提出可证明的随机投影方法,提升二次规划求解效率
Provably data-driven projection method for quadratic programming
- 基于数据学习投影矩阵,降低二次规划维度
- 理论保证学习结果在真实问题上表现良好
- 适合高维优化场景与需要可解释性的人
投影方法通过降低优化问题维度来提升高维问题的可扩展性。近期,Sakaue 和 Oki 提出一种针对线性规划(LP)的数据驱动投影方法,其中投影矩阵从特定应用分布的问题实例中学习得到。本文分析了凸二次规划(QPs)下数据驱动投影矩阵学习的泛化性能。不同于线性规划中最优解局限于可行多面体顶点的情况,凸二次规划的最优解并不受限于顶点,这使得最优值函数的分析更加复杂。为克服该挑战,我们证明了凸二次规划的解可被限制在对应于特殊活动集的可行区域内,利用 Carathéodory 定理。在此基础上,我们提出无回溯活动集法,将最优值计算建模为具有有界复杂度的 Goldberg-Jerrum(GJ)算法,从而建立学习保证。进一步地,我们将分析扩展至其他情形,包括学习匹配最优解及输入感知设置,在后者中,我们学习从二次规划实例到投影矩阵的映射。
原文摘要 · Abstract (English)
Projection methods aim to reduce the dimensionality of the optimization instance, thereby improving the scalability of high-dimensional problems. Recently, Sakaue and Oki proposed a data-driven approach for linear programs (LPs), where the projection matrix is learned from observed problem instances drawn from an application-specific distribution of problems. We analyze the generalization guarantee for the data-driven projection matrix learning for convex quadratic programs (QPs). Unlike in LPs, the optimal solutions of convex QPs are not confined to the vertices of the feasible polyhedron, and this complicates the analysis of the optimal value function. To overcome this challenge, we demonstrate that the solutions of convex QPs can be localized within a feasible region corresponding to a special active set, utilizing Caratheodory's theorem. Building on such observation, we propose the unrolled active set method, which models the computation of the optimal value as a Goldberg-Jerrum (GJ) algorithm with bounded complexities, thereby establishing learning guarantees. We then further extend our analysis to other settings, including learning to match the optimal solution and input-aware setting, where we learn a mapping from QP problem instances to projection matrices.
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