提出新型上界方法,显著提升大规模信息采样问题求解效率。
The hyper-scaled NLP bound for maximum-entropy remote sampling
- 基于凸松弛构造超尺度NLP上界,改进传统方法
- 理论证明新上界严格优于旧上界,且支持秩亏协方差矩阵
- 提供参数调优与分支定界优化策略,适用于高维信息选择
最大熵远端采样问题(MERSP)旨在从n个随机变量中选取s个,以最大化对不可观测目标变量的信息量。假设所有变量服从联合高斯分布且已知协方差矩阵,信息量用香农微分熵衡量。以往中等规模实例的精确求解依赖分支定界法(B&B),研究集中于上界估计。此前存在两种25年前提出的上界方法:互补NLP上界与谱上界。本文建立二者之间的支配关系,并提出一种新颖有效的超尺度NLP上界(hNLP bound)。其互补形式推广了原有互补NLP上界。我们给出理论保证,给出充分条件使互补hNLP上界严格优于互补NLP上界。此外,该框架可处理满足技术条件的秩亏协方差矩阵,而旧方法仅适用于正定矩阵。还提供了超尺度参数计算方法,并为分支定界设计变量固定策略与子问题构建方案。基准实例的数值实验验证了所提方法在推进MERSP算法前沿上的有效性。
原文摘要 · Abstract (English)
The maximum-entropy remote sampling problem (MERSP) is to select a subset of $s$ random variables from a set of $n$ random variables, so as to maximize the information concerning a set of target random variables that are not directly observable. We assume that the set of all of these random variables follows a joint Gaussian distribution, and that we have the covariance matrix available. Finally, we measure information using Shannon's differential entropy. The main approach for exact solution of moderate-sized instances of MERSP has been branch-and-bound (B\&B), and so previous work concentrated on upper bounds. Prior to our work, there were two upper-bounding methods for MERSP: the so-called ``complementary NLP bound'' and the ``spectral bound'', both introduced 25 years ago. We are able now to establish domination results between these two upper bounds. Further, we propose a novel and effective ``hyper-scaled NLP bound'' (hNLP bound) based on a subtle convex relaxation. The ``complementary'' version of hNLP bound for MERSP generalizes the previous complementary NLP bound for MERSP. We provide theoretical guarantees, giving sufficient conditions under which the complementary hNLP bound strictly dominates the complementary NLP bound. In addition, the hNLP formulation allows us to derive upper bounds for rank-deficient covariance matrices when they satisfy a technical condition. This is in contrast to the previous NLP bound that worked with only positive definite covariance matrices (because it was wedded to a complementary formulation). Additionally, we describe procedures for calculating hyper-scaling parameters. Finally, for B\&B, we provide a variable-fixing methodology and results guiding the best way to construct subproblems. Numerical experiments on benchmark instances demonstrate the effectiveness of our approaches in advancing the algorithmic state-of-the-art for MERSP.
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