,g_k,H_k)(xk​,fk​,gk​,Hk​) of (3.2)–(3.4) satisfy the Newton conditions (3.6)–(3.8) (pp. 6–7);
  • ∣ψk∣∈(0,1)|\psi_k|\in(0,1)∣ψk​∣∈(0,1), the Hermite conditions (2.12)–(2.13) for the first-coordinate pieces pkp_kpk​ at αk=1\alpha_k=1αk​=1, and the bound (2.17) on pk′′p_k''pk′′​ (pp. 4–5, used on p. 7);
  • the interpolation conditions for the second-coordinate pieces qkq_kqk​, and ∣qk′′∣≤219|q_k''|\le219∣qk′′​∣≤219 (pp. 7–8);
  • the knot values (3.9)–(3.10) and the pieces pkp_kpk​, qkq_kqk​ on their intervals are nonnegative, so f2≥0f_2 \ge 0f2​≥0 (pp. 7–8);
  • the third derivative along each step is at most 858858858 (p. 9).

Significance

The result. Under the standard assumptions for which globalized Newton methods are known to converge, Newton's method can need nearly ε−2\varepsilon^{-2}ε−2 iterations to reduce the gradient below ε\varepsilonε, the same order as the worst case of steepest descent. Hence no worst-case complexity bound better than O(ε−2+τ)O(\varepsilon^{-2+\tau})O(ε−2+τ) can be proved for Newton's method under those assumptions, for any τ>0\tau>0τ>0. The identity f(xk+1)=mk(xk+1)f(x_{k+1})=m_k(x_{k+1})f(xk+1​)=mk​(xk+1​) makes the example robust (§6): every iteration is very successful in a trust-region framework, and the unit step is accepted by a linesearch, so the trust-region and linesearch globalizations of Newton's method are equally slow on it. The contrast with the O(ε−3/2)O(\varepsilon^{-3/2})O(ε−3/2) bound for cubic regularization is what makes regularized Newton methods the better choice from the worst-case point of view.

Formalizing it. The result is proved on paper but has no machine-checked proof that we know of. A formalization has to make several things precise that the paper treats briefly: the smooth extension of the construction to negative coordinates, the C2C^2C2 gluing of infinitely many polynomial pieces, the passage from bounded third derivatives to Lipschitz continuity of the Hessian along the path, and the counting step from the gradient bound to the iteration count. The result is closed mathematically; the open work is the formal proof.

Difficulty

There is no difficulty in writing down the iterates: the paper prescribes xkx_kxk​, f(xk)f(x_k)f(xk​), g(xk)g(x_k)g(xk​) and H(xk)H(x_k)H(xk​) explicitly, and checking that they are consistent with Newton's method is algebra. The difficulty is to find one function fff on all of R2\mathbb R^2R2 that takes these values, gradients and Hessians at the iterates and keeps the global properties: twice continuously differentiable everywhere, bounded below, bounded Hessian, Lipschitz Hessian along the path.

The first attempt fails at the Lipschitz requirement. The one-dimensional steepest-descent example of §2 with unit steplength already is a run of Newton's method, since its second derivative equals 111 at every iterate, and its gradients decay at the required rate. But its third derivative grows linearly with kkk (p. 5), so its second derivative is not Lipschitz continuous along the path, and AS.1 fails. The iterates of that example get closer together while the curvature must still return to 111 at each of them. Any construction has to reconcile the slow decay of the gradient with a Lipschitz modulus of the Hessian along the path that does not grow with kkk. A Lipschitz constant on the whole plane is neither claimed nor available for the paper's construction.

Formalization scope

  • The plane is EuclideanSpace ℝ (Fin 2). The gradient is gradient f, the Hessian is fderiv ℝ (gradient f), and its norm is the operator norm. Components are x 0 and x 1.
  • The run is part of the conclusion (∃ x), with positive definiteness at every iterate. It is not a hypothesis, so the statement cannot hold vacuously. The Hessian in the Newton rule is the true Hessian of fff, not a free sequence of matrices.
  • fff is required on all of R2\mathbb R^2R2; the paper builds it on the nonnegative quadrant and remarks that it extends.
  • Two choices are stronger than AS.1 as printed: the Hessian is bounded on all of R2\mathbb R^2R2, not only along the segments, and the Lipschitz constant along the segments is one constant for all kkk.
  • τ∈(0,1)\tau\in(0,1)τ∈(0,1): the paper says "for any τ>0\tau>0τ>0", but the construction needs τ<1\tau<1τ<1, and for ε<1\varepsilon<1ε<1 the cases τ<1\tau<1τ<1 imply the iteration bound for every τ>0\tau>0τ>0.
  • The count is posed as k+1≥⌊ε−(2−τ)⌋k+1\ge\lfloor\varepsilon^{-(2-\tau)}\rfloork+1≥⌊ε−(2−τ)⌋, counting the iterates x0,…,xkx_0,\dots,x_kx0​,…,xk​. Posed as k≥⌊ε−(2−τ)⌋k\ge\lfloor\varepsilon^{-(2-\tau)}\rfloork≥⌊ε−(2−τ)⌋ it is false: as printed, the paper's count is off by one.
  • Ruling out trivialization: the statement is existential in fff and in the run, and the run must satisfy Newton's rule with the true Hessian. Dropping positive definiteness, using a free matrix sequence, or replacing "≥\ge≥" in the gradient bound by a statement about one coordinate would each change the theorem.
  • Milestones are stated about explicit data: the prescribed values xk,fk,gk,Hkx_k,f_k,g_k,H_kxk​,fk​,gk​,Hk​ and the quintic pieces pk,qkp_k,q_kpk​,qk​, defined in two definition files. The goal does not mention them, and a solver may use any other construction.
  • Needed infrastructure: derivatives of polynomials, C2C^2C2 gluing of piecewise functions with matching values and first and second derivatives, convergence of ∑(k+1)−(1+2η)\sum (k+1)^{-(1+2\eta)}∑(k+1)−(1+2η), and the rpow identity 12+η=1/(2−τ)\tfrac12+\eta=1/(2-\tau)21​+η=1/(2−τ). The gluing lemma is reusable beyond this mission: missions 1 and 3 of the series use the same kind of construction.

Selected references

  • C. Cartis, N. I. M. Gould, Ph. L. Toint, On the complexity of steepest descent, Newton's and regularized Newton's methods for nonconvex unconstrained optimization problems, SIAM J. Optim. 20(6), 2833–2852, 2010. https://doi.org/10.1137/090774100 (preprint 15 Oct 2009 used here).
  • Yu. Nesterov, Introductory Lectures on Convex Optimization: A Basic Course, Kluwer, 2004. https://doi.org/10.1007/978-1-4419-8853-9
  • Yu. Nesterov, B. T. Polyak, Cubic regularization of Newton method and its global performance, Math. Program. 108, 177–205, 2006. https://doi.org/10.1007/s10107-006-0706-8
  • C. Cartis, N. I. M. Gould, Ph. L. Toint, Adaptive cubic regularisation methods for unconstrained optimization. Part II: worst-case function- and derivative-evaluation complexity, Math. Program. 130, 295–319, 2011. https://doi.org/10.1007/s10107-009-0337-y
  • J. E. Dennis, R. B. Schnabel, Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Prentice-Hall, 1983. https://doi.org/10.1137/1.9781611971200
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Dynamic ProgrammingOperations ResearchOptimization·Captain: mikedeng1

Dynamic Pricing with Loss-Averse Consumers and Peak-End Anchoring: Every Optimal Price Path Converges Monotonically to a Steady State Set by the Initial Minimum PriceResearch Paper

Motivation

Firms that change prices over time face customers who remember past prices. A large empirical literature in marketing documents reference price effects: demand depends not only on the current price but on how that price compares with a price the customer expects, and losses (prices above the reference) weigh more than gains of the same size, the loss aversion of prospect theory (Tversky and Kahneman 1991; Kalyanaram and Winer 1995). Most dynamic pricing models with reference effects form the reference price by exponential smoothing of past prices (Popescu and Wu 2007; Kopalle, Rao and Assunção 1996; Fibich, Gavious and Lowengart 2003).

Psychology suggests a different memory process. Under the peak-end rule (Kahneman et al. 1993), people evaluate a past sequence of experiences mainly by its most extreme and its most recent episode. Nasiry and Popescu (INSEAD Working Paper 2009/20/DS/TOM; published in Operations Research 59(6), 2011) build a dynamic pricing model in which the reference price is a weighted average of the lowest price seen so far and the last price, and characterize the firm's optimal long-run and transient pricing. This mission formalizes the core of that analysis: the steady states (Section 3.1) and the convergence of optimal price paths (Section 3.2).

Setting

A firm sets a price ptp_tpt​ in the price set P=[0,pˉ]\mathbf P = [0,\bar p]P=[0,pˉ​] in every period t=1,2,…t = 1,2,\dotst=1,2,…. The base demand d0d_0d0​ is non-negative, bounded, continuous and decreasing on P\mathbf PP, with d0(pˉ)=0d_0(\bar p) = 0d0​(pˉ​)=0, and the base profit π0(p)=p d0(p)\pi_0(p) = p\,d_0(p)π0​(p)=pd0​(p) is non-monotone and strictly concave (Assumption 1). With sensitivities λ≥γ>0\lambda\ge\gamma>0λ≥γ>0 to surcharges and discounts, demand at price ppp and reference price rrr is

d(p,r)=d0(p)−λ(p−r)++γ(r−p)+,d(p,r) = d_0(p) - \lambda(p-r)^+ + \gamma(r-p)^+,d(p,r)=d0​(p)−λ(p−r)++γ(r−p)+,

and the short-term profit is π(p,r)=p d(p,r)\pi(p,r) = p\,d(p,r)π(p,r)=pd(p,r). It equals min⁡(πλ,πγ)\min(\pi_\lambda,\pi_\gamma)min(πλ​,πγ​) of the two smooth profits πk(p,r)=π0(p)+k(r−p)p\pi_k(p,r) = \pi_0(p) + k(r-p)pπk​(p,r)=π0​(p)+k(r−p)p.

Given an initial minimum price m0m_0m0​ and last price p0p_0p0​, the minimum price evolves as mt=min⁡(mt−1,pt)m_t = \min(m_{t-1},p_t)mt​=min(mt−1​,pt​) and the peak-end reference price is

rt=θmt−1+(1−θ)pt−1,θ∈(0,1].r_t = \theta m_{t-1} + (1-\theta)p_{t-1},\qquad \theta\in(0,1].rt​=θmt−1​+(1−θ)pt−1​,θ∈(0,1].

With discount factor β∈(0,1)\beta\in(0,1)β∈(0,1), the firm's value function is

J(m0,p0)=sup⁡pt∈P ∑t=1∞βt−1π(pt,rt).J(m_0,p_0) = \sup_{p_t\in\mathbf P}\ \sum_{t=1}^\infty \beta^{t-1}\pi(p_t,r_t).J(m0​,p0​)=pt​∈Psup​ t=1∑∞​βt−1π(pt​,rt​).

An optimal price path is a price sequence in P\mathbf PP attaining J(m0,p0)J(m_0,p_0)J(m0​,p0​); a steady state is a state (m,p)(m,p)(m,p), m≤pm\le pm≤p, from which the constant path pt≡pp_t\equiv ppt​≡p is optimal.

Two thresholds organize the answer. Let sss and SSS be the roots in P\mathbf PP of

π0′(p)−λ(1−β(1−θ))p=0(9),π0′(p)−γ(1−β)p=0(10),\pi_0'(p) - \lambda(1-\beta(1-\theta))p = 0 \quad (9),\qquad \pi_0'(p) - \gamma(1-\beta)p = 0 \quad (10),π0′​(p)−λ(1−β(1−θ))p=0(9),π0′​(p)−γ(1−β)p=0(10),

so that s≤Ss\le Ss≤S, and let R1=[0,s]\mathbf R_1 = [0,s]R1​=[0,s], R2=[s,S]\mathbf R_2 = [s,S]R2​=[s,S], R3=[S,pˉ]\mathbf R_3 = [S,\bar p]R3​=[S,pˉ​]. For m∈R1m\in\mathbf R_1m∈R1​, let pλ∗∗(m)p^{**}_\lambda(m)pλ∗∗​(m) be the root of

π0′(p)−λ(2−(1−θ)(1+β))p+λθm=0.(12)\pi_0'(p) - \lambda(2-(1-\theta)(1+\beta))p + \lambda\theta m = 0. \quad (12)π0′​(p)−λ(2−(1−θ)(1+β))p+λθm=0.(12)

Formalization targets

Goal: Proposition 3

For every initial state (m0,p0)(m_0,p_0)(m0​,p0​) with m0≤p0m_0\le p_0m0​≤p0​ in P\mathbf PP, an optimal price path exists, and every optimal price path {pt}t≥1\{p_t\}_{t\ge1}{pt​}t≥1​ is monotone and converges:

pt⟶{pλ∗∗(m0),m0∈R1,m0,m0∈R2,S,m0∈R3.p_t \longrightarrow \begin{cases} p^{**}_\lambda(m_0), & m_0\in\mathbf R_1,\\ m_0, & m_0\in\mathbf R_2,\\ S, & m_0\in\mathbf R_3.\end{cases}pt​⟶⎩⎨⎧​pλ∗∗​(m0​),m0​,S,​m0​∈R1​,m0​∈R2​,m0​∈R3​.​

The limit depends only on the initial minimum price.

Milestones

In attack order: monotonicity of JJJ (Lemma 1); the identity π=min⁡(πλ,πγ)\pi=\min(\pi_\lambda,\pi_\gamma)π=min(πλ​,πγ​) and supermodularity of π\piπ (Lemma 2); the upper bounds J(m,p)≤Jmν(p)J(m,p)\le J^\nu_m(p)J(m,p)≤Jmν​(p) by smooth problems with one-dimensional state (Lemma 3); the unique steady state of each smooth problem (Lemma 4); two families of steady states (Lemma 5); the full set of steady states

{(m,pλ∗∗(m))∣m∈R1}∪{(m,m)∣m∈R2}\{(m,p^{**}_\lambda(m)) \mid m\in\mathbf R_1\}\cup\{(m,m)\mid m\in\mathbf R_2\}{(m,pλ∗∗​(m))∣m∈R1​}∪{(m,m)∣m∈R2​}

(Proposition 1); Claims 1–4 and the invariance of the regions (Proposition 2: pt≥m0p_t\ge m_0pt​≥m0​ when m0≤Sm_0\le Sm0​≤S, and mt≥Sm_t\ge Smt​≥S when m0≥Sm_0\ge Sm0​≥S); and Claim 5 (for p0>m0≥Sp_0>m_0\ge Sp0​>m0​≥S the price eventually falls to m0m_0m0​ or below).

Significance

The result gives a complete description of optimal pricing under peak-end anchoring with loss-averse consumers. A continuum of steady states exists, and the one reached is set by the remembered minimum price alone. A firm facing a low minimum price raises prices toward pλ∗∗(m0)>m0p^{**}_\lambda(m_0)>m_0pλ∗∗​(m0​)>m0​; with an intermediate minimum it settles exactly at that minimum; with a high minimum it cuts prices down to SSS and then holds them there. Optimal paths are monotone, so the model predicts no cyclical discounting under loss aversion. The comparison with Popescu and Wu (2007) in Section 3.3 of the paper and the robustness results of later sections (heterogeneous markets, non-linear reference effects) build on these statements.

The paper's results are proved on paper; none is formalized. The mission produces a machine-checked model of a non-smooth, two-dimensional dynamic program defined directly as a supremum over price sequences, the reduction of its steady states to smooth one-dimensional bounds, and the convergence theorem.

Difficulty

Both the per-period profit (through the kink at p=rp=rp=r) and the state transition (through min⁡(mt−1,pt)\min(m_{t-1},p_t)min(mt−1​,pt​)) are non-smooth, so neither the Euler equation nor standard concavity arguments for the value function apply directly. The Bellman objective need not be concave in the price, and the value function is not differentiable on the diagonal m=pm=pm=p. Supermodularity of π\piπ yields monotone optimal policies only within a region where the minimum price stays fixed, and showing that the state never leaves its initial region (Proposition 2) is itself a comparison of optimal paths against steady states. Existence of an optimal path is needed in its own right, because the value function is a supremum over an infinite-dimensional set.

Formalization scope

All declarations live in PeakEndPricing.Convergence. Conventions fixed in Lean:

  • A price path is a sequence q:N→Rq:\mathbb N\to\mathbb Rq:N→R with q(n)=pn+1q(n) = p_{n+1}q(n)=pn+1​; p0p_0p0​ is the initial last price. minPrice m0 q n is mnm_nmn​ and refPrice at index nnn is the reference price rn+1r_{n+1}rn+1​ faced by q(n)q(n)q(n).
  • JJJ and the value JmνJ^\nu_mJmν​ of the smooth Problem (8) are suprema over sequences in [0,pˉ][0,\bar p][0,pˉ​] of tsums, never "a solution of the Bellman equation". On the domain of the theorems all series converge and the families are bounded, so the junk values of ⨆ and ∑' are not reached.
  • Steady states of (7) and (8) are optimal constant paths; equations (11) and (12) appear only as conclusions.
  • The profit is defined by (4)–(5); π=min⁡(πλ,πγ)\pi = \min(\pi_\lambda,\pi_\gamma)π=min(πλ​,πγ​) is part of Lemma 2, not a definition.
  • Explicit hypotheses the paper uses implicitly: π0\pi_0π0​ is differentiable at every point of P\mathbf PP (for π0′\pi_0'π0′​ in (9)–(12)); m0,p0∈Pm_0,p_0\in\mathbf Pm0​,p0​∈P and m0≤p0m_0\le p_0m0​≤p0​ (the state space, p. 12); sss and SSS are given roots in P\mathbf PP of (9) and (10), and pλ∗∗(m)p^{**}_\lambda(m)pλ∗∗​(m) is represented as a root in P\mathbf PP of (12).
  • "The optimal path": the paper treats the optimal policy as single-valued. The goal asserts existence of an optimal path and states monotonicity and convergence for every optimal path; the claims and Proposition 2 are likewise stated for every optimal path.
  • Correction: the regions R‾1a\overline{\mathbf R}_{1a}R1a​ and R‾1b\overline{\mathbf R}_{1b}R1b​ printed on p. 11 have their inequalities swapped relative to their use in the proofs of Claims 1–2 and on p. 14. Claims 1 and 2 are stated with explicit inequalities, m0≤p0≤pλ∗∗(m0)m_0\le p_0\le p^{**}_\lambda(m_0)m0​≤p0​≤pλ∗∗​(m0​) and p0≥pλ∗∗(m0)p_0\ge p^{**}_\lambda(m_0)p0​≥pλ∗∗​(m0​), and the regions are not defined.
  • Monotonicity ("increasing", "monotonically") is weak throughout. The "in particular" sentence of Proposition 1 is read as comparative statics of the steady-state price p**_λ(m) for a fixed m ∈ R_1 (the reading of its proof on p. 45). Corollary 1 is not formalized.

A goal stated without the existence of an optimal path would hold vacuously if no path attained JJJ; existence is therefore part of the goal. Contributions are welcome on general infrastructure that is reusable beyond this mission: existence of optimal paths for discounted problems over compact action sets, the principle of optimality for sequence formulations, and Topkis-type monotonicity of optimal paths for supermodular objectives.

Selected references

  • J. Nasiry and I. Popescu, Dynamic Pricing with Loss Averse Consumers and Peak-End Anchoring, INSEAD Working Paper 2009/20/DS/TOM, 2009; Operations Research 59(6), 2011. https://doi.org/10.1287/opre.1110.0952
  • I. Popescu and Y. Wu, Dynamic Pricing Strategies with Reference Effects, Operations Research 55(3):413–429, 2007. https://doi.org/10.1287/opre.1070.0383
  • D. Kahneman, B. L. Fredrickson, C. A. Schreiber and D. A. Redelmeier, When More Pain Is Preferred to Less: Adding a Better End, Psychological Science 4(6):401–405, 1993. https://doi.org/10.1111/j.1467-9280.1993.tb00589.x
  • A. Tversky and D. Kahneman, Loss Aversion in Riskless Choice: A Reference-Dependent Model, Quarterly Journal of Economics 106(4):1039–1061, 1991. https://doi.org/10.2307/2937956
  • G. Kalyanaram and R. S. Winer, Empirical Generalizations from Reference Price Research, Marketing Science 14(3):G161–G169, 1995. https://doi.org/10.1287/mksc.14.3.G161
  • D. M. Topkis, Supermodularity and Complementarity, Princeton University Press, 1998. https://doi.org/10.1515/9781400822539
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Numerical AnalysisOperations ResearchOptimization·Captain: mikedeng1

On the Complexity of Steepest Descent, Newton's and Regularized Newton's Methods for Nonconvex Unconstrained Optimization Problems 1: Steepest Descent Can Need ε^(−2+τ) Iterations to Reach |g| ≤ εResearch Paper

Motivation

Steepest descent is the oldest method for unconstrained minimization: to minimize a smooth function fff, it moves from the current point xkx_kxk​ along the negative gradient −gk=−∇f(xk)-g_k = -\nabla f(x_k)−gk​=−∇f(xk​). It is the prototype of every first-order method, and its worst-case evaluation complexity — how many iterations it may need before the gradient norm drops below a tolerance ϵ\epsilonϵ — is the reference point against which faster methods are measured.

For a function that is bounded below and has a Lipschitz continuous gradient, steepest descent with a suitable step-length rule reaches ∥gk∥≤ϵ\|g_k\| \le \epsilon∥gk​∥≤ϵ within O(ϵ−2)O(\epsilon^{-2})O(ϵ−2) iterations (Nesterov, Introductory Lectures on Convex Optimization, 2004, p. 29). Whether this bound is tight on nonconvex problems remained open until Cartis, Gould and Toint (preprint 15 October 2009; SIAM J. Optim. 20(6), 2010) built explicit one-dimensional examples showing that it is essentially sharp. The same paper shows that Newton's method can be as slow, and that the O(ϵ−3/2)O(\epsilon^{-3/2})O(ϵ−3/2) bound of cubically regularized Newton methods is also tight; those results are the other missions of this series.

Timeline:

  • 1983: Dennis and Schnabel, Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Theorem 6.3.3 — global convergence of steepest descent with a Goldstein–Armijo linesearch under twice continuous differentiability, boundedness below and a Lipschitz gradient.
  • 2004: Nesterov's textbook states the O(ϵ−2)O(\epsilon^{-2})O(ϵ−2) iteration bound for gradient methods on nonconvex functions with Lipschitz gradient.
  • 2009/2010: Cartis, Gould and Toint construct, for every τ>0\tau > 0τ>0, examples on which steepest descent needs at least ⌊ϵ−(2−τ)⌋\lfloor \epsilon^{-(2-\tau)} \rfloor⌊ϵ−(2−τ)⌋ iterations.

Setting

Let f:R→Rf : \mathbb R \to \mathbb Rf:R→R be twice continuously differentiable, bounded below, with a derivative f′f'f′ that is bounded and Lipschitz continuous. The paper calls these standing assumptions AS.0. Write g(x)=f′(x)g(x) = f'(x)g(x)=f′(x) for the gradient.

Steepest descent with step lengths (αk)k≥0(\alpha_k)_{k\ge0}(αk​)k≥0​ starts at x0=0x_0 = 0x0​=0 and sets

xk+1=xk−αk g(xk),k≥0.x_{k+1} = x_k - \alpha_k\, g(x_k), \qquad k \ge 0.xk+1​=xk​−αk​g(xk​),k≥0.

The step lengths are only required to lie in a fixed interval (condition (2.6))

0<α‾≤αk≤α‾<2.0 < \underline\alpha \le \alpha_k \le \overline\alpha < 2 .0<α​≤αk​≤α<2.

Such step lengths can be produced by a Goldstein–Armijo linesearch, which accepts a step when the decrease f(xk)−f(xk+1)f(x_k) - f(x_{k+1})f(xk​)−f(xk+1​) lies between a αk∣gk∣2a\,\alpha_k|g_k|^2aαk​∣gk​∣2 and b αk∣gk∣2b\,\alpha_k|g_k|^2bαk​∣gk​∣2 for fixed constants 0<a<b<10 < a < b < 10<a<b<1.

Fix τ∈(0,1)\tau \in (0,1)τ∈(0,1) and put η=η(τ)=12−τ−12=τ4−2τ\eta = \eta(\tau) = \frac{1}{2-\tau} - \frac12 = \frac{\tau}{4-2\tau}η=η(τ)=2−τ1​−21​=4−2ττ​. The mission's definitions (namespace SlowConvergence.SteepestDescent) record the paper's prescribed data: iterates xk, steps sk, values fk, gradients gk=−(1/(k+1))12+ηg_k = -(1/(k+1))^{\frac12+\eta}gk​=−(1/(k+1))21​+η (gk), and the quintic pieces p with the quantities ψk\psi_kψk​, ϕk\phi_kϕk​, μk\mu_kμk​ of (2.11)–(2.15).

Formalization targets

Goal: steepest descent can need ⌊ϵ−(2−τ)⌋\lfloor \epsilon^{-(2-\tau)}\rfloor⌊ϵ−(2−τ)⌋ iterates

For every τ∈(0,1)\tau \in (0,1)τ∈(0,1), every 0<α‾≤α‾<20 < \underline\alpha \le \overline\alpha < 20<α​≤α<2 and every step-length sequence with α‾≤αk≤α‾\underline\alpha \le \alpha_k \le \overline\alphaα​≤αk​≤α, there is fff satisfying AS.0 on all of R\mathbb RR on which the steepest descent run from x0=0x_0 = 0x0​=0 has

∣f′(xk)∣=(1k+1)12−τ(k≥0),hence∣f′(xk)∣≤ϵ<1  ⟹  k+1≥⌊1ϵ2−τ⌋.|f'(x_k)| = \Big(\frac{1}{k+1}\Big)^{\frac{1}{2-\tau}} \quad (k \ge 0), \qquad\text{hence}\qquad |f'(x_k)| \le \epsilon < 1 \;\Longrightarrow\; k+1 \ge \Big\lfloor \frac{1}{\epsilon^{2-\tau}} \Big\rfloor .∣f′(xk​)∣=(k+11​)2−τ1​(k≥0),hence∣f′(xk​)∣≤ϵ<1⟹k+1≥⌊ϵ2−τ1​⌋.

No constant (Lipschitz constant, gradient bound, lower bound) is fixed in the goal; only its existence is asserted.

Milestones

  1. (2.10) and (2.3): η>0\eta > 0η>0 and ∣gk∣=(1/(k+1))1/(2−τ)|g_k| = (1/(k+1))^{1/(2-\tau)}∣gk​∣=(1/(k+1))1/(2−τ).
  2. The Goldstein–Armijo remark (p. 4): for 2(1−b)≤αk≤2(1−a)2(1-b) \le \alpha_k \le 2(1-a)2(1−b)≤αk​≤2(1−a) the prescribed decrease satisfies both linesearch conditions.
  3. (2.12)–(2.14): the quintic pkp_kpk​ meets its six Hermite conditions on [0,μk][0,\mu_k][0,μk​].
  4. (2.15): 0<ψk<10 < \psi_k < 10<ψk​<1.
  5. (2.17): ∣pk′′(t)∣≤1+150∣ϕk∣≤1+150max⁡[1,α‾]/α‾|p_k''(t)| \le 1 + 150|\phi_k| \le 1 + 150\max[1,\overline\alpha]/\underline\alpha∣pk′′​(t)∣≤1+150∣ϕk​∣≤1+150max[1,α]/α​ on [0,μk][0,\mu_k][0,μk​].
  6. Lower bound (p. 5): fk−fk+1≤12(1/(k+1))1+2ηf_k - f_{k+1} \le \frac12 (1/(k+1))^{1+2\eta}fk​−fk+1​≤21​(1/(k+1))1+2η and fk≥0f_k \ge 0fk​≥0.

Significance

The result. Since τ>0\tau > 0τ>0 is arbitrary, the example shows that the O(ϵ−2)O(\epsilon^{-2})O(ϵ−2) upper bound for steepest descent cannot be improved to O(ϵ−2+τ)O(\epsilon^{-2+\tau})O(ϵ−2+τ) for any τ>0\tau > 0τ>0 under AS.0, even with a standard Goldstein–Armijo linesearch. It separates steepest descent from second-order methods with better worst-case bounds, and it is the template for the Newton and regularized-Newton examples of the same paper. A matching upper bound for gradient descent with step 1/L1/L1/L is formalized elsewhere on the platform (ShiOptRates.gd_exact_rate); together the two describe the complexity of the method up to the exponent τ\tauτ.

Formalizing it. The result is proved on paper; to our knowledge no machine-checked version exists. The mission adds a statement in which the method, the function class and the iteration count are fixed precisely. It also corrects three printed slips that a formal check exposes: the iteration count is off by one, the Goldstein–Armijo interval is printed reversed, and an intermediate step of (2.17) is false while its end bounds hold.

Difficulty

Matching prescribed values fkf_kfk​ and gradients gkg_kgk​ at the iterates is easy one point at a time. The difficulty is doing it with uniform control. The interval lengths μk\mu_kμk​ shrink like (k+1)−1/(2−τ)(k+1)^{-1/(2-\tau)}(k+1)−1/(2−τ), so a naive interpolant has second derivatives growing with kkk, and the gradient is then not globally Lipschitz. The prescribed values must also decrease at a rate whose sum stays finite, or the function is unbounded below. Both constraints pin the exponent: the construction works only because 12+η<1\frac12 + \eta < 121​+η<1 makes the iterates escape to infinity while 1+2η>11 + 2\eta > 11+2η>1 keeps ∑k(fk−fk+1)\sum_k (f_k - f_{k+1})∑k​(fk​−fk+1​) finite. A further step remains: the paper's function lives on [0,∞)[0,\infty)[0,∞) and must be extended to all of R\mathbb RR without losing any property of AS.0.

Formalization scope

The problem is one-dimensional: f : ℝ → ℝ, the gradient is deriv f, and the second derivative is iteratedDeriv 2. AS.0 is ContDiff ℝ 2 f, BddBelow (Set.range f), a global bound on |deriv f|, and LipschitzWith L (deriv f). Every property holds on all of R\mathbb RR; the paper constructs fff on [0,∞)[0,\infty)[0,∞) and says it extends smoothly to the negative reals, and that extension is part of the goal.

Conventions:

  • τ∈(0,1)\tau \in (0,1)τ∈(0,1): the construction needs it, and for ϵ<1\epsilon < 1ϵ<1 smaller τ\tauτ gives larger counts, so the paper's "any τ>0\tau > 0τ>0" follows.
  • The count is k+1≥⌊ϵ−(2−τ)⌋k + 1 \ge \lfloor \epsilon^{-(2-\tau)} \rfloork+1≥⌊ϵ−(2−τ)⌋ (natural floor), the number of iterates x0,…,xkx_0, \dots, x_kx0​,…,xk​; the printed "iterations" count kkk is off by one.
  • Exponents are Real.rpow with base 1/(k+1)>01/(k+1) > 01/(k+1)>0.
  • The real zeta function is the series ∑n≥0(1/(n+1))t\sum_{n\ge0} (1/(n+1))^t∑n≥0​(1/(n+1))t, used only at t=1+2η>1t = 1 + 2\eta > 1t=1+2η>1.
  • The step lengths are universally quantified before fff, and the steepest-descent run is part of the conclusion, tied to fff by xk+1=xk−αkf′(xk)x_{k+1} = x_k - \alpha_k f'(x_k)xk+1​=xk​−αk​f′(xk​). A goal asserting slow gradients along some sequence unrelated to fff, or for one convenient step-length sequence only, would be trivial or weaker and is not the statement.

Infrastructure needed: quintic Hermite interpolation on intervals, gluing piecewise polynomials into a C2C^2C2 function on [0,∞)[0,\infty)[0,∞) along an unbounded increasing knot sequence, a C2C^2C2 extension to the negative reals, and bounds for real ppp-series. The gluing lemma and the extension are reusable for the Newton and regularized-Newton missions of the series. Contributions of any milestone, of a construction of the glued function f1f_1f1​ of (2.16), or of a direct proof of the goal are welcome.

Selected references

  • C. Cartis, N. I. M. Gould, Ph. L. Toint, On the complexity of steepest descent, Newton's and regularized Newton's methods for nonconvex unconstrained optimization problems, SIAM J. Optim. 20(6), 2833–2852, 2010. https://doi.org/10.1137/090774100 (preprint 15 Oct 2009: https://people.maths.ox.ac.uk/cartis/papers/cgt36.pdf)
  • J. E. Dennis, R. B. Schnabel, Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Prentice-Hall, 1983. https://doi.org/10.1137/1.9781611971200
  • Yu. Nesterov, Introductory Lectures on Convex Optimization: A Basic Course, Kluwer, 2004. https://doi.org/10.1007/978-1-4419-8853-9
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Functional AnalysisNumerical AnalysisOperations Research+1·Captain: mikedeng1

Some Numerical Experiments with Variable-Storage Quasi-Newton Algorithms: The Update (A.7) Is the Unique Least-Change Self-Adjoint Secant Update in a Weighted Hilbert–Schmidt NormResearch Paper

Motivation

Quasi-Newton methods replace a costly exact Hessian with an operator updated from successive changes in position and gradient. A secant update must map the observed step sss to the observed gradient difference yyy. Many operators satisfy that one equation, so the choice of update needs another criterion. Gilbert and Lemaréchal's working paper studies variable-storage quasi-Newton algorithms and, in its Annex, characterizes familiar update formulas by how little they change the previous operator. The Annex treats real Hilbert spaces, rather than only matrices on Euclidean space, and allows the underlying scalar product and the weighting operator to vary. Its least-change characterization is the subject of this mission.

The source is the August 1988 IIASA Working Paper WP-88-121. A revised journal article appeared in 1989, but the theorem numbers and printed page references here belong to the working paper. The work is a formalization of a result proved in that paper; the mathematical question is not open.

Setting

Let H\mathcal HH be a complete real inner-product space. A continuous linear operator BBB is the current Hessian approximation. A step s∈Hs\in\mathcal Hs∈H and a gradient difference y∈Hy\in\mathcal Hy∈H determine the quasi-Newton equation B+s=yB_+s=yB+​s=y for the updated operator B+B_+B+​. Write B+=B+PB_+=B+PB+​=B+P, where PPP is the perturbation. The source restricts PPP to the Hilbert–Schmidt class L2(H)L_2(\mathcal H)L2​(H), so its size can be measured by an orthonormal basis (ei)i∈I(e_i)_{i\in I}(ei​)i∈I​:

∥P∥HS=(∑i∈I∥Pei∥2)1/2.\|P\|_{\mathrm{HS}}=\left(\sum_{i\in I}\|Pe_i\|^2\right)^{1/2}.∥P∥HS​=(i∈I∑​∥Pei​∥2)1/2.

The index set III need not be countable; membership in L2(H)L_2(\mathcal H)L2​(H) means the displayed family is summable. The value is independent of the chosen orthonormal basis. For u,v∈Hu,v\in\mathcal Hu,v∈H, the paper's bracket operator is [u,v]d=⟨v,d⟩u[u,v]d=\langle v,d\rangle u[u,v]d=⟨v,d⟩u. The order of its arguments matters.

The nonsymmetric feasible set is Π={P∈L2(H):(B+P)s=y}\Pi=\{P\in L_2(\mathcal H):(B+P)s=y\}Π={P∈L2​(H):(B+P)s=y}. For a self-adjoint BBB, the symmetric problem uses ΠS={P∈L2(H):P=P∗, (B+P)s=y}\Pi_S=\{P\in L_2(\mathcal H):P=P^*,\ (B+P)s=y\}ΠS​={P∈L2​(H):P=P∗, (B+P)s=y}. A bijective continuous operator RRR weights the symmetric objective ∥R∗PR∥HS\|R^*PR\|_{\mathrm{HS}}∥R∗PR∥HS​. The vector c=R−∗R−1sc=R^{-*}R^{-1}sc=R−∗R−1s records how this weight changes the update. Both the feasible set and the weighted objective matter: taking a minimum over every bounded operator would change the problem.

Formalization targets

The goal is Proposition A.2 on printed p. 28 of the working paper. Suppose B=B∗B=B^*B=B∗, RRR is bijective, and s≠0s\ne0s=0. With r=y−Bsr=y-Bsr=y−Bs and c=R−∗R−1sc=R^{-*}R^{-1}sc=R−∗R−1s, define

Pc=[r,c]+[c,r]⟨c,s⟩−⟨r,s⟩⟨c,s⟩2[c,c].P_c=\frac{[r,c]+[c,r]}{\langle c,s\rangle} -\frac{\langle r,s\rangle}{\langle c,s\rangle^2}[c,c].Pc​=⟨c,s⟩[r,c]+[c,r]​−⟨c,s⟩2⟨r,s⟩​[c,c].

The target asserts that PcP_cPc​ belongs to ΠS\Pi_SΠS​ and is the unique minimizer of ∥R∗PR∥HS\|R^*PR\|_{\mathrm{HS}}∥R∗PR∥HS​ over P∈ΠSP\in\Pi_SP∈ΠS​. Its formula depends on RRR only through ccc. No positivity condition on BBB or on ⟨y,s⟩\langle y,s\rangle⟨y,s⟩ is part of this result.

The milestones follow the source's supporting statements in order. They establish that the Hilbert–Schmidt sum is independent of the orthonormal basis and defines a norm on its domain; that the operator norm is bounded by this norm and the Hilbert–Schmidt class is stable under multiplication by bounded operators; the bracket identity ∥[u,v]∥HS=∥[u,v]∥op=∥u∥∥v∥\|[u,v]\|_{\mathrm{HS}}=\|[u,v]\|_{\mathrm{op}}=\|u\|\|v\|∥[u,v]∥HS​=∥[u,v]∥op​=∥u∥∥v∥; the two bracket composition identities; Proposition A.1, the unique nonsymmetric least-change update for ∥R1PR2∥HS\|R_1PR_2\|_{\mathrm{HS}}∥R1​PR2​∥HS​; and its instance R2=IR_2=IR2​=I, Broyden's update (A.5). The goal adds self-adjointness and a single two-sided weight.

The Annex then draws consequences of the goal, which are further milestones: the instance R=IR=IR=I is the psb (Powell symmetric Broyden) update; Proposition A.3 states that for nonzero y,sy,sy,s a self-adjoint positive operator (⟨Bu,u⟩>0\langle Bu,u\rangle>0⟨Bu,u⟩>0 for u≠0u\ne0u=0) with Bs=yBs=yBs=y exists if and only if y=C∗Csy=C^*Csy=C∗Cs for a bijective CCC, if and only if ⟨y,s⟩>0\langle y,s\rangle>0⟨y,s⟩>0; with R=C−1R=C^{-1}R=C−1 the weight becomes c=yc=yc=y and (A.7) becomes the dfp (Davidon–Fletcher–Powell) update (A.8); and (A.9) is a product form of the dfp update from which its positivity follows when BBB is self-adjoint positive and ⟨y,s⟩>0\langle y,s\rangle>0⟨y,s⟩>0.

Significance

The theorem gives a precise optimization property to a rank-two symmetric secant formula. It identifies the operator selected by the weighted least-change criterion and guarantees there is no other feasible minimizer with the same value. Taking the weight to be the identity yields the psb update, and taking R=C−1R=C^{-1}R=C−1 with C∗Cs=yC^*Cs=yC∗Cs=y yields the dfp update, so two of the classical symmetric secant formulas are least-change updates for different weights. Proposition A.1 similarly characterizes the rank-one update that becomes Broyden's formula when its right weight is the identity. These consequences explain why the familiar formulas arise from a common variational question, as the Annex states.

The paper supplies a mathematical proof. The remaining formalization work is to represent the Hilbert–Schmidt class, its norm and ideal property, the weighted objectives, and the exact minimization claims in Lean, then prove those claims. Mathlib supplies Hilbert spaces, Hilbert bases, bounded linear maps, adjoints, and the rank-one operator corresponding to the paper's bracket. The statements drafted for this mission compile, but they carry sorry and have no machine-checked proof from this mission yet. A completed development would leave reusable Hilbert–Schmidt and rank-one operator results beyond this quasi-Newton application.

Difficulty

The secant equation alone fixes an operator on only one vector. Even in two dimensions, a rank-one perturbation can satisfy that equation while failing to preserve self-adjointness. Requiring self-adjointness leaves many candidates, and minimizing the two-sided weighted Hilbert–Schmidt norm must distinguish exactly one of them. In infinite-dimensional spaces the norm also has a domain: some bounded operators have an infinite square sum. A formulation that silently assigns a finite default value to a nonsummable operator could turn the least-change claim into a different assertion. These are the mathematical and formal obstacles the milestone list exposes.

Formalization scope

Lean uses an arbitrary complete real inner-product space, with no finite-dimensional or separability assumption, and an arbitrary HilbertBasis index type. Each theorem takes a basis parameter; the basis-independence milestone states why this represents the paper's basis-free norm. The reusable definitions for the bracket and the Hilbert–Schmidt square sum are separate from the paper-specific feasible sets. bracket u v abbreviates Mathlib's rankOne ℝ u v, with vvv paired with the input. A bijective bounded operator is represented by a continuous linear equivalence R:H≃HR:\mathcal H\simeq\mathcal HR:H≃H; the bounded inverse theorem makes this equivalent to the paper's bijective member of L(H)L(\mathcal H)L(H). The definition of ccc applies the adjoint of R−1R^{-1}R−1 to R−1sR^{-1}sR−1s.

Lean's real tsum has a default value when the family is not summable, so the Hilbert–Schmidt norm is used as a norm only for operators satisfying the explicit summability predicate. Both Π\PiΠ and ΠS\Pi_SΠS​ include that predicate. The ideal-property milestone covers the weighted operators in the two objectives. The hypothesis s≠0s\ne0s=0 is exactly the proposition's condition; it entails ⟨c,s⟩=∥R−1s∥2>0\langle c,s\rangle=\|R^{-1}s\|^2>0⟨c,s⟩=∥R−1s∥2>0, so no extra nonzero-denominator hypothesis is imposed. The statement spells out “unique solution” as feasibility, minimality over every feasible perturbation, and equality of every feasible minimizer with PcP_cPc​. The paper prints “problem (A.5)” in Proposition A.2, but (A.5) labels Broyden's displayed formula; its preceding paragraph defines the relevant symmetric minimization as (A.6). This mission formalizes (A.6).

In Proposition A.3 and (A.9), "positive" is the paper's strict notion ⟨Bu,u⟩>0\langle Bu,u\rangle>0⟨Bu,u⟩>0 for u≠0u\ne0u=0, not the non-strict positivity of Mathlib. The identity (A.9) is stated for self-adjoint BBB and ⟨y,s⟩≠0\langle y,s\rangle\ne0⟨y,s⟩=0, the setting of the Annex's symmetric problem; the paper's sentence before the psb formula repeats the "(A.5)" misprint and is read as (A.6) in the same way.

The definition layer, basis independence, operator-ideal property, bracket results, both least-change propositions, and the Broyden, psb, dfp and positivity statements are welcome proof targets. The scaling results of §4.1 are outside this mission.

Selected references

  • Jean Charles Gilbert and Claude Lemaréchal, Some numerical experiments with variable-storage quasi-Newton algorithms, IIASA Working Paper WP-88-121, August 1988, §2.1 and Annex, printed pp. 3 and 26–30. Working paper PDF.
  • Jean Charles Gilbert and Claude Lemaréchal, Some numerical experiments with variable-storage quasi-Newton algorithms, Mathematical Programming 45 (1989), 407–435. DOI 10.1007/BF01589113. Cited for publication history; all statement indices above follow the working paper.
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AlgebraTheoretical Computer Science·Captain: mikedeng1

Fast Polynomial Factorization and Modular Composition 1: The Inverse Kronecker Map ψ Reduces Modular Composition f(g₀, …, g_{m−1}) mod h to One Multivariate Multipoint EvaluationResearch Paper

Motivation

Modular composition asks, given univariate polynomials f,g,hf, g, hf,g,h over a ring, for f(g(X)) mod h(X)f(g(X)) \bmod h(X)f(g(X))modh(X). It is the bottleneck step in the classical algorithms for factoring univariate polynomials over finite fields (Cantor–Zassenhaus, von zur Gathen–Shoup, Kaltofen–Shoup), for irreducibility testing and for computing minimal polynomials. Brent and Kung (1978) gave an algorithm using O(n(ω+1)/2)O(n^{(\omega+1)/2})O(n(ω+1)/2) operations for degree nnn, and for three decades no algorithm with a near-linear operation count was known in general.

Kedlaya and Umans (Dagstuhl Seminar Proceedings 08381, 2008; journal version SIAM J. Comput. 40(6), 2011, doi:10.1137/08073408X) obtained near-linear modular composition over finite fields, and with it asymptotically faster algorithms for factoring polynomials over finite fields. Their route has two halves: a reduction of modular composition to multivariate multipoint evaluation (Section 3), and new fast algorithms for the latter (Sections 4 and 6). This mission formalizes the correctness of the first half, Theorem 3.1. The paper notes that Shoup and Smolensky used essentially the same transformation in an unpublished 1992 manuscript.

Setting

Throughout, RRR is an arbitrary commutative ring. Variables are indexed from 000.

MULTIVARIATE MULTIPOINT EVALUATION (Problem 2.1): given f∈R[X0,…,Xm−1]f \in R[X_0, \dots, X_{m-1}]f∈R[X0​,…,Xm−1​] with individual degrees at most d−1d-1d−1 and points α0,…,αN−1∈Rm\alpha_0, \dots, \alpha_{N-1} \in R^mα0​,…,αN−1​∈Rm, output f(α0),…,f(αN−1)f(\alpha_0), \dots, f(\alpha_{N-1})f(α0​),…,f(αN−1​).

MODULAR COMPOSITION (Problem 2.2): given f∈R[X0,…,Xm−1]f \in R[X_0, \dots, X_{m-1}]f∈R[X0​,…,Xm−1​] with individual degrees at most d−1d-1d−1, and g0,…,gm−1,h∈R[X]g_0, \dots, g_{m-1}, h \in R[X]g0​,…,gm−1​,h∈R[X] of degree at most N−1N-1N−1 with the leading coefficient of hhh a unit, output f(g0(X),…,gm−1(X)) mod h(X)f(g_0(X), \dots, g_{m-1}(X)) \bmod h(X)f(g0​(X),…,gm−1​(X))modh(X), the unique rrr with deg⁡r<deg⁡h\deg r < \deg hdegr<degh and h∣f(g0,…,gm−1)−rh \mid f(g_0, \dots, g_{m-1}) - rh∣f(g0​,…,gm−1​)−r.

The inverse Kronecker map (Definition 2.3) ψh,ℓ:R[X0,…,Xm−1]→R[Y0,0,…,Ym−1,ℓ−1]\psi_{h,\ell} : R[X_0, \dots, X_{m-1}] \to R[Y_{0,0}, \dots, Y_{m-1,\ell-1}]ψh,ℓ​:R[X0​,…,Xm−1​]→R[Y0,0​,…,Ym−1,ℓ−1​] is the RRR-linear map that sends the monomial ∏iXiei\prod_i X_i^{e_i}∏i​Xiei​​ to ∏i∏j<ℓYi,jai,j\prod_i \prod_{j<\ell} Y_{i,j}^{a_{i,j}}∏i​∏j<ℓ​Yi,jai,j​​, where ei=∑j≥0ai,jhje_i = \sum_{j \ge 0} a_{i,j} h^jei​=∑j≥0​ai,j​hj is the base-hhh expansion. It trades individual degree for number of variables: every individual degree of ψh,ℓ(f)\psi_{h,\ell}(f)ψh,ℓ​(f) is below hhh.

The algorithm of Theorem 3.1 takes 2≤d0<d2 \le d_0 < d2≤d0​<d, sets ℓ=⌈log⁡d0d⌉\ell = \lceil \log_{d_0} d \rceilℓ=⌈logd0​​d⌉ and N′=Nmℓd0N' = N m \ell d_0N′=Nmℓd0​, receives points β0,…,βN′−1∈R\beta_0, \dots, \beta_{N'-1} \in Rβ0​,…,βN′−1​∈R whose differences are units, and

  1. computes f′=ψd0,ℓ(f)f' = \psi_{d_0,\ell}(f)f′=ψd0​,ℓ​(f);
  2. computes gi,j=gid0 j mod hg_{i,j} = g_i^{d_0^{\,j}} \bmod hgi,j​=gid0j​​modh for all iii and j<ℓj < \ellj<ℓ;
  3. computes αi,j,k=gi,j(βk)\alpha_{i,j,k} = g_{i,j}(\beta_k)αi,j,k​=gi,j​(βk​);
  4. computes f′(α0,0,k,…,αm−1,ℓ−1,k)f'(\alpha_{0,0,k}, \dots, \alpha_{m-1,\ell-1,k})f′(α0,0,k​,…,αm−1,ℓ−1,k​) for k<N′k < N'k<N′ (one multivariate multipoint evaluation);
  5. interpolates these N′N'N′ values at the nodes βk\beta_kβk​;
  6. outputs the result modulo hhh.

Formalization targets

Goal: Theorem 3.1, correctness

algorithm(d0,d,f,g,h,β)  =  f(g0(X),…,gm−1(X)) mod h(X),\mathrm{algorithm}(d_0, d, f, g, h, \beta) \;=\; f\bigl(g_0(X), \dots, g_{m-1}(X)\bigr) \bmod h(X),algorithm(d0​,d,f,g,h,β)=f(g0​(X),…,gm−1​(X))modh(X),

for all m,N≥1m, N \ge 1m,N≥1, 2≤d0<d2 \le d_0 < d2≤d0​<d, fff with individual degrees ≤d−1\le d-1≤d−1, gi,hg_i, hgi​,h of degree ≤N−1\le N-1≤N−1 with lc(h)\mathrm{lc}(h)lc(h) a unit, and β0,…,βN′−1\beta_0, \dots, \beta_{N'-1}β0​,…,βN′−1​ distinct with unit differences. The right-hand side is stated through the characterization of the remainder (divisibility by hhh and degree below deg⁡h\deg hdegh).

Milestones (in the order the proof uses them)

  • Definition 2.3, remark: if every individual degree of fff is at most hℓ−1h^\ell - 1hℓ−1, then ψh,ℓ(f)(X0h0,…,Xm−1hℓ−1)=f\psi_{h,\ell}(f)\bigl(X_0^{h^0}, \dots, X_{m-1}^{h^{\ell-1}}\bigr) = fψh,ℓ​(f)(X0h0​,…,Xm−1hℓ−1​)=f.
  • Definition 2.3, remark: ψh,ℓ\psi_{h,\ell}ψh,ℓ​ is injective on such polynomials (not used by the goal).
  • Proof of Theorem 3.1: f′(g0,0,…,gm−1,ℓ−1)≡f(g0,…,gm−1)(modh)f'(g_{0,0}, \dots, g_{m-1,\ell-1}) \equiv f(g_0, \dots, g_{m-1}) \pmod{h}f′(g0,0​,…,gm−1,ℓ−1​)≡f(g0​,…,gm−1​)(modh).
  • Proof of Theorem 3.1, Step 5: deg⁡f′(g0,0(X),…,gm−1,ℓ−1(X))<N′\deg f'(g_{0,0}(X), \dots, g_{m-1,\ell-1}(X)) < N'degf′(g0,0​(X),…,gm−1,ℓ−1​(X))<N′.

A supporting theorem states that the interpolation formula over a commutative ring (Figure 1) recovers every polynomial of degree <n< n<n from its values at nnn nodes with unit differences.

Significance

Theorem 3.1 says that modular composition is no harder than one multivariate multipoint evaluation with mℓm\ellmℓ variables, individual degrees below d0d_0d0​, and N′N'N′ points, up to quasi-linear univariate work. Combined with the paper's fast multipoint evaluation algorithms this gives modular composition over Fq\mathbb F_qFq​ in n1+o(1)log⁡1+o(1)qn^{1+o(1)}\log^{1+o(1)} qn1+o(1)log1+o(1)q bit operations, and from there the paper's improved bounds for polynomial factorization, irreducibility testing, minimal polynomials and modular power projection (Sections 7–8). The converse reduction (Theorem 3.3) shows the two problems are essentially equivalent.

The paper's proof of correctness is a short paragraph; the operation counts are the paper's main concern. This mission makes the correctness exact: the algorithm is defined step for step, and its output is proved equal to the specification. As far as the platform's corpus shows, neither the inverse Kronecker map nor this reduction has a machine-checked statement; the running-time half is not part of this mission.

Difficulty

The obvious argument substitutes gid0jg_i^{d_0^j}gid0j​​ for Yi,jY_{i,j}Yi,j​ and invokes the inverse Kronecker identity. Two points keep this from being immediate. First, ψh,ℓ\psi_{h,\ell}ψh,ℓ​ is linear but not multiplicative, and it discards base-hhh digits beyond position ℓ−1\ell-1ℓ−1; the identity holds only for individual degrees at most hℓ−1h^\ell - 1hℓ−1, which here requires d≤d0⌈log⁡d0d⌉d \le d_0^{\lceil \log_{d_0} d\rceil}d≤d0⌈logd0​​d⌉​. Second, the algorithm never sees f′(g0,0,… )f'(g_{0,0}, \dots)f′(g0,0​,…) itself, only its values at N′N'N′ points: interpolation recovers it only if its degree is below N′N'N′, which is why Step 2 reduces modulo hhh before substituting, and interpolation over a ring (not a field) needs the unit-difference hypothesis throughout. Mathlib's Lagrange interpolation is stated over fields, so the ring version must be handled directly.

Formalization scope

  • RRR is any commutative ring (CommRing R); there is no field or nontriviality assumption.
  • Variables are Fin m; the new variables Yi,jY_{i,j}Yi,j​ are Fin m × Fin ℓ; points are Fin N'.
  • Individual degrees are MvPolynomial.degreeOf; "degree at most N−1N-1N−1" is natDegree ≤ N - 1.
  • ℓ\ellℓ is Nat.clog d₀ d and N′=Nmℓd0N' = N m \ell d_0N′=Nmℓd0​; ℓ\ellℓ is not a free parameter.
  • "mod hhh" for hhh with unit leading coefficient is the remainder on division by the monic associate h⋅lc(h)−1h \cdot \mathrm{lc}(h)^{-1}h⋅lc(h)−1; interpolation is the Lagrange formula with Ring.inverse of the node differences.
  • Step 4 is MvPolynomial.eval, which is exactly the output of Problem 2.1.
  • Added hypotheses: m≥1m \ge 1m≥1 and N≥1N \ge 1N≥1 (the paper does not consider m=0m = 0m=0, where N′=0N' = 0N′=0, or N=0N = 0N=0, where "degree at most N−1N - 1N−1" would collapse in natural-number arithmetic).
  • In the goal, "deg⁡r<deg⁡h\deg r < \deg hdegr<degh" is weakened to "deg⁡r<deg⁡h\deg r < \deg hdegr<degh or r=0r = 0r=0" only to cover the zero ring; in any nontrivial ring the two agree.
  • Only correctness is formalized. Operation counts, the O(⋅)O(\cdot)O(⋅) and polylog⁡\mathrm{poly}\logpolylog bounds, and the count of invocations are out of scope.

Step 5 is the interpolation formula applied to the N′N'N′ computed values and nodes alone; it is not defined as the polynomial f′(g0,0,…,gm−1,ℓ−1)f'(g_{0,0}, \dots, g_{m-1,\ell-1})f′(g0,0​,…,gm−1,ℓ−1​), and the goal is the six-step output, not the congruence alone, so the statement cannot be closed by unfolding definitions.

Useful infrastructure, reusable beyond this mission: base-hhh digit manipulation of exponent vectors, Lagrange interpolation over commutative rings with unit node differences, and remainders modulo polynomials with unit leading coefficient. Proofs of any milestone, and of the supporting interpolation theorem, are welcome independently.

Selected references

  • K. S. Kedlaya, C. Umans, Fast polynomial factorization and modular composition, Dagstuhl Seminar Proceedings 08381, 2008. http://drops.dagstuhl.de/opus/volltexte/2008/1777
  • K. S. Kedlaya, C. Umans, Fast polynomial factorization and modular composition, SIAM J. Comput. 40(6):1767–1802, 2011. https://doi.org/10.1137/08073408X
  • R. P. Brent, H. T. Kung, Fast algorithms for manipulating formal power series, J. ACM 25(4):581–595, 1978. https://doi.org/10.1145/322092.322099
  • J. von zur Gathen, J. Gerhard, Modern Computer Algebra, Cambridge University Press, 1999. https://doi.org/10.1017/CBO9781139856065
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Numerical AnalysisOptimization·Captain: mikedeng1

Branch-and-Bound Performance Estimation Programming: A Unified Methodology for Constructing Optimal Optimization Methods: Subgradient Rate L̃²(2√(4κ²(N+1)+1)−1)/(N+1) on Weakly Convex FunctionsResearch Paper

Motivation

Many objectives in statistics and machine learning are neither smooth nor convex, yet are well behaved in a weaker sense: robust phase retrieval, blind deconvolution, robust PCA and training with piecewise-linear losses all lead to weakly convex functions, functions that become convex after adding a fixed quadratic. For such functions the plain subgradient method xk+1=xk−h f′(xk)x_{k+1}=x_k-h\,f'(x_k)xk+1​=xk​−hf′(xk​) remains the method of choice, and the natural question is how fast it reaches approximate stationarity. Davis and Drusvyatskiy (SIAM J. Optim. 2019) gave the first such rate, measured by the gradient of the Moreau envelope, of order L~2 4κ/N+1\widetilde L^2\,4\kappa/\sqrt{N+1}L24κ/N+1​.

Das Gupta, Van Parys and Ryu (Math. Program. 204 (2024) 567–639) introduced BnB-PEP, a branch-and-bound method for solving nonconvex performance-estimation problems to global optimality, and used it to construct optimal and efficient first-order methods. Their one fully analytical result (§6.3) is a new potential-function analysis of the subgradient method on weakly convex functions with bounded subgradients. It produces an explicit stepsize and a rate that strictly improves on the Davis–Drusvyatskiy bound for all large enough NNN. The certificate was found numerically; the paper then gives a classical proof that can be checked by hand. This mission formalizes that result.

Setting

Work in Rd\mathbb R^dRd with the Euclidean norm. A function f:Rd→Rf:\mathbb R^d\to\mathbb Rf:Rd→R is ρ\rhoρ-weakly convex if f+ρ2∥⋅∥2f+\frac{\rho}{2}\|\cdot\|^2f+2ρ​∥⋅∥2 is convex. For such fff, a vector ggg is a subgradient of fff at xxx, written g∈∂f(x)g\in\partial f(x)g∈∂f(x), when

f(y)≥f(x)+⟨g,y−x⟩−ρ2∥y−x∥2∀y∈Rd.f(y)\ge f(x)+\langle g,y-x\rangle-\frac{\rho}{2}\|y-x\|^2\qquad\forall y\in\mathbb R^d .f(y)≥f(x)+⟨g,y−x⟩−2ρ​∥y−x∥2∀y∈Rd.

The class Wρ,L\mathcal W_{\rho,L}Wρ,L​ consists of the ρ\rhoρ-weakly convex fff whose subgradients all satisfy ∥g∥≤L\|g\|\le L∥g∥≤L. Since f∈Wρ,Lf\in\mathcal W_{\rho,L}f∈Wρ,L​ exactly when f/ρ∈W1,L/ρf/\rho\in\mathcal W_{1,L/\rho}f/ρ∈W1,L/ρ​, the paper sets ρ=1\rho=1ρ=1 and writes L~=L/ρ\widetilde L=L/\rhoL=L/ρ; here the normalized bound is written LLL (Lean: InWeakClass 1 L f, with subgradients IsWeakSubgrad 1 f x g).

For ρ^>1\hat\rho>1ρ^​>1 the proximal point prox(1/ρ^)f(x)\mathrm{prox}_{(1/\hat\rho)f}(x)prox(1/ρ^​)f​(x) is the unique minimizer of y↦f(y)+ρ^2∥y−x∥2y\mapsto f(y)+\frac{\hat\rho}{2}\|y-x\|^2y↦f(y)+2ρ^​​∥y−x∥2, and the Moreau envelope is the minimum value

f(1/ρ^)(x)=min⁡y{f(y)+ρ^2∥y−x∥2}f_{(1/\hat\rho)}(x)=\min_{y}\Big\{f(y)+\frac{\hat\rho}{2}\|y-x\|^2\Big\}f(1/ρ^​)​(x)=ymin​{f(y)+2ρ^​​∥y−x∥2}

(Lean: SAGA.Convex.IsProxPoint f (1/ρ̂) x y and moreauEnv ρ̂ f x). The envelope is continuously differentiable, and its gradient ∇f(1/ρ^)(x)=ρ^(x−y)\nabla f_{(1/\hat\rho)}(x)=\hat\rho(x-y)∇f(1/ρ^​)​(x)=ρ^​(x−y) is a subgradient of fff at the prox point yyy. With ρ^=2\hat\rho=2ρ^​=2, the paper's choice, ∥∇f(1/2)(x)∥\|\nabla f_{(1/2)}(x)\|∥∇f(1/2)​(x)∥ small means that xxx is near a point yyy that is nearly stationary for fff.

The method is xk+1=xk−h f′(xk)x_{k+1}=x_k-h\,f'(x_k)xk+1​=xk​−hf′(xk​) for k∈[0:N]k\in[0:N]k∈[0:N], where each f′(xk)∈∂f(xk)f'(x_k)\in\partial f(x_k)f′(xk​)∈∂f(xk​) is arbitrary. One writes yk=prox(1/2)f(xk)y_k=\mathrm{prox}_{(1/2)f}(x_k)yk​=prox(1/2)f​(xk​), f′(yk)=2(xk−yk)f'(y_k)=2(x_k-y_k)f′(yk​)=2(xk​−yk​), assumes a global minimizer x⋆x_\starx⋆​ and the initial condition f(y0)−f(x⋆)+∥x0−y0∥2≤R2f(y_0)-f(x_\star)+\|x_0-y_0\|^2\le R^2f(y0​)−f(x⋆​)+∥x0​−y0​∥2≤R2, and sets κ=R/L\kappa=R/Lκ=R/L.

Formalization targets

Goal: Corollary 1 (p. 625)

For the stepsize h=4κ2(N+1)+1 / (2(N+1))h=\sqrt{4\kappa^2(N+1)+1}\,/\,(2(N+1))h=4κ2(N+1)+1​/(2(N+1)), provided h≤12h\le\frac12h≤21​,

1N+1∑i=0N∥∇f(1/2)(xi)∥2 ≤ L2(24κ2(N+1)+1−1)N+1.\frac{1}{N+1}\sum_{i=0}^{N}\|\nabla f_{(1/2)}(x_i)\|^2\ \le\ \frac{L^2\big(2\sqrt{4\kappa^2(N+1)+1}-1\big)}{N+1}.N+11​i=0∑N​∥∇f(1/2)​(xi​)∥2 ≤ N+1L2(24κ2(N+1)+1​−1)​.

The bound holds for every choice of subgradients along the run.

Theorem 1 (p. 623)

For h∈(0,12]h\in(0,\frac12]h∈(0,21​], bN+1=0b_{N+1}=0bN+1​=0, bk=4+(1−2h)bk+1b_k=4+(1-2h)b_{k+1}bk​=4+(1−2h)bk+1​ and ck=h2bk+1c_k=h^2b_{k+1}ck​=h2bk+1​, the potentials ψk=bk(f(yk)−f(x⋆)+∥xk−yk∥2)\psi_k=b_k\big(f(y_k)-f(x_\star)+\|x_k-y_k\|^2\big)ψk​=bk​(f(yk​)−f(x⋆​)+∥xk​−yk​∥2) satisfy

∥f′(yk)∥2+ψk+1−ψk≤ck∥f′(xk)∥2(k∈[0:N]),1N+1∑i=0N∥∇f(1/2)(xi)∥2≤1N+1(L2∑i=0Nci+b0R2).\|f'(y_k)\|^2+\psi_{k+1}-\psi_k\le c_k\|f'(x_k)\|^2\quad(k\in[0:N]),\qquad \frac{1}{N+1}\sum_{i=0}^{N}\|\nabla f_{(1/2)}(x_i)\|^2\le\frac{1}{N+1}\Big(L^2\sum_{i=0}^{N}c_i+b_0R^2\Big).∥f′(yk​)∥2+ψk+1​−ψk​≤ck​∥f′(xk​)∥2(k∈[0:N]),N+11​i=0∑N​∥∇f(1/2)​(xi​)∥2≤N+11​(L2i=0∑N​ci​+b0​R2).

Milestones

In proof order: the Moreau-envelope facts of §6.3.1; the one-step inequality (32) for an arbitrary point; the telescoping display after (32); the closed form (44) of bkb_kbk​ with nonnegativity; Theorem 1; the closed form (45) of its bound in hhh; the majorant (46) with Bernoulli's upper bound; and the minimizer hub⋆h^\star_{\mathrm{ub}}hub⋆​ of (46) with its value.

Significance

The result. Corollary 1 gives an explicit, non-asymptotic rate for the most basic method of nonsmooth nonconvex optimization, with explicit constants and an explicit stepsize. As N→∞N\to\inftyN→∞ the bound is asymptotic to 4κL2/N+14\kappa L^2/\sqrt{N+1}4κL2/N+1​, and the paper shows it is strictly below the earlier bound L2 4κ/N+1L^2\,4\kappa/\sqrt{N+1}L24κ/N+1​ once N>(9−64κ2)/(64κ2)N>(9-64\kappa^2)/(64\kappa^2)N>(9−64κ2)/(64κ2). It also bounds min⁡i≤N∥∇f(1/2)(xi)∥2\min_{i\le N}\|\nabla f_{(1/2)}(x_i)\|^2mini≤N​∥∇f(1/2)​(xi​)∥2. It shows that computer-assisted performance estimation can produce closed-form guarantees beyond the convex, interpolable function classes where PEP is usually applied.

Formalizing it. The result is proved on paper twice (pp. 622–627), but nothing about weakly convex functions, their subdifferential or the Moreau envelope in the nonconvex regime is formalized on the platform, and the convergence analysis has not been machine-checked. A complete development formalizes the potential-function proof and supplies reusable facts about weakly convex functions and the Moreau envelope.

Difficulty

The scalar part of the argument ((44)–(46) and the plug-in) is elementary algebra and one Bernoulli inequality. The analytic weight sits in two places. First, the Moreau envelope of a nonconvex function: showing that the real infimum is attained at the prox point, that the envelope is differentiable with gradient ρ^(x−y)\hat\rho(x-y)ρ^​(x−y), and that this gradient is a subgradient of fff at yyy with the weak-convexity modulus 111 (not the modulus ρ^\hat\rhoρ^​ that the prox inequality gives directly). Second, inequality (32): it is not a consequence of convexity, since fff is not convex, and it must hold for an arbitrary current point and an arbitrary subgradient, with parameters bk,ckb_k,c_kbk​,ck​ fixed in advance. The obvious route through descent of fff itself fails: f(xk)−f(x⋆)f(x_k)-f(x_\star)f(xk​)−f(x⋆​) need not decrease for nonconvex fff, which is why the potential uses the envelope at the iterates.

Formalization scope

The carrier is EuclideanSpace ℝ (Fin d), and fff is real-valued and defined everywhere. The weak-convexity modulus is normalized to ρ=1\rho=1ρ=1, and the Lean name L is the paper's L~\widetilde LL; the general class Wρ,L\mathcal W_{\rho,L}Wρ,L​ follows by scaling and is not stated. The subdifferential is the weak-convexity inequality above. For weakly convex fff it equals the Clarke, Fréchet and limiting subdifferentials, so it is the paper's abstract ∂f\partial f∂f in every admissible instance. The convex subdifferential of fff is not used: it can be empty for nonconvex fff and would make the statements vacuous. The run is given by sequences x g y : ℕ → E, with g k an arbitrary subgradient at x k for k≤Nk\le Nk≤N, and y k tied to x k by IsProxPoint f (1/2) for k≤N+1k\le N+1k≤N+1. f′(yk)f'(y_k)f′(yk​) is not free: it is 2(xk−yk)2(x_k-y_k)2(xk​−yk​). The Moreau envelope is a real ⨅; it is finite and attained in this regime, and the first milestone proves this. The parameters b,cb,cb,c of Theorem 1 are pinned by hypotheses, not chosen existentially.

Two hypotheses are made explicit. Corollary 1 is stated "in the setup of Theorem 1", which requires h∈(0,12]h\in(0,\frac12]h∈(0,21​]; for the prescribed stepsize this is 4κ2(N+1)+1≤(N+1)24\kappa^2(N+1)+1\le(N+1)^24κ2(N+1)+1≤(N+1)2, and it is carried as the hypothesis h≤12h\le\frac12h≤21​. It fails for N=0N=0N=0 and whenever κ\kappaκ is large relative to NNN. Inequality (32) is stated for one arbitrary step, under the nonnegativity of the alternate proof's weights (h≥0h\ge0h≥0, bk+1≥0b_{k+1}\ge0bk+1​≥0, hbk+1≤2hb_{k+1}\le2hbk+1​≤2). The minimizer x⋆x_\starx⋆​ is assumed, as in the paper; the remark on p. 627 that inf⁡f>−∞\inf f>-\inftyinff>−∞ suffices is not used.

Useful contributions include basic lemmas on weakly convex functions (existence of subgradients, strong convexity of the prox subproblem), differentiability of the Moreau envelope for ρ^>ρ\hat\rho>\rhoρ^​>ρ, the weighted-sum identity behind (32), and Bernoulli's upper bound (1+a)r≤1/(1−ra)(1+a)^r\le 1/(1-ra)(1+a)r≤1/(1−ra) for a∈[−1,0]a\in[-1,0]a∈[−1,0].

Selected references

  • S. Das Gupta, B. P. G. Van Parys, E. K. Ryu, Branch-and-bound performance estimation programming: a unified methodology for constructing optimal optimization methods, Mathematical Programming 204 (2024) 567–639. https://doi.org/10.1007/s10107-023-01973-1
  • D. Davis, D. Drusvyatskiy, Stochastic model-based minimization of weakly convex functions, SIAM Journal on Optimization 29(1) (2019) 207–239. https://doi.org/10.1137/18M1178244
  • Y. Drori, M. Teboulle, Performance of first-order methods for smooth convex minimization: a novel approach, Mathematical Programming 145 (2014) 451–482. https://doi.org/10.1007/s10107-013-0653-0
  • A. B. Taylor, J. M. Hendrickx, F. Glineur, Smooth strongly convex interpolation and exact worst-case performance of first-order methods, Mathematical Programming 161 (2017) 307–345. https://doi.org/10.1007/s10107-016-0985-6
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Numerical AnalysisOperations ResearchOptimization·Captain: mikedeng1

An Augmented Lagrangian Based Algorithm for Distributed Nonconvex Optimization 2: Near a Regular KKT Point the Decoupled Subproblems Have Locally Unique Minimizers with ‖y−x*‖ ≤ χ₁‖x−x*‖+χ₂‖λ−λ*‖Research Paper

Motivation

Many large optimization problems arising in networked control, smart grids, distributed estimation and resource allocation have a separable objective with coupled affine constraints: NNN agents each own a variable xix_ixi​ and a private cost fif_ifi​, and only a linear constraint ∑iAixi=b\sum_i A_ix_i=b∑i​Ai​xi​=b ties them together. Distributed algorithms for such problems let each agent solve a small local problem and exchange only a few aggregated quantities. For convex problems the standard method is the alternating direction method of multipliers (ADMM), which converges at a linear rate; for nonconvex problems ADMM can diverge (Houska, Frasch and Diehl give a two-variable example in §2 of their paper).

Houska, Frasch and Diehl (SIAM J. Optim. 26 (2016)) proposed ALADIN (augmented Lagrangian based alternating direction inexact Newton method), which combines the decoupled augmented-Lagrangian subproblems of ADMM with a coupled equality-constrained quadratic program borrowed from sequential quadratic programming (SQP). Their local convergence analysis (§7) rests on one stability result for the decoupled subproblems, Lemma 3, which this mission formalizes. Similar statements are classical for augmented Lagrangian methods: Bertsekas analyzes minimizers of augmented Lagrangians under perturbation of the multiplier (Constrained Optimization and Lagrange Multiplier Methods, 1982, Prop. 4.2.3), and Nocedal and Wright give a related analysis (Numerical Optimization, 2nd ed., 2006, Thm. 17.6).

Setting

Problem (1.1). Given fi:Rn→Rf_i:\mathbb R^n\to\mathbb Rfi​:Rn→R, hi:Rn→Rnhh_i:\mathbb R^n\to\mathbb R^{n_h}hi​:Rn→Rnh​, Ai∈Rm×nA_i\in\mathbb R^{m\times n}Ai​∈Rm×n (i=1,…,Ni=1,\dots,Ni=1,…,N) and b∈Rmb\in\mathbb R^mb∈Rm,

min⁡x ∑i=1Nfi(xi)s.t.∑i=1NAixi=b,hi(xi)≤0  (i=1,…,N).\min_{x}\ \sum_{i=1}^N f_i(x_i)\qquad\text{s.t.}\qquad \sum_{i=1}^N A_ix_i=b,\qquad h_i(x_i)\le 0\ \ (i=1,\dots,N).xmin​ i=1∑N​fi​(xi​)s.t.i=1∑N​Ai​xi​=b,hi​(xi​)≤0  (i=1,…,N).

All fif_ifi​ and hih_ihi​ are twice continuously differentiable (the paper's standing assumption in §3). The multiplier of the coupling constraint is λ∈Rm\lambda\in\mathbb R^mλ∈Rm, that of hi(xi)≤0h_i(x_i)\le0hi​(xi​)≤0 is κi∈Rnh\kappa_i\in\mathbb R^{n_h}κi​∈Rnh​.

A KKT point (x∗,λ∗,κ)(x^*,\lambda^*,\kappa)(x∗,λ∗,κ) is feasible, satisfies ∇fi(xi∗)+Ai⊤λ∗+∑jκij∇hij(xi∗)=0\nabla f_i(x^*_i)+A_i^\top\lambda^*+\sum_j\kappa_{ij}\nabla h_{ij}(x^*_i)=0∇fi​(xi∗​)+Ai⊤​λ∗+∑j​κij​∇hij​(xi∗​)=0 for every iii, and has κ≥0\kappa\ge0κ≥0 with κijhij(xi∗)=0\kappa_{ij}h_{ij}(x^*_i)=0κij​hij​(xi∗​)=0. It is regular if

  • LICQ holds: the rows of [A1⋯AN][A_1\cdots A_N][A1​⋯AN​] and the block gradients of the active constraints hij(xi∗)=0h_{ij}(x^*_i)=0hij​(xi∗​)=0 are linearly independent in RNn\mathbb R^{Nn}RNn;
  • strict complementarity holds: κij>0\kappa_{ij}>0κij​>0 on every active constraint;
  • the second-order sufficient condition holds: ∑idi⊤∇2[fi+κi⊤hi](xi∗)di>0\sum_i d_i^\top\nabla^2[f_i+\kappa_i^\top h_i](x^*_i)d_i>0∑i​di⊤​∇2[fi​+κi⊤​hi​](xi∗​)di​>0 for every nonzero ddd in the critical subspace {∑iAidi=0, ∇hij(xi∗)⊤di=0 on active (i,j)}\{\sum_iA_id_i=0,\ \nabla h_{ij}(x^*_i)^\top d_i=0 \text{ on active }(i,j)\}{∑i​Ai​di​=0, ∇hij​(xi∗​)⊤di​=0 on active (i,j)}.

The decoupled subproblems. In step 1 of ALADIN, given the current primal and dual iterates (x,λ)(x,\lambda)(x,λ), a penalty ρ>0\rho>0ρ>0 and positive semidefinite scaling matrices Σi\Sigma_iΣi​, agent iii solves

min⁡yi fi(yi)+λ⊤Aiyi+ρ2∥yi−xi∥Σi2s.t.hi(yi)≤0,(3.2)\min_{y_i}\ f_i(y_i)+\lambda^\top A_iy_i+\frac\rho2\|y_i-x_i\|_{\Sigma_i}^2\qquad\text{s.t.}\qquad h_i(y_i)\le 0, \tag{3.2}yi​min​ fi​(yi​)+λ⊤Ai​yi​+2ρ​∥yi​−xi​∥Σi​2​s.t.hi​(yi​)≤0,(3.2)

with ∥v∥Σ2=v⊤Σv\|v\|_{\Sigma}^2=v^\top\Sigma v∥v∥Σ2​=v⊤Σv. These problems are nonconvex in general and are solved to local optimality.

Formalization targets

Goal: Lemma 3 (p. 1117)

Let x∗x^*x∗ be a local minimizer of (1.1) with (x∗,λ∗,κ)(x^*,\lambda^*,\kappa)(x∗,λ∗,κ) a regular KKT point, and let ρ>0\rho>0ρ>0 satisfy

∇2[fi+κi⊤hi](xi∗)+ρΣi≻0(i=1,…,N).\nabla^2\big[f_i+\kappa_i^\top h_i\big](x^*_i)+\rho\Sigma_i\succ 0\qquad(i=1,\dots,N).∇2[fi​+κi⊤​hi​](xi∗​)+ρΣi​≻0(i=1,…,N).

Then for every sufficiently small ball N\mathcal NN of radius ε\varepsilonε around the origin of RNn×Rm\mathbb R^{Nn}\times\mathbb R^mRNn×Rm there are constants χ,χ1,χ2<∞\chi,\chi_1,\chi_2<\inftyχ,χ1​,χ2​<∞ such that for all (x,λ)(x,\lambda)(x,λ) with (x−x∗,λ−λ∗)∈N(x-x^*,\lambda-\lambda^*)\in\mathcal N(x−x∗,λ−λ∗)∈N the problems (3.2) have local minimizers y=(y1,…,yN)y=(y_1,\dots,y_N)y=(y1​,…,yN​), unique in {x∗}⊕χN\{x^*\}\oplus\chi\mathcal N{x∗}⊕χN, with

∥y−x∗∥ ≤ χ1∥x−x∗∥+χ2∥λ−λ∗∥.\|y-x^*\|\ \le\ \chi_1\|x-x^*\|+\chi_2\|\lambda-\lambda^*\| .∥y−x∗∥ ≤ χ1​∥x−x∗∥+χ2​∥λ−λ∗∥.

The constants are not specified: the goal asserts only the shape of the estimate, not values of χ1,χ2\chi_1,\chi_2χ1​,χ2​.

Milestones (steps of the paper's proof, p. 1117)

  1. The Hessians ∇2[fi+κ′⊤hi](ξ)+ρΣi\nabla^2[f_i+\kappa'^\top h_i](\xi)+\rho\Sigma_i∇2[fi​+κ′⊤hi​](ξ)+ρΣi​ remain positive definite for (ξ,κ′)(\xi,\kappa')(ξ,κ′) near (xi∗,κi)(x^*_i,\kappa_i)(xi∗​,κi​).
  2. At (x,λ)=(x∗,λ∗)(x,\lambda)=(x^*,\lambda^*)(x,λ)=(x∗,λ∗), xi∗x^*_ixi∗​ is a stationary point with multiplier κi\kappa_iκi​ and a strict local minimizer of the iii-th subproblem: ξi(x∗,λ∗)=xi∗\xi_i(x^*,\lambda^*)=x^*_iξi​(x∗,λ∗)=xi∗​.
  3. Near (x∗,λ∗)(x^*,\lambda^*)(x∗,λ∗) the subproblems have locally unique local minimizers ξi(x,λ)\xi_i(x,\lambda)ξi​(x,λ) depending continuously differentiably on (x,λ)(x,\lambda)(x,λ).
  4. If χ1>∥∂xξ∥\chi_1>\|\partial_x\xi\|χ1​>∥∂x​ξ∥ and χ2>∥∂λξ∥\chi_2>\|\partial_\lambda\xi\|χ2​>∥∂λ​ξ∥ at (x∗,λ∗)(x^*,\lambda^*)(x∗,λ∗), then ∥ξ(x,λ)−ξ(x∗,λ∗)∥≤χ1∥x−x∗∥+χ2∥λ−λ∗∥\|\xi(x,\lambda)-\xi(x^*,\lambda^*)\|\le\chi_1\|x-x^*\|+\chi_2\|\lambda-\lambda^*\|∥ξ(x,λ)−ξ(x∗,λ∗)∥≤χ1​∥x−x∗∥+χ2​∥λ−λ∗∥ locally.

Significance

Lemma 3 is the bridge between ALADIN and the local theory of SQP. Once the decoupled minimizers are known to exist, to be locally unique, and to stay within a linear distance of x∗x^*x∗, the full-step variant of ALADIN behaves locally like an inexact SQP method, and the paper derives its local quadratic convergence estimates (with exact Hessians and a suitably large μ\muμ) from this. Without the lemma the local subproblems could jump between distant local minimizers of a nonconvex objective, and no local rate could be claimed.

The result is proved in the paper, in a short paragraph that delegates the main step to the regularity of the KKT point. No machine-checked version of this lemma, of the sensitivity theory of parametric nonlinear programs it rests on, or of ALADIN exists, as far as a search of the Prove2Me catalogue and Mathlib shows. Formalizing it means supplying the argument the paper leaves implicit: a parametric local-minimizer theorem for inequality-constrained problems under LICQ, strict complementarity and a second-order condition.

Difficulty

The obvious argument applies the implicit function theorem to the stationarity condition of (3.2), ∇fi(yi)+Ai⊤λ+ρΣi(yi−xi)=0\nabla f_i(y_i)+A_i^\top\lambda+\rho\Sigma_i(y_i-x_i)=0∇fi​(yi​)+Ai⊤​λ+ρΣi​(yi​−xi​)=0. That works only without inequality constraints. With constraints, the local minimizer satisfies a KKT system involving the multipliers and complementarity, which is not a smooth equation; one has to fix the active set, use strict complementarity to show that it does not change nearby, and use LICQ of the active constraints to make the reduced KKT matrix invertible. The second difficulty is uniqueness: the implicit function theorem gives a unique KKT point near (xi∗,κi)(x^*_i,\kappa_i)(xi∗​,κi​), but the lemma claims uniqueness among local minimizers within a ball in the primal variable alone, so the multipliers of any nearby local minimizer must be shown to lie near κi\kappa_iκi​. Third, the hypothesis is the positive definiteness of ∇2[fi+κi⊤hi]+ρΣi\nabla^2[f_i+\kappa_i^\top h_i]+\rho\Sigma_i∇2[fi​+κi⊤​hi​]+ρΣi​ on all of Rn\mathbb R^nRn, not only on the critical cone; the subproblems inherit their second-order condition from it rather than from the SOSC of (1.1).

Formalization scope

Vectors are Fin n → ℝ with Mathlib's sup norm, blocks are indexed by Fin N, matrices are Mathlib Matrix over Fin index types, and λ∈\lambda\inλ∈ Fin m → ℝ. Gradients and Hessians enter through Fréchet derivatives (fderiv), with d⊤∇2g(z)dd^\top\nabla^2g(z)dd⊤∇2g(z)d written fderiv ℝ (fderiv ℝ g) z d d. LICQ is stated as linear independence of the active gradients in RNn\mathbb R^{Nn}RNn. The "sufficiently small open set N\mathcal NN" is read as every ball of radius ε∈(0,ε0]\varepsilon\in(0,\varepsilon_0]ε∈(0,ε0​] in the sup norm of RNn×Rm\mathbb R^{Nn}\times\mathbb R^mRNn×Rm, with χ,χ1,χ2\chi,\chi_1,\chi_2χ,χ1​,χ2​ allowed to depend on ε\varepsilonε but not on (x,λ)(x,\lambda)(x,λ); y∈{x∗}⊕χNy\in\{x^*\}\oplus\chi\mathcal Ny∈{x∗}⊕χN is read through the xxx-component, ∥y−x∗∥<χε\|y-x^*\|<\chi\varepsilon∥y−x∗∥<χε. Local minimizers are local minimizers on the feasible set and are required to be feasible. The hypotheses hi∈C2h_i\in C^2hi​∈C2 and Σi⪰0\Sigma_i\succeq0Σi​⪰0 come from the paper's standing assumptions (§3 and Algorithm 2, step 1).

A trivializing formalization is ruled out: the goal keeps all four conclusions (local minimality, membership in the χε\chi\varepsilonχε-ball, uniqueness in that same ball, and the bound), since the bound alone is satisfied by y=x∗y=x^*y=x∗; and it quantifies over every small ball rather than asserting the result for one neighbourhood. The hypotheses are satisfiable: a sorry-free check with N=n=m=nh=1N=n=m=n_h=1N=n=m=nh​=1, f=0f=0f=0, h=−1h=-1h=−1, A=1A=1A=1, b=0b=0b=0, Σ=1\Sigma=1Σ=1, ρ=1\rho=1ρ=1 is in the development.

Needed infrastructure: a parametric implicit-function argument for KKT systems with a fixed active set, persistence of LICQ and of strict complementarity under perturbation, and second-order sufficiency for inequality-constrained problems. These pieces are reusable well beyond this mission, for any sensitivity or local-convergence analysis of nonlinear programs (SQP, augmented Lagrangian, interior-point methods). Proofs of any milestone, alternative routes (for instance via Robinson's strong regularity), and general lemmas on second-order sufficient conditions are welcome.

Selected references

  • B. Houska, J. Frasch, M. Diehl, An augmented Lagrangian based algorithm for distributed nonconvex optimization, SIAM J. Optim. 26(2), 1101–1127, 2016. https://doi.org/10.1137/140975991
  • J. Nocedal, S. J. Wright, Numerical Optimization, 2nd ed., Springer, 2006. https://doi.org/10.1007/978-0-387-40065-5
  • D. P. Bertsekas, Constrained Optimization and Lagrange Multiplier Methods, Academic Press, 1982, Proposition 4.2.3.
  • S. M. Robinson, Strongly regular generalized equations, Math. Oper. Res. 5(1), 43–62, 1980. https://doi.org/10.1287/moor.5.1.43
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Algorithmic Game TheoryOptimization·Captain: mikedeng1

On the Complexity of Nash Equilibria and Other Fixed Points 4: The Fixed Points of the Division-Free Map G_I(x)ij = max(x_ij + u_i((i:j); x−i) − t_i, 0) Are Exactly the Nash EquilibriaResearch Paper

Motivation

Nash's existence theorem for finite games is a fixed-point theorem: one writes down a continuous map from the set of mixed strategy profiles to itself whose fixed points are exactly the Nash equilibria, and applies Brouwer's theorem. Nash's own map (Nash 1951) divides by 1+∑jmax⁡(0,⋅)1+\sum_j \max(0,\cdot)1+∑j​max(0,⋅), and the choice of map matters as soon as the question is computational rather than existential.

Etessami and Yannakakis (SIAM J. Comput. 39 (2010)) introduce the class FIXP of fixed-point search problems whose maps are given by algebraic circuits over {+,−,∗,/,max⁡,min⁡}\{+,-,*,/,\max,\min\}{+,−,∗,/,max,min} and rational constants, and show that computing a Nash equilibrium of a 3-player game is FIXP-complete. In Section 4 they ask which gates are really needed. Since the Nash problem is complete, it suffices to find, for every game, a map with the same fixed points and a cheaper circuit. They define a division-free map GIG_IGI​, prove that its fixed points are precisely the Nash equilibria (Lemma 20), show that it is computed by a circuit with gates {+,−,∗,max⁡,min⁡}\{+,-,*,\max,\min\}{+,−,∗,max,min} (Lemma 21), and conclude that FIXP is unchanged if circuits use only {+,∗,max⁡}\{+,*,\max\}{+,∗,max} and rational constants (Theorem 22). The same map, defined as a Euclidean projection, appears earlier in Gul, Pearce and Stacchetti (1993).

This mission formalizes the game-theoretic content of that section: the map GIG_IGI​, its well-definedness, and Lemma 20.

Setting

A finite game III has a finite set of players iii; each player has a finite, nonempty set SiS_iSi​ of pure strategies, and a payoff function uiu_iui​ assigns a real number to every pure strategy profile. A mixed strategy of player iii is a vector (xij)j∈Si(x_{ij})_{j\in S_i}(xij​)j∈Si​​ with xij≥0x_{ij}\ge0xij​≥0 and ∑jxij=1\sum_{j}x_{ij}=1∑j​xij​=1; a mixed profile xxx is one mixed strategy per player, and Δ\DeltaΔ denotes the set of mixed profiles (the product of the players' unit simplices). The expected payoff ui(x)u_i(x)ui​(x) is the expectation of uiu_iui​ when the players draw their strategies independently according to xxx. For j∈Sij\in S_ij∈Si​, ui((i:j);x−i)u_i((i{:}j);x_{-i})ui​((i:j);x−i​) is player iii's expected payoff when iii plays jjj and the others play according to xxx. A Nash equilibrium is a mixed profile xxx such that no player can raise ui(x)u_i(x)ui​(x) by switching unilaterally to another mixed strategy.

For a vector xxx indexed by pairs (i,j)(i,j)(i,j), let v(x)ij=ui((i:j);x−i)v(x)_{ij}=u_i((i{:}j);x_{-i})v(x)ij​=ui​((i:j);x−i​) and h(x)=x+v(x)h(x)=x+v(x)h(x)=x+v(x). For each player iii define the function of a real variable

fi,x(t)=∑j∈Simax⁡(hij(x)−t, 0).f_{i,x}(t)=\sum_{j\in S_i}\max\bigl(h_{ij}(x)-t,\,0\bigr).fi,x​(t)=j∈Si​∑​max(hij​(x)−t,0).

It is continuous, nonincreasing, strictly decreasing below max⁡jhij(x)\max_j h_{ij}(x)maxj​hij​(x) and zero above it, so there is a unique threshold tit_iti​ with fi,x(ti)=1f_{i,x}(t_i)=1fi,x​(ti​)=1. The division-free map is

GI(x)ij=max⁡(hij(x)−ti, 0).G_I(x)_{ij}=\max\bigl(h_{ij}(x)-t_i,\,0\bigr).GI​(x)ij​=max(hij​(x)−ti​,0).

In the Lean development, v(x)ijv(x)_{ij}v(x)ij​ is DGPNash.NashMap.purePayoff u x i j, hhh is hVal, fi,xf_{i,x}fi,x​ is fSum, tit_iti​ is threshold and GIG_IGI​ is G, all in the namespace FixpNash.DivFree.

Formalization targets

Goal: Lemma 20 (p. 47)

For every finite game with nonempty strategy sets and every x∈Δx\in\Deltax∈Δ,

GI(x)=x  ⟺  x is a Nash equilibrium of I.G_I(x)=x\iff x\text{ is a Nash equilibrium of }I.GI​(x)=x⟺x is a Nash equilibrium of I.

Milestones, in the order the proof uses them

  1. The threshold is well defined (p. 47): for every real xxx and every player with Si≠∅S_i\neq\emptysetSi​=∅, fi,x(t)=1f_{i,x}(t)=1fi,x​(t)=1 has exactly one solution, and it is tit_iti​.
  2. GIG_IGI​ maps into Δ\DeltaΔ (p. 47): ∑j∈SiGI(x)ij=1\sum_{j\in S_i}G_I(x)_{ij}=1∑j∈Si​​GI​(x)ij​=1 for every iii, so GI(x)∈ΔG_I(x)\in\DeltaGI​(x)∈Δ.
  3. Pure deviations suffice (p. 11): xxx is a Nash equilibrium iff x∈Δx\in\Deltax∈Δ and ui((i:j);x−i)≤ui(x)u_i((i{:}j);x_{-i})\le u_i(x)ui​((i:j);x−i​)≤ui​(x) for all iii and j∈Sij\in S_ij∈Si​.
  4. Fixed points equalize the support (proof of Lemma 20, p. 47): if x∈Δx\in\Deltax∈Δ and GI(x)=xG_I(x)=xGI​(x)=x, then ui((i:j);x−i)=tiu_i((i{:}j);x_{-i})=t_iui​((i:j);x−i​)=ti​ when xij>0x_{ij}>0xij​>0 and ui((i:j);x−i)≤tiu_i((i{:}j);x_{-i})\le t_iui​((i:j);x−i​)≤ti​ when xij=0x_{ij}=0xij​=0.
  5. At an equilibrium the threshold is the payoff (proof of Lemma 20, p. 47): if xxx is a Nash equilibrium then ti=ui(x)t_i=u_i(x)ti​=ui​(x) for every iii.
  6. Closed form of the threshold (proof of Lemma 21, p. 48): if zi1≥⋯≥ziniz_{i1}\ge\dots\ge z_{in_i}zi1​≥⋯≥zini​​ is hi(x)h_i(x)hi​(x) sorted in decreasing order, then
ti=max⁡{1l(∑j=1lzij−1):l=1,…,ni}.t_i=\max\Bigl\{\tfrac1l\Bigl(\sum_{j=1}^{l}z_{ij}-1\Bigr):l=1,\dots,n_i\Bigr\}.ti​=max{l1​(j=1∑l​zij​−1):l=1,…,ni​}.

This last milestone is off the goal's path; it is the formula behind the division-free circuit.

Significance

Lemma 20, with Brouwer's theorem and the continuity of GIG_IGI​, gives an elementary proof of Nash's theorem. With Lemma 21 it shows that the Nash equilibrium problem, and therefore every FIXP problem, is represented by circuits without division; the paper uses this to obtain Theorem 22. The pure-deviation criterion of milestone 3 is the standard test for equilibria and is used throughout equilibrium computation. The closed form of milestone 6 is the threshold of the Euclidean projection onto the simplex, used widely in optimization.

All of these results are proved in the paper. The mission produces machine-checked versions. No platform item states Lemma 20 or the pure-deviation criterion for AGT.IsMixedNash. Related posed items, with other conventions, are credited below rather than reused: the thresholds of the simplex projection in the Condat 2015 series (SimplexProj.Condat.simplex_projection_threshold, threshold_root_bracket, subsequence_mean_le_threshold, stated for the projection on RN\mathbb R^NRN with a radius), and the best-response fixed-point characterization in supermodular games (Supermodularity.Games.equilibrium_iff_fixed_point_v2, a different map). The paper also remarks, without proof, that GI(x)G_I(x)GI​(x) is the point of Δ\DeltaΔ closest to h(x)h(x)h(x). That remark is not a target here.

Difficulty

The map GIG_IGI​ is defined through an implicitly determined threshold. In the formalization the threshold has to be a definition that does not depend on a proof, and every statement about it rests on the existence and uniqueness of the root of fi,x(t)=1f_{i,x}(t)=1fi,x​(t)=1. This is an intermediate-value argument for a piecewise linear function of a finite sum of max⁡\maxmax terms. Its strict monotonicity holds only below max⁡jhij(x)\max_j h_{ij}(x)maxj​hij​(x), and the argument must use that SiS_iSi​ is nonempty.

The equivalence itself needs the multilinearity of the expected payoff: ui(x)=∑jxij ui((i:j);x−i)u_i(x)=\sum_j x_{ij}\,u_i((i{:}j);x_{-i})ui​(x)=∑j​xij​ui​((i:j);x−i​) and, more generally, the payoff of a deviation to a mixed strategy yiy_iyi​ is ∑jyij ui((i:j);x−i)\sum_j y_{ij}\,u_i((i{:}j);x_{-i})∑j​yij​ui​((i:j);x−i​). In the agt_games representation the expected payoff is a sum over all pure profiles of products of probabilities, so this identity must be extracted from the product structure rather than read off.

Formalization scope

The game uses the published agt_games vocabulary: players form a finite type ι with decidable equality, the strategies of player i a finite type S i, payoffs are real (the paper's are rational, so this is a generalization), mixed profiles are real weight functions satisfying AGT.IsMixedProfile, and Nash equilibrium is AGT.IsMixedNash (no profitable deviation to any lottery). The pure-strategy payoff ui((i:j);x−i)u_i((i{:}j);x_{-i})ui​((i:j);x−i​) is the published DGPNash.NashMap.purePayoff.

The following readings are explicit in the Lean and implicit on the page:

  • every strategy set is nonempty (∀ i, Nonempty (S i)). The paper assumes this tacitly; without it Δ\DeltaΔ is empty and tit_iti​ does not exist;
  • the threshold is defined as ti=inf⁡{t:fi,x(t)≤1}t_i=\inf\{t: f_{i,x}(t)\le1\}ti​=inf{t:fi,x​(t)≤1}. Milestone 1 proves that this is the paper's "unique value of ttt where fi,x(ti)=1f_{i,x}(t_i)=1fi,x​(ti​)=1". A formalization in which tit_iti​ is a free parameter, or is set to ui(x)u_i(x)ui​(x), would make Lemma 20 nearly definitional. That is ruled out: GIG_IGI​ is defined from the game alone, and tit_iti​ is the root of fi,x(t)=1f_{i,x}(t)=1fi,x​(t)=1;
  • hhh, fi,xf_{i,x}fi,x​, tit_iti​ and GIG_IGI​ are given by the same formulas for every real vector xxx. Milestones 1, 2 and 6 hold in that generality, while the goal and milestones 4–5 are stated on Δ\DeltaΔ, as on the page;
  • "fixed point of GIG_IGI​" means a point x∈Δx\in\Deltax∈Δ with GI(x)=xG_I(x)=xGI​(x)=x;
  • "it is sufficient to check switches to pure strategies only" becomes an equivalence between AGT.IsMixedNash and the pure-deviation inequalities for a mixed profile;
  • in milestone 6, the sorted order is a bijection eee from {0,…,n}\{0,\dots,n\}{0,…,n} onto SiS_iSi​ along which hi,e(l)(x)h_{i,e(l)}(x)hi,e(l)​(x) is nonincreasing, so ni=n+1n_i=n+1ni​=n+1 and the paper's index lll is l+1l+1l+1.

Contributions welcome: proofs of any milestone. The multilinearity of AGT.expectedPayoff in one player's strategy, and the existence and uniqueness of the threshold of a finite sum of hinge functions, are reusable beyond this mission.

Selected references

  • K. Etessami and M. Yannakakis, On the complexity of Nash equilibria and other fixed points, SIAM J. Comput. 39(6) (2010) 2531–2597; author manuscript, Section 4, pp. 47–48. https://doi.org/10.1137/080720826
  • J. Nash, Non-cooperative games, Annals of Mathematics 54 (1951) 286–295. https://doi.org/10.2307/1969529
  • F. Gul, D. Pearce and E. Stacchetti, A bound on the proportion of pure strategy equilibria in generic games, Mathematics of Operations Research 18(3) (1993) 548–552. https://doi.org/10.1287/moor.18.3.548
  • L. Condat, Fast projection onto the simplex and the ℓ1 ball, Mathematical Programming 158 (2016) 575–585. https://doi.org/10.1007/s10107-015-0946-6
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Algorithmic Game TheoryOperations Research·Captain: mikedeng1

On the Complexity of Nash Equilibria and Other Fixed Points 2: Block Matching Pennies Gives Every Block the Same Probability and the Matching Player Full Support in Every Nash EquilibriumResearch Paper

Motivation

Reductions that prove hardness for Nash equilibrium computation encode a computation (a circuit, a fixed-point problem) into the probabilities that players put on their strategies in every equilibrium. For the encoding to be meaningful, the designer has to control how each player distributes probability across groups of strategies, independently of the incentives that carry the computation. A standard tool for this is a generalized matching pennies game: each "computing" player is paired with an adversary who is penalized for guessing which group the computing player is playing, and who therefore forces that player to spread probability evenly over the groups. Versions of this device appear in the PPAD-hardness reductions of Daskalakis, Goldberg and Papadimitriou and of Chen and Deng, and in Etessami and Yannakakis's Theorem 4, which reduces the SQRT-SUM and PosSLP problems to deciding, with a promised gap, whether the unique Nash equilibrium of a 4-player (or 3-player) game plays a given pure strategy (Etessami–Yannakakis, SIAM J. Comput. 2010).

This mission formalizes the version of the device that Etessami and Yannakakis isolate as Lemma 6 (p. 24 of the authors' manuscript), with the explicit constants of their construction.

Setting

A finite game has a finite set of players; each player ppp has a finite set SpS_pSp​ of pure strategies, and receives payoff up(s)∈Ru_p(s)\in\mathbb Rup​(s)∈R at each pure profile s=(sq)qs=(s_q)_qs=(sq​)q​. A mixed profile xxx assigns to each player ppp a probability vector xpx_pxp​ on SpS_pSp​; players randomize independently, and up(x)u_p(x)up​(x) is ppp's expected payoff. Write up((p:j);x−p)u_p((p{:}j);x_{-p})up​((p:j);x−p​) for the expected payoff of ppp when ppp plays the pure strategy jjj and everyone else plays according to xxx. A Nash equilibrium is a mixed profile xxx such that no player can raise their expected payoff by switching unilaterally to another mixed strategy.

Fix two players i≠i′i\ne i'i=i′. The pure strategies of iii are partitioned into blocks, in one-to-one correspondence with the pure strategies of i′i'i′. This is recorded by a surjective map β:Si→Si′\beta:S_i\to S_{i'}β:Si​→Si′​: the block of a strategy jjj of iii corresponds to the strategy β(j)\beta(j)β(j) of i′i'i′. The total probability of block k∈Si′k\in S_{i'}k∈Si′​ under xxx is

bk(x)=∑j∈Si: β(j)=kxi(j).b_k(x)=\sum_{j\in S_i:\ \beta(j)=k}x_i(j).bk​(x)=j∈Si​: β(j)=k∑​xi​(j).

The payoffs of i,i′i,i'i,i′ have the block matching-pennies form with first term μ\muμ, constant MMM and parameter nnn when

ui(s)=μ(s)+M⋅[β(si)=si′],ui′(s)=−M⋅[si′=β(si)],u_i(s)=\mu(s)+M\cdot[\beta(s_i)=s_{i'}],\qquad u_{i'}(s)=-M\cdot[s_{i'}=\beta(s_i)],ui​(s)=μ(s)+M⋅[β(si​)=si′​],ui′​(s)=−M⋅[si′​=β(si​)],

μ(s)\mu(s)μ(s) does not depend on si′s_{i'}si′​, M>6nmax⁡s∣μ(s)∣M>6n\max_s|\mu(s)|M>6nmaxs​∣μ(s)∣, and i′i'i′ has at most 3n3n3n strategies. Player iii is rewarded MMM for "matching" the strategy of i′i'i′ with the block it plays; player i′i'i′ loses MMM when matched. The term μ\muμ is arbitrary otherwise: in the paper it carries the gate gadgets of the circuit.

Formalization targets

Goal: Lemma 6

For every Nash equilibrium xxx of a game in which i,i′i,i'i,i′ have the block matching-pennies form,

bk(x)=bk′(x)  for all k,k′∈Si′,andxi′(k)≠0  for all k∈Si′.b_k(x)=b_{k'}(x)\ \text{ for all }k,k'\in S_{i'},\qquad\text{and}\qquad x_{i'}(k)\ne0\ \text{ for all }k\in S_{i'} .bk​(x)=bk′​(x)  for all k,k′∈Si′​,andxi′​(k)=0  for all k∈Si′​.

Part 1 says iii divides its probability evenly among its blocks (each block gets 1/∣Si′∣1/|S_{i'}|1/∣Si′​∣); part 2 says the matching player uses every strategy.

Milestones

  1. Support property (p. 26, used twice on p. 24): in a Nash equilibrium every pure strategy of every player earns at most the equilibrium payoff, with equality on the support.
  2. The matching player avoids the most probable blocks (p. 24): if the block probabilities are not all equal, xi′(k)=0x_{i'}(k)=0xi′​(k)=0 for every kkk whose block has maximum probability.
  3. The two payoff bounds (p. 24), for any mixed profile: if xi′(β(j))=0x_{i'}(\beta(j))=0xi′​(β(j))=0 then ui((i:j);x−i)≤max⁡s∣μ(s)∣u_i((i{:}j);x_{-i})\le\max_s|\mu(s)|ui​((i:j);x−i​)≤maxs​∣μ(s)∣; if β(j′)\beta(j')β(j′) is a maximum-probability strategy of i′i'i′ then ui((i:j′);x−i)≥M/(3n)−max⁡s∣μ(s)∣u_i((i{:}j');x_{-i})\ge M/(3n)-\max_s|\mu(s)|ui​((i:j′);x−i​)≥M/(3n)−maxs​∣μ(s)∣.
  4. Lemma 6, part 1 (p. 24): all blocks have the same total probability.

Significance

In the paper, Lemma 6 is what makes every unprimed player of the 10-player game GGG of Section 3 spread probability 1/n1/n1/n (or 1/(3n)1/(3n)1/(3n)) on each block, so that the split of probability inside a block can carry the value of a circuit gate, and the gate gadgets of Lemma 7 act on correctly normalized quantities. Without it, the gadgets' analysis does not apply. The lemma is stated for an arbitrary game containing such a pair, so it is reusable for any reduction that pairs computing players with matching-pennies adversaries.

The result is proved in the paper; nothing in it is open. As far as the platform and its index show, no machine-checked version exists: the platform has the 2×2 matching pennies game (PotentialGames.matchingPennies_no_pureNash, which shows it has no pure equilibrium) and our CalibratedCE.Convergence.MatchingPennies (Foster–Vohra's example), neither of which is the block game. This mission produces a checked version of the lemma with the paper's constants, together with the support property of mixed Nash equilibria for the agt_games vocabulary, a basic fact other game-theory missions can import.

Difficulty

The argument is short; the difficulty is in the accounting. The expected payoff of a pure strategy of iii mixes the arbitrary term μ\muμ, evaluated under the product distribution of all other players, with the matching term, which depends only on xi′x_{i'}xi′​. Separating the two requires that ui′u_{i'}ui′​ depends only on si,si′s_i,s_{i'}si​,si′​ and that the expected-payoff sum factors over independent players. The constants also interact: the lower bound uses that i′i'i′ has at most 3n3n3n strategies, so that some strategy of i′i'i′ has probability at least 1/(3n)1/(3n)1/(3n), and the comparison of the two bounds needs M/(3n)−max⁡∣μ∣>max⁡∣μ∣M/(3n)-\max|\mu|>\max|\mu|M/(3n)−max∣μ∣>max∣μ∣, which is exactly M>6nmax⁡∣μ∣M>6n\max|\mu|M>6nmax∣μ∣. A tempting shortcut, comparing bkb_kbk​ only with the average block probability, does not identify which strategies of i′i'i′ vanish; the argument goes through the set of maximum-probability blocks.

Formalization scope

The game uses the published agt_games vocabulary: players and strategies are arbitrary finite types ι, S : ι → Type*, payoffs are real (u : ι → (∀ k, S k) → ℝ), mixed profiles are families of probability vectors, and AGT.IsMixedNash allows deviations to arbitrary mixed strategies. The pure-strategy payoff up((p:j);x−p)u_p((p{:}j);x_{-p})up​((p:j);x−p​) is the published DGPNash.NashMap.purePayoff. The block structure is a surjective map β:Si→Si′\beta:S_i\to S_{i'}β:Si​→Si′​; surjectivity is the "1-1 correspondence" of blocks with strategies of i′i'i′ (an empty block would make the lemma vacuous). The definition item packages the form "given above" as FixpNash.Blocks.IsBlockPair.

Explicit readings of the page:

  • "the payoffs of i,i′i,i'i,i′ are of the form given above" is the conjunction of the two payoff identities, the bound M>6nmax⁡s∣μ(s)∣M>6n\max_s|\mu(s)|M>6nmaxs​∣μ(s)∣, and ∣Si′∣≤3n|S_{i'}|\le3n∣Si′​∣≤3n. The last is taken from the proof ("since i′i'i′ has at most 3n3n3n strategies"); in the abstract lemma nnn is a parameter, not the number of circuit gates.
  • "μi(s)\mu_i(s)μi​(s) depends only on the strategies of the unprimed players" is stated as: μ\muμ does not depend on si′s_{i'}si′​. The proof does not use it.
  • max⁡s∣μ(s)∣\max_s|\mu(s)|maxs​∣μ(s)∣ is the supremum of ∣μ(s)∣|\mu(s)|∣μ(s)∣ over the finite set of pure profiles; M/3nM/3nM/3n is M/(3n)M/(3n)M/(3n).
  • "Nonzero probability" is xi′(k)≠0x_{i'}(k)\ne0xi′​(k)=0; "in the support" is xp(j)>0x_p(j)>0xp​(j)>0.
  • The support property is stated for every player of every finite game, rather than for players 2 and 3 of the gadget of p. 26.
  • The payoff bounds are stated for any mixed profile; "a strategy in a block in RRR" enters only through xi′(β(j))=0x_{i'}(\beta(j))=0xi′​(β(j))=0.

The degenerate case max⁡s∣μ(s)∣=0\max_s|\mu(s)|=0maxs​∣μ(s)∣=0 is allowed and reads M>0M>0M>0. A formalization in which i′i'i′ has no strategies, or a block is empty, would make the lemma vacuous; the surjectivity of β\betaβ and the definition of a mixed profile exclude this. Contributions welcome: proofs of the support property (reusable well beyond this mission), of the two payoff bounds (a factorization of the expected payoff over independent players), and of the lemma.

Selected references

  • K. Etessami and M. Yannakakis, On the complexity of Nash equilibria and other fixed points, SIAM J. Comput. 39(6) (2010) 2531–2597. https://doi.org/10.1137/080720826 (cited from the authors' manuscript, Lemma 6, p. 24).
  • C. Daskalakis, P. W. Goldberg and C. H. Papadimitriou, The complexity of computing a Nash equilibrium, SIAM J. Comput. 39(1) (2009) 195–259. https://doi.org/10.1137/070699652
  • X. Chen and X. Deng, Settling the complexity of two-player Nash equilibrium, FOCS 2006, 261–272. https://doi.org/10.1109/FOCS.2006.69
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Information Relaxations and Duality in Stochastic Dynamic Programs 1: The Ideal Penalty Is Dual Optimal for Every Information RelaxationResearch Paper

Why information relaxations

Most stochastic dynamic programs that arise in operations research are too large to solve exactly. In practice one computes a heuristic policy and estimates its expected reward by simulation, which gives a lower bound on the optimal value. To know whether the heuristic is good enough one also needs an upper bound. Brown, Smith and Sun (Oper. Res. 2010) give a general way to produce such bounds: relax the requirement that decisions use only the information available when they are made, and charge a penalty for using the extra information.

The idea grew out of option pricing. Rogers (Math. Finance 2002) and Haugh and Kogan (Oper. Res. 2004) bounded the price of an American option from above by letting the holder see the whole future and subtracting a martingale; Andersen and Broadie (Manag. Sci. 2004) built such martingales from approximate exercise policies. Brown, Smith and Sun (2010) extended this to general finite-horizon dynamic programs, to arbitrary penalties, and to imperfect information relaxations in which the decision maker learns some, but not all, of the future. The paper illustrates the framework on an adaptive inventory problem and on pricing American options under stochastic volatility and interest rates.

Setting

Uncertainty is a probability space (Ω,F,P)(\Omega,\mathcal F,\mathbb P)(Ω,F,P). Time is t=0,…,Tt=0,\dots,Tt=0,…,T. The natural filtration F=(F0,…,FT)\mathbb F=(\mathcal F_0,\dots,\mathcal F_T)F=(F0​,…,FT​) describes what the decision maker knows at the start of each period, with F0={∅,Ω}\mathcal F_0=\{\emptyset,\Omega\}F0​={∅,Ω}. An action sequence is a=(a0,…,aT)a=(a_0,\dots,a_T)a=(a0​,…,aT​), and AAA is the set of feasible sequences. A policy α:Ω→A\alpha:\Omega\to Aα:Ω→A chooses a sequence for each outcome; it is adapted to a filtration G\mathbb GG if each action αt\alpha_tαt​ is Gt\mathcal G_tGt​-measurable. The adapted policies form AG\mathcal A_{\mathbb G}AG​; the measurable policies form A\mathcal AA. The total reward is r(a,ω)=∑trt(a,ω)r(a,\omega)=\sum_t r_t(a,\omega)r(a,ω)=∑t​rt​(a,ω), and the primal problem (1) is

sup⁡α∈AFE[r(α)].\sup_{\alpha\in\mathcal A_{\mathbb F}}\mathbb E[r(\alpha)].α∈AF​sup​E[r(α)].

A filtration G\mathbb GG is a relaxation of F\mathbb FF if Ft⊆Gt⊆F\mathcal F_t\subseteq\mathcal G_t\subseteq\mathcal FFt​⊆Gt​⊆F for all ttt; the perfect-information relaxation has Gt=F\mathcal G_t=\mathcal FGt​=F. A penalty is a function z(a,ω)z(a,\omega)z(a,ω); it is dual feasible, z∈ZFz\in\mathcal Z_{\mathbb F}z∈ZF​, if E[z(αF)]≤0\mathbb E[z(\alpha_F)]\le0E[z(αF​)]≤0 for every αF∈AF\alpha_F\in\mathcal A_{\mathbb F}αF​∈AF​. The dual bound of (G,z)(\mathbb G,z)(G,z) is sup⁡αG∈AGE[r(αG)−z(αG)]\sup_{\alpha_G\in\mathcal A_{\mathbb G}}\mathbb E[r(\alpha_G)-z(\alpha_G)]supαG​∈AG​​E[r(αG​)−z(αG​)].

In recursive form, the feasible actions in period ttt form a set At(a0,…,at−1)A_t(a_0,\dots,a_{t-1})At​(a0​,…,at−1​), each rtr_trt​ is Ft\mathcal F_tFt​-measurable and depends on a0,…,ata_0,\dots,a_ta0​,…,at​, and the value functions are VT+1=0V_{T+1}=0VT+1​=0 and

Vt(a0,…,at−1)=sup⁡at∈At(a0,…,at−1){rt(a0,…,at)+E[Vt+1(a0,…,at)∣Ft]}.(2)V_t(a_0,\dots,a_{t-1})=\sup_{a_t\in A_t(a_0,\dots,a_{t-1})}\big\{r_t(a_0,\dots,a_t)+\mathbb E[V_{t+1}(a_0,\dots,a_t)\mid\mathcal F_t]\big\}.\qquad(2)Vt​(a0​,…,at−1​)=at​∈At​(a0​,…,at−1​)sup​{rt​(a0​,…,at​)+E[Vt+1​(a0​,…,at​)∣Ft​]}.(2)

Given generating functions wt(a)w_t(a)wt​(a) depending on a0,…,ata_0,\dots,a_ta0​,…,at​, Proposition 2.2 builds the penalty

zt(a)=E[wt(a)∣Gt]−E[wt(a)∣Ft],z=∑tzt.z_t(a)=\mathbb E[w_t(a)\mid\mathcal G_t]-\mathbb E[w_t(a)\mid\mathcal F_t],\qquad z=\sum_t z_t.zt​(a)=E[wt​(a)∣Gt​]−E[wt​(a)∣Ft​],z=t∑​zt​.

The ideal penalty z⋆z^\starz⋆ is this penalty for wt(a)=Vt+1(a0,…,at)w_t(a)=V_{t+1}(a_0,\dots,a_t)wt​(a)=Vt+1​(a0​,…,at​).

Formalization targets

Goal: Theorem 2.3 (The Ideal Penalty)

For every relaxation G\mathbb GG of F\mathbb FF, z⋆∈ZFz^\star\in\mathcal Z_{\mathbb F}z⋆∈ZF​ and

sup⁡αF∈AFE[r(αF)]=sup⁡αG∈AGE[r(αG)−z⋆(αG)];(11)\sup_{\alpha_F\in\mathcal A_{\mathbb F}}\mathbb E[r(\alpha_F)]=\sup_{\alpha_G\in\mathcal A_{\mathbb G}}\mathbb E[r(\alpha_G)-z^\star(\alpha_G)];\qquad(11)αF​∈AF​sup​E[r(αF​)]=αG​∈AG​sup​E[r(αG​)−z⋆(αG​)];(11)

a primal-optimal αF∗\alpha^*_FαF∗​ also attains the right side; and under perfect information r(αF∗)−z⋆(αF∗)=E[r(αF∗)]r(\alpha^*_F)-z^\star(\alpha^*_F)=\mathbb E[r(\alpha^*_F)]r(αF∗​)−z⋆(αF∗​)=E[r(αF∗​)] almost surely.

Milestones, in the order of the paper

  1. §2.1 (p. 3): V0V_0V0​ equals the optimal value of (1).
  2. Lemma 2.1 (weak duality, p. 3): E[r(αF)]≤sup⁡αG∈AGE[r(αG)−z(αG)]\mathbb E[r(\alpha_F)]\le\sup_{\alpha_G\in\mathcal A_{\mathbb G}}\mathbb E[r(\alpha_G)-z(\alpha_G)]E[r(αF​)]≤supαG​∈AG​​E[r(αG​)−z(αG​)] for αF∈AF\alpha_F\in\mathcal A_{\mathbb F}αF​∈AF​, z∈ZFz\in\mathcal Z_{\mathbb F}z∈ZF​.
  3. Theorem 2.1 (strong duality, p. 4): the primal value equals inf⁡z∈ZF\inf_{z\in\mathcal Z_{\mathbb F}}infz∈ZF​​ of the dual bound, attained when the primal is bounded.
  4. Theorem 2.2 (complementary slackness, p. 4).
  5. Proposition 2.1 (structured policies, p. 5).
  6. Proposition 2.2(i), (ii) (p. 5): generated penalties have zero Ft\mathcal F_tFt​-conditional mean along nonanticipative policies, and their components are G\mathbb GG-adapted and nonanticipative in the actions.
  7. Eq. (10) (p. 5): the recursion (2) run with rewards rt−ztr_t-z_trt​−zt​ and filtration G\mathbb GG solves the dual problem, and E[V0G]\mathbb E[V^{\mathbb G}_0]E[V0G​] bounds (1).
  8. §2.3 (p. 5): with wt=Vt+1w_t=V_{t+1}wt​=Vt+1​, VtG=VtV^{\mathbb G}_t=V_tVtG​=Vt​ almost surely.

Significance

Theorems 2.1 and 2.3 say that information-relaxation duality has no gap: the optimal value of a dynamic program can be computed, in principle, as a minimum over penalties of a problem in which the decision maker sees more. Theorem 2.3 adds that the gap is closed by one explicit penalty, built from the value functions, simultaneously for every relaxation. This is the justification for the practical recipe of the paper and of the literature that followed: choose generating functions that approximate the true value functions, and the resulting dual bound approaches the optimum. Under perfect information, part 4 of the goal says the ideal penalty removes all randomness from the penalized reward of an optimal policy.

The paper defers its proofs to an electronic companion; none of these results has a machine-checked proof. This mission produces a checked version of the duality layer for general finite-horizon dynamic programs on a filtered probability space, with conditional expectations as in Mathlib. Weak duality, strong duality and complementary slackness are stated for arbitrary feasible sets and rewards and are reusable for any information-relaxation argument; the recursive statements give a verified link between the Bellman recursion and the primal problem.

Difficulty

The duality statements of §2.2 are elementary once expectations exist; the work is in §2.1 and §2.3. The claim that V0V_0V0​ is the optimal value of (1) needs two facts that the paper asserts without proof: that the supremum in (2) is Ft\mathcal F_tFt​-measurable, and that near-optimal actions can be selected measurably, so that a nonanticipative policy comes within ε\varepsilonε of V0V_0V0​ even when the suprema are not attained. Neither holds for general action spaces without measurable-selection arguments, which is why this mission fixes a countable action set. A second difficulty is the evaluation of action-indexed conditional expectations at a random action: E[zt(αF)∣Ft]\mathbb E[z_t(\alpha_F)\mid\mathcal F_t]E[zt​(αF​)∣Ft​] conditions ω↦zt(αF(ω))(ω)\omega\mapsto z_t(\alpha_F(\omega))(\omega)ω↦zt​(αF​(ω))(ω), where each zt(a)z_t(a)zt​(a) is only defined up to null sets, one for each aaa. The induction VtG=VtV^{\mathbb G}_t=V_tVtG​=Vt​ must also carry these almost-sure identities through suprema over actions.

Formalization scope

The Lean development lives in the namespace InfoRelax.IdealPenalty. Periods are Fin (T + 1); actions take values in one type X (the disjoint union of the per-period action sets); filtrations are Mathlib Filtrations of the ambient σ\sigmaσ-algebra; conditional expectation is condExp. Primal values, dual bounds and dual values are in EReal, taken over the adapted-policy sets, so that no supremum or infimum silently returns 000. Penalties in Z\mathcal ZZ are required to be integrable along every measurable policy, and the reward is assumed integrable along every policy in the general statements: without this, a Bochner integral of a non-integrable function is 000 and the statements become vacuous. The value functions (2), the dual value functions (10), the penalty of Proposition 2.2 and z⋆z^\starz⋆ are definitions computed from the data, never variables constrained by hypotheses.

The recursive statements fix a countable action set with the discrete σ\sigmaσ-algebra, bounded period rewards, and generating functions bounded almost everywhere. Identities between value functions are almost sure. The general results (Lemma 2.1, Theorems 2.1–2.2, Proposition 2.1) assume none of this. The optional identity (5), which exchanges a supremum over policies with an expectation of a pathwise supremum, is not formalized: for a general dual feasible penalty the pathwise supremum need not be integrable.

Contributions welcome: the measurable-selection lemma for countable action sets, the tower-property argument for action-indexed conditional expectations evaluated at adapted policies, and proofs of the milestones in any order.

Selected references

  • D. B. Brown, J. E. Smith, P. Sun, Information Relaxations and Duality in Stochastic Dynamic Programs, Operations Research, Articles in Advance, 2010. https://doi.org/10.1287/opre.1090.0796
  • L. C. G. Rogers, Monte Carlo valuation of American options, Mathematical Finance 12(3), 2002. https://doi.org/10.1111/1467-9965.02010
  • M. B. Haugh, L. Kogan, Pricing American Options: A Duality Approach, Operations Research 52(2), 2004. https://doi.org/10.1287/opre.1030.0070
  • L. Andersen, M. Broadie, Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options, Management Science 50(9), 2004. https://doi.org/10.1287/mnsc.1040.0258
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Numerical AnalysisOperations ResearchOptimization·Captain: mikedeng1

Adaptive Cubic Regularisation Methods for Unconstrained Optimization. Part II: Worst-Case Function- and Derivative-Evaluation Complexity 1: Basic ARC Reaches ‖g‖ ≤ ε in O(ε^(−2)) IterationsResearch Paper

Motivation

Methods for smooth unconstrained minimization, min⁡x∈Rnf(x)\min_{x\in\mathbb R^n} f(x)minx∈Rn​f(x), are compared by how many evaluations of fff and of its gradient they need, in the worst case, to reach an approximately first-order critical point, an iterate with ∥∇f(xk)∥≤ϵ\|\nabla f(x_k)\|\le\epsilon∥∇f(xk​)∥≤ϵ. For steepest descent with a Lipschitz gradient the answer is O(ϵ−2)O(\epsilon^{-2})O(ϵ−2) (Nesterov, Introductory Lectures on Convex Optimization, 2004, p. 29). Nesterov and Polyak (2006) showed that globally minimizing a cubic regularisation of the second-order model, with the exact Hessian and a global Lipschitz constant, improves this to O(ϵ−3/2)O(\epsilon^{-3/2})O(ϵ−3/2).

The adaptive regularisation with cubics (ARC) framework of Cartis, Gould and Toint makes that idea practical: the Hessian is replaced by an approximation BkB_kBk​, the Lipschitz constant by an adaptive weight σk\sigma_kσk​, and the global model minimizer by any step that does at least as well as a Cauchy point. Part I (Math. Program. 127, 2011) proved global convergence; Part II (Math. Program. 130, 2011) counts evaluations. This mission covers the first count of Part II (§§2–3): with only the Cauchy condition on the step, ARC needs O(ϵ−2)O(\epsilon^{-2})O(ϵ−2) iterations, the same order as steepest descent and as trust-region methods (Gratton, Sartenaer and Toint, SIAM J. Optim. 19, 2008).

Setting

Let f:Rn→Rf:\mathbb R^n\to\mathbb Rf:Rn→R be continuously differentiable (AF.1), g(x)=∇f(x)g(x)=\nabla f(x)g(x)=∇f(x), and ∥⋅∥\|\cdot\|∥⋅∥ the Euclidean norm. At iterate xkx_kxk​, with a symmetric matrix BkB_kBk​ and a weight σk>0\sigma_k>0σk​>0, the cubic model is

mk(s)=f(xk)+sTgk+12sTBks+13σk∥s∥3,gk=g(xk).m_k(s)=f(x_k)+s^Tg_k+\tfrac12 s^TB_ks+\tfrac13\sigma_k\|s\|^3,\qquad g_k=g(x_k).mk​(s)=f(xk​)+sTgk​+21​sTBk​s+31​σk​∥s∥3,gk​=g(xk​).

Algorithm 2.1 (ARC) takes parameters γ2≥γ1>1\gamma_2\ge\gamma_1>1γ2​≥γ1​>1, 1>η2≥η1>01>\eta_2\ge\eta_1>01>η2​≥η1​>0, σ0>0\sigma_0>0σ0​>0 and a starting point x0x_0x0​. At iteration kkk it

  1. picks any step sks_ksk​ satisfying the Cauchy condition mk(sk)≤mk(−αgk)m_k(s_k)\le m_k(-\alpha g_k)mk​(sk​)≤mk​(−αgk​) for every α≥0\alpha\ge0α≥0;
  2. computes ρk=(f(xk)−f(xk+sk))/(f(xk)−mk(sk))\rho_k=\big(f(x_k)-f(x_k+s_k)\big)/\big(f(x_k)-m_k(s_k)\big)ρk​=(f(xk​)−f(xk​+sk​))/(f(xk​)−mk​(sk​));
  3. sets xk+1=xk+skx_{k+1}=x_k+s_kxk+1​=xk​+sk​ if ρk≥η1\rho_k\ge\eta_1ρk​≥η1​ (a successful iteration), and xk+1=xkx_{k+1}=x_kxk+1​=xk​ otherwise (unsuccessful);
  4. picks σk+1\sigma_{k+1}σk+1​ in (0,σk](0,\sigma_k](0,σk​] if ρk>η2\rho_k>\eta_2ρk​>η2​ (very successful), in [σk,γ1σk][\sigma_k,\gamma_1\sigma_k][σk​,γ1​σk​] if η1≤ρk≤η2\eta_1\le\rho_k\le\eta_2η1​≤ρk​≤η2​, and in [γ1σk,γ2σk][\gamma_1\sigma_k,\gamma_2\sigma_k][γ1​σk​,γ2​σk​] otherwise.

For j≥0j\ge0j≥0, Sj\mathcal S_jSj​ and Uj\mathcal U_jUj​ are the successful and unsuccessful iterations among 0,…,j0,\dots,j0,…,j. The complexity results use three assumptions: AM.1, ∥Bk∥≤κB\|B_k\|\le\kappa_B∥Bk​∥≤κB​ for all kkk; AF.4, ∥g(x)−g(y)∥≤κH∥x−y∥\|g(x)-g(y)\|\le\kappa_H\|x-y\|∥g(x)−g(y)∥≤κH​∥x−y∥ on an open convex set XXX, with κH≥1\kappa_H\ge1κH​≥1; and a lower bound f(xk)≥flowf(x_k)\ge f_{\rm low}f(xk​)≥flow​. Optionally, (2.10): σk+1≥γ3σk\sigma_{k+1}\ge\gamma_3\sigma_kσk+1​≥γ3​σk​ on very successful iterations, for some γ3∈(0,1]\gamma_3\in(0,1]γ3​∈(0,1]. The constants are

κHB=10821−η2(κH+κB),αC=[62max⁡(1+κB,2max⁡(σ0,κHBγ2))]−1,\kappa_{HB}=\frac{108\sqrt2}{1-\eta_2}(\kappa_H+\kappa_B),\qquad \alpha_C=\Big[6\sqrt2\max\big(1+\kappa_B,2\max(\sqrt{\sigma_0},\kappa_{HB}\sqrt{\gamma_2})\big)\Big]^{-1},κHB​=1−η2​1082​​(κH​+κB​),αC​=[62​max(1+κB​,2max(σ0​​,κHB​γ2​​))]−1, κCs=f(x0)−flowη1αC,κCu=1log⁡γ1max⁡(1,γ2κHB2σ0),κC=(1−log⁡γ3log⁡γ1)κCs+κCu.\kappa^s_C=\frac{f(x_0)-f_{\rm low}}{\eta_1\alpha_C},\qquad \kappa^u_C=\frac{1}{\log\gamma_1}\max\Big(1,\frac{\gamma_2\kappa_{HB}^2}{\sigma_0}\Big),\qquad \kappa_C=\Big(1-\frac{\log\gamma_3}{\log\gamma_1}\Big)\kappa^s_C+\kappa^u_C.κCs​=η1​αC​f(x0​)−flow​​,κCu​=logγ1​1​max(1,σ0​γ2​κHB2​​),κC​=(1−logγ1​logγ3​​)κCs​+κCu​.

Formalization targets

Goal: Corollary 3.4

Let ϵ∈(0,1]\epsilon\in(0,1]ϵ∈(0,1] with ∥g0∥>ϵ\|g_0\|>\epsilon∥g0​∥>ϵ, and let j1≤∞j_1\le\inftyj1​≤∞ be the first iteration with ∥gj1+1∥≤ϵ\|g_{j_1+1}\|\le\epsilon∥gj1​+1​∥≤ϵ. Then

∣Sj1∣≤L1s=⌈κCs ϵ−2⌉,|\mathcal S_{j_1}|\le L^s_1=\big\lceil\kappa^s_C\,\epsilon^{-2}\big\rceil,∣Sj1​​∣≤L1s​=⌈κCs​ϵ−2⌉,

and, if (2.10) holds,

j1≤L1=⌈κC ϵ−2⌉.j_1\le L_1=\big\lceil\kappa_C\,\epsilon^{-2}\big\rceil .j1​≤L1​=⌈κC​ϵ−2⌉.

The constants are kept exactly as printed. The first bound counts gradient evaluations and the second counts all iterations, which is the number of function evaluations.

Milestones

  1. Theorem 2.1: under (2.10) and σk≤σˉ\sigma_k\le\bar\sigmaσk​≤σˉ, the bound ∣Uj∣≤⌈−(log⁡γ3/log⁡γ1)∣Sj∣+log⁡(σˉ/σ0)/log⁡γ1⌉|\mathcal U_j|\le\lceil-(\log\gamma_3/\log\gamma_1)|\mathcal S_j|+\log(\bar\sigma/\sigma_0)/\log\gamma_1\rceil∣Uj​∣≤⌈−(logγ3​/logγ1​)∣Sj​∣+log(σˉ/σ0​)/logγ1​⌉, and its variant (2.14) when σk≥σmin⁡\sigma_k\ge\sigma_{\min}σk​≥σmin​.
  2. Theorem 2.2: a model decrease of αϵp\alpha\epsilon^pαϵp on a set So\mathcal S_oSo​ of successful iterations gives ∣So∣≤⌈(f(x0)−flow)ϵ−p/(η1α)⌉|\mathcal S_o|\le\lceil(f(x_0)-f_{\rm low})\epsilon^{-p}/(\eta_1\alpha)\rceil∣So​∣≤⌈(f(x0​)−flow​)ϵ−p/(η1​α)⌉.
  3. Lemma 3.1: the Cauchy decrease (3.3) and the step bound (3.4).
  4. Lemma 3.2: σk∥gk∥>κHB\sqrt{\sigma_k\|g_k\|}>\kappa_{HB}σk​∥gk​∥​>κHB​ makes iteration kkk very successful.
  5. Lemma 3.3: σk≤max⁡(σ0,γ2κHB2/ϵ)\sigma_k\le\max(\sigma_0,\gamma_2\kappa_{HB}^2/\epsilon)σk​≤max(σ0​,γ2​κHB2​/ϵ) while ∥gk∥>ϵ\|g_k\|>\epsilon∥gk​∥>ϵ.
  6. (3.20), (3.21), (3.22) of the proof of Corollary 3.4: the decrease αCϵ2\alpha_C\epsilon^2αC​ϵ2, the first half of the corollary, and the bound on ∣Uj1∣|\mathcal U_{j_1}|∣Uj1​​∣.

Significance

The corollary establishes that the ARC framework, whatever step it takes beyond the Cauchy point and whatever symmetric BkB_kBk​ it uses, is never worse than steepest descent in evaluation count. It is the baseline against which Part II measures its second-order variant ARC(S), whose O(ϵ−3/2)O(\epsilon^{-3/2})O(ϵ−3/2) bound is the subject of a separate mission in this series. Theorems 2.1 and 2.2 are generic: they convert any per-iteration model decrease and any bound on σk\sigma_kσk​ into iteration counts, and are reused verbatim for ARC(S).

The results are proved in the paper. No machine-checked proof of any of them exists on Prove2Me or, to our knowledge, elsewhere. The work here is to formalize the known proofs: the Cauchy-point analysis of Part I (quoted, not reproved, in Part II), the Taylor-remainder estimate of Lemma 3.2, and the counting arguments. Formalizing also checks the printed statements: two of them need a small correction (see Formalization scope).

Difficulty

Each step is elementary, but the statements are about a nondeterministic algorithm: sks_ksk​ and σk+1\sigma_{k+1}σk+1​ are choices, so every bound must hold for all admissible choices, not for one convenient run. The constants are explicit, and the ceilings interact: the printed proof of (3.17) adds the ceilings of (3.15) and (3.22), which does not by itself give ⌈κCϵ−2⌉\lceil\kappa_C\epsilon^{-2}\rceil⌈κC​ϵ−2⌉; the bound must be derived from the unrounded estimates. Lemma 3.1 i) requires a careful one-dimensional analysis of α↦mk(−αgk)\alpha\mapsto m_k(-\alpha g_k)α↦mk​(−αgk​) with an indefinite BkB_kBk​. The ratio ρk\rho_kρk​ is a quotient, and its denominator must be shown positive before any comparison with η1\eta_1η1​, η2\eta_2η2​ is meaningful.

Formalization scope

The space is EuclideanSpace ℝ (Fin n); ggg is Mathlib's gradient f; BkB_kBk​ is a continuous linear operator with IsSelfAdjoint, and ∥Bk∥\|B_k\|∥Bk​∥ is the operator norm. A run is a predicate IsARCRun on the sequences x,s,σ,Bx,s,\sigma,Bx,s,σ,B; the Cauchy condition is stated as mk(sk)≤mk(−αgk)m_k(s_k)\le m_k(-\alpha g_k)mk​(sk​)≤mk​(−αgk​) for all α≥0\alpha\ge0α≥0, which is equivalent to comparing with the Cauchy point and avoids defining an argmin. The run is infinite; a run that the paper would stop at gk=0g_k=0gk​=0 extends trivially, and every statement only concerns iterations with ∥gk∥>ϵ\|g_k\|>\epsilon∥gk​∥>ϵ. Lean's x / 0 = 0 gives ρk=0\rho_k=0ρk​=0 (unsuccessful) when f(xk)=mk(sk)f(x_k)=m_k(s_k)f(xk​)=mk​(sk​); Theorem 2.2 assumes (2.6), mk(sk)<f(xk)m_k(s_k)<f(x_k)mk​(sk​)<f(xk​), up to its horizon, and §3's results need nothing extra because gk≠0g_k\neq0gk​=0 makes the denominator positive.

"j1≤Lj_1\le Lj1​≤L" is stated as: every jjj with ∥gk∥>ϵ\|g_k\|>\epsilon∥gk​∥>ϵ for all k≤jk\le jk≤j satisfies j≤Lj\le Lj≤L (and similarly for ∣Sj∣|\mathcal S_j|∣Sj​∣). This asserts that j1j_1j1​ is finite without presupposing it. Statements with j≤∞j\le\inftyj≤∞ are given for every finite jjj.

Two corrections to the printed text are built in. In Theorem 2.1 the bound σk≤σˉ\sigma_k\le\bar\sigmaσk​≤σˉ is assumed for k≤j+1k\le j+1k≤j+1: as printed (k≤jk\le jk≤j) the theorem fails for j=0j=0j=0, iteration 000 unsuccessful, σˉ=σ0\bar\sigma=\sigma_0σˉ=σ0​. In AF.4 the set XXX must contain the trial points xk+skx_k+s_kxk​+sk​ as well as the iterates, because Lemma 3.2 applies the Lipschitz bound on the segment [xk,xk+sk][x_k,x_k+s_k][xk​,xk​+sk​].

A trivializing formalization is ruled out: the goal quantifies over every admissible step and weight update rather than one particular choice, keeps (2.10) out of the first conclusion, and keeps every constant as printed rather than replacing it by an existential.

A complete development needs the one-dimensional cubic analysis behind Lemma 3.1, a mean-value bound for C1C^1C1 functions along a segment, and finite counting over Finset.range. The generic counting results (Theorems 2.1, 2.2) are reusable for every ARC variant. Proofs of any milestone, and of the goal from the milestones, are welcome.

Selected references

  • C. Cartis, N. I. M. Gould, Ph. L. Toint, Adaptive cubic regularisation methods for unconstrained optimization. Part II: worst-case function- and derivative-evaluation complexity, Math. Program. 130(2):295–319, 2011 (preprint rev. 15 Sep 2009 used here). https://doi.org/10.1007/s10107-009-0337-y
  • C. Cartis, N. I. M. Gould, Ph. L. Toint, Adaptive cubic regularisation methods for unconstrained optimization. Part I: motivation, convergence and numerical results, Math. Program. 127(2):245–295, 2011. https://doi.org/10.1007/s10107-009-0286-5
  • Yu. Nesterov, B. T. Polyak, Cubic regularization of Newton method and its global performance, Math. Program. 108(1):177–205, 2006. https://doi.org/10.1007/s10107-006-0706-8
  • S. Gratton, A. Sartenaer, Ph. L. Toint, Recursive trust-region methods for multiscale nonlinear optimization, SIAM J. Optim. 19(1):414–444, 2008. https://doi.org/10.1137/050644043
  • Yu. Nesterov, Introductory Lectures on Convex Optimization, Kluwer, 2004. https://doi.org/10.1007/978-1-4419-8853-9
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Algorithmic Game TheoryOptimization·Captain: mikedeng1

On the Complexity of Nash Equilibria and Other Fixed Points 1: ε-Nash Equilibria Are Weak (n+1)ε-Fixed Points of Nash's Function, and Weak ε²/(4c²n³)-Fixed Points Are ε-Nash EquilibriaResearch Paper

Motivation

Nash proved that every finite game has an equilibrium by exhibiting a continuous map of the set of mixed profiles into itself whose fixed points are exactly the equilibria, and applying Brouwer's fixed point theorem (Nash, 1951). Computationally, the same map is the bridge between games and fixed-point problems: complexity classes for total search problems such as PPAD (Papadimitriou, 1994) and FIXP (Etessami and Yannakakis, 2010) are defined through fixed points, and a game problem is placed in such a class by passing through Nash's map.

For three or more players, equilibria can be irrational, so algorithms produce approximations. Two different notions compete. An ε\varepsilonε-Nash equilibrium is a profile at which no player can gain more than ε\varepsilonε by deviating unilaterally; a weak ε′\varepsilon'ε′-approximate fixed point of Nash's map is a profile that the map moves by less than ε′\varepsilon'ε′ in every coordinate. Proposition 3 of Etessami and Yannakakis shows that the two notions are interchangeable up to polynomially related tolerances. Since weak approximate fixed points of polynomially continuous, polynomially computable maps can be found in PPAD (their Proposition 2), this gives the membership of ε\varepsilonε-Nash equilibria in PPAD, first observed by Daskalakis, Goldberg and Papadimitriou (2009) and by Papadimitriou (1994).

Setting

A finite game Γ\GammaΓ in normal form has a finite set of players; each player iii has a finite nonempty set SiS_iSi​ of pure strategies and a payoff function uiu_iui​ on the pure strategy profiles S=∏iSiS=\prod_i S_iS=∏i​Si​. A mixed profile xxx assigns to each player iii a probability vector xi=(xi,j)j∈Six_i=(x_{i,j})_{j\in S_i}xi​=(xi,j​)j∈Si​​; DΓD_\GammaDΓ​ is the set of mixed profiles. The expected payoff of player iii is ui(x)u_i(x)ui​(x), and ui((i:j);x−i)u_i((i{:}j);x_{-i})ui​((i:j);x−i​) is the expected payoff of iii when iii plays the pure strategy jjj and every other player keeps its mixed strategy. The gain of switching to jjj is

gi,j(x)=ui((i:j);x−i)−ui(x).g_{i,j}(x)=u_i((i{:}j);x_{-i})-u_i(x).gi,j​(x)=ui​((i:j);x−i​)−ui​(x).

Nash's function FΓ:DΓ→DΓF_\Gamma:D_\Gamma\to D_\GammaFΓ​:DΓ​→DΓ​ is

FΓ(x)(i,j)=xi,j+max⁡{0,gi,j(x)}1+∑l∈Simax⁡{0,gi,l(x)}.F_\Gamma(x)_{(i,j)}=\frac{x_{i,j}+\max\{0,g_{i,j}(x)\}}{1+\sum_{l\in S_i}\max\{0,g_{i,l}(x)\}}.FΓ​(x)(i,j)​=1+∑l∈Si​​max{0,gi,l​(x)}xi,j​+max{0,gi,j​(x)}​.

A profile xxx is an ε\varepsilonε-NE if ui(x)≥ui(yi;x−i)−εu_i(x)\ge u_i(y_i;x_{-i})-\varepsilonui​(x)≥ui​(yi​;x−i​)−ε for every player iii and every mixed strategy yiy_iyi​ of iii. A weak ε′\varepsilon'ε′-approximate fixed point is an x∈DΓx\in D_\Gammax∈DΓ​ with ∣FΓ(x)−x∣∞<ε′|F_\Gamma(x)-x|_\infty<\varepsilon'∣FΓ​(x)−x∣∞​<ε′.

The proof uses three constants of the game: n=max⁡i∣Si∣n=\max_i|S_i|n=maxi​∣Si​∣, the maximum number of pure strategies of a player; MMM, the maximum over players iii of max⁡sui(s)−min⁡sui(s)\max_s u_i(s)-\min_s u_i(s)maxs​ui​(s)−mins​ui​(s); and c=1+Mc=1+Mc=1+M.

Formalization targets

Goal: Proposition 3 in explicit form

  1. For every ε′>0\varepsilon'>0ε′>0, every ε′/(n+1)\varepsilon'/(n+1)ε′/(n+1)-NE xxx is a weak ε′\varepsilon'ε′-approximate fixed point of FΓF_\GammaFΓ​:
∣FΓ(x)(i,j)−xi,j∣<ε′for all i,j.|F_\Gamma(x)_{(i,j)}-x_{i,j}|<\varepsilon'\quad\text{for all } i,j.∣FΓ​(x)(i,j)​−xi,j​∣<ε′for all i,j.
  1. For every 0<ε≤10<\varepsilon\le10<ε≤1, every weak ε′\varepsilon'ε′-approximate fixed point with
ε′=ε24c2n3\varepsilon'=\frac{\varepsilon^2}{4c^2n^3}ε′=4c2n3ε2​

is an ε\varepsilonε-NE.

Milestones

  • (p. 12) xxx is an ε\varepsilonε-NE iff xxx is a mixed profile and gi,j(x)≤εg_{i,j}(x)\le\varepsilongi,j​(x)≤ε for all i,ji,ji,j: pure deviations suffice.
  • (p. 20) the first direction, as its own statement.
  • (p. 21) for a mixed profile, ∑jxi,jgi,j(x)=0\sum_{j}x_{i,j}g_{i,j}(x)=0∑j​xi,j​gi,j​(x)=0; split by sign, ∑xi,jφi,j(x)=∑xi,jψi,j(x)\sum x_{i,j}\varphi_{i,j}(x)=\sum x_{i,j}\psi_{i,j}(x)∑xi,j​φi,j​(x)=∑xi,j​ψi,j​(x) with φi,j=max⁡{0,gi,j}\varphi_{i,j}=\max\{0,g_{i,j}\}φi,j​=max{0,gi,j​} and ψi,j=−gi,j\psi_{i,j}=-g_{i,j}ψi,j​=−gi,j​ where gi,j≤0g_{i,j}\le 0gi,j​≤0.
  • (p. 21) at a weak ε′\varepsilon'ε′-approximate fixed point, ∣φi,j(x)−xi,j∑lφi,l(x)∣<ε′(1+∑lφi,l(x))<ε2/(2cn2)|\varphi_{i,j}(x)-x_{i,j}\sum_l\varphi_{i,l}(x)|<\varepsilon'(1+\sum_l\varphi_{i,l}(x))<\varepsilon^2/(2cn^2)∣φi,j​(x)−xi,j​∑l​φi,l​(x)∣<ε′(1+∑l​φi,l​(x))<ε2/(2cn2).
  • (p. 21) the first case of the final argument: if some jjj with gi,j(x)<0g_{i,j}(x)<0gi,j​(x)<0 has xi,j≥ε/(2cn2)x_{i,j}\ge\varepsilon/(2cn^2)xi,j​≥ε/(2cn2), then ∑lφi,l(x)<ε\sum_l\varphi_{i,l}(x)<\varepsilon∑l​φi,l​(x)<ε.

Significance

The result says that the "almost at equilibrium" notion of approximation and the "almost fixed" notion attached to Nash's map are the same notion up to polynomial changes of tolerance. It is the reason the weak approximation problem for Nash's function inherits PPAD membership from Proposition 2 and conversely why PPAD-hardness of ε\varepsilonε-NE transfers to weak approximation. The paper contrasts it with strong approximation (being close to an actual equilibrium), which it shows to be much harder; the explicit tolerances make precise which of the two notions a fixed-point algorithm for Nash's map actually delivers.

The result is proved in the paper. To our knowledge neither direction is formalized. On Prove2Me, the Daskalakis–Goldberg–Papadimitriou series contains the analogous Lemma 3.8 (DGPNash.NashMap.approx_fixed_point_is_approx_nash, posed) and its inequality (3) (DGPNash.NashMap.eq_3, posed): they concern the same map, but for games with a common strategy set Fin n, nonnegative payoffs and a different error term, so they are credited rather than reused. This mission states both directions for arbitrary finite strategy families with the paper's own constants.

Difficulty

Neither direction needs advanced mathematics; the difficulty is in the second direction. The obvious reading, that a profile moved little by FΓF_\GammaFΓ​ has small gains, fails as stated: the approximate fixed-point condition controls φi,j−xi,j∑lφi,l\varphi_{i,j}-x_{i,j}\sum_l\varphi_{i,l}φi,j​−xi,j​∑l​φi,l​, the gain of a strategy relative to the player's total positive gain weighted by xi,jx_{i,j}xi,j​, not the gain φi,j\varphi_{i,j}φi,j​ itself. A strategy that carries most of the probability and most of the positive gain can be almost fixed while its gain is large, so the bound on each φi,j\varphi_{i,j}φi,j​ has to come from information that the coordinatewise condition alone does not contain, with the exact constants ε/(2cn2)\varepsilon/(2cn^2)ε/(2cn2) and 1/(2n)1/(2n)1/(2n) of the paper tracked throughout; the paper's argument is compact and leaves several of these estimates implicit. In Lean, the multilinearity of the expected payoff in a single player's mixed strategy, which underlies both the reduction to pure deviations and the zero-average identity, has to be derived from the product-form definition of the expected payoff.

Formalization scope

Games, mixed profiles and expected payoffs are those of the published agt_games bundle: players form a finite type ι, player i has a finite strategy type S i, payoffs are real (u : ι → (∀ i, S i) → ℝ; the paper's payoffs are rational for computational reasons only). ui((i:j);x−i)u_i((i{:}j);x_{-i})ui​((i:j);x−i​) is the published DGPNash.NashMap.purePayoff, and the ε\varepsilonε-NE is the published DGPNash.WellSupported.IsEpsApproxNash, which includes that xxx is a mixed profile. New definitions: gain, nashFunction (by the printed formula, the sum over all of SiS_iSi​), IsWeakApproxFixedPoint (a mixed profile with every coordinate of FΓ(x)−xF_\Gamma(x)-xFΓ​(x)−x of absolute value <ε′<\varepsilon'<ε′), and the constants maxNumStrategies (nnn), payoffSpread (MMM) and cConst (ccc), all computed from the game.

Explicit readings of the paper's text:

  • "P-time equivalent" is formalized by the two explicit implications of the proof; no statement about algorithms or encoding sizes is made.
  • The first direction concludes, as the page does, that xxx is a weak ε′\varepsilon'ε′-approximate fixed point (strict, as defined on p. 16). The computation on p. 20 prints the looser bound "≤(mi+1)ϵ≤ϵ′\le(m_i+1)\epsilon\le\epsilon'≤(mi​+1)ϵ≤ϵ′"; the strict bound holds with the same printed ε=ε′/(n+1)\varepsilon=\varepsilon'/(n+1)ε=ε′/(n+1).
  • "Assume without loss of generality that ϵ≤1\epsilon\le1ϵ≤1" becomes the hypothesis ε≤1\varepsilon\le1ε≤1 of the second direction.
  • The sums ∑l=1mi\sum_{l=1}^{m_i}∑l=1mi​​ of pp. 12 and 20–21 run over all of SiS_iSi​; mim_imi​ is the paper's ni=∣Si∣n_i=|S_i|ni​=∣Si​∣.
  • ϵ2/2cn2\epsilon^2/2cn^2ϵ2/2cn2 and ϵ/2cn2\epsilon/2cn^2ϵ/2cn2 are read as ε2/(2cn2)\varepsilon^2/(2cn^2)ε2/(2cn2) and ε/(2cn2)\varepsilon/(2cn^2)ε/(2cn2).
  • "One of the strategies jjj on the rhs" is a strategy with gi,j(x)<0g_{i,j}(x)<0gi,j​(x)<0.
  • The goal assumes every SiS_iSi​ nonempty, as every game with a mixed profile has.

The constants nnn, MMM, ccc are definitions computed from the game, not free parameters: a formalization that lets them be chosen (for instance a large ccc in the second direction, or n=0n=0n=0 so that ε2/(4c2n3)\varepsilon^2/(4c^2n^3)ε2/(4c2n3) becomes 000) would trivialize the statement and is ruled out. Contributions of reusable lemmas are welcome, in particular the linearity of AGT.expectedPayoff in one player's mixed strategy and the bound ∣gi,j(x)∣≤M|g_{i,j}(x)|\le M∣gi,j​(x)∣≤M, which are useful to every game-theoretic mission built on agt_games.

Selected references

  • K. Etessami and M. Yannakakis, On the complexity of Nash equilibria and other fixed points, SIAM J. Comput. 39(6) (2010) 2531–2597 (author manuscript used here). https://doi.org/10.1137/080720826
  • J. Nash, Non-cooperative games, Annals of Mathematics 54(2) (1951) 286–295. https://doi.org/10.2307/1969529
  • C. Daskalakis, P. W. Goldberg and C. H. Papadimitriou, The complexity of computing a Nash equilibrium, SIAM J. Comput. 39(1) (2009) 195–259. https://doi.org/10.1137/070699652
  • C. H. Papadimitriou, On the complexity of the parity argument and other inefficient proofs of existence, J. Comput. System Sci. 48(3) (1994) 498–532. https://doi.org/10.1016/S0022-0000(05)80063-7
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