Presolver

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(Introduction)
(Introduction)
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and <math>\mathcal{J}</math> is some possibly empty index set.
and <math>\mathcal{J}</math> is some possibly empty index set.
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The ''caveat'' to use of our proposed method for presolving is that it is not fast.
+
A ''caveat'' to use of our proposed method for presolving is that it is not fast.
-
One would incorporate this method only when a problem is too big to be solved;
+
'''('''One would incorporate this method only when a problem is too big to be solved;
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that is, when solver software chronically exits with error or hangs.
+
that is, when solver software chronically exits with error or hangs.''')'''
 +
That it can be decomposed into <math>n\,</math> independent parallel subproblems is its saving grace.
 +
Speedup becomes directly proportional to number of parallel processors.
===Geometry of Constraints===
===Geometry of Constraints===
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and then indefinitely out into space from the opposite side of Earth.
and then indefinitely out into space from the opposite side of Earth.
Its four edges correspond to four columns from matrix <math>A\,</math>.
Its four edges correspond to four columns from matrix <math>A\,</math>.
-
Those four columns completely describe the semiinfinite Pyramid per definition of <math>\mathcal{K}\,</math>.
+
Those four columns completely describe the semiinfinite Pyramid
 +
per definition of <math>\mathcal{K}\,</math>.
But <math>A\,</math> can have more than four columns and still describe the same Pyramid.
But <math>A\,</math> can have more than four columns and still describe the same Pyramid.
For such a fat <math>A\,</math>, each additional column resides anywhere in <math>\mathcal{K}\,</math>:
For such a fat <math>A\,</math>, each additional column resides anywhere in <math>\mathcal{K}\,</math>:
Line 67: Line 70:
===positivity===
===positivity===
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An optimization problem can always be written with a nonnegativity constraints <math>x\succeq0</math>...
+
An optimization problem can always be written with nonnegativity constraints <math>x\succeq0</math> ...
 +
 
 +
===critical assumptions===
 +
polyhedral cone is pointed, point <math>b\,</math> belongs to cone boundary...

Revision as of 22:26, 11 August 2011

Contents

Introduction

Presolving conventionally means quick elimination of some variables and constraints prior to numerical solution of an optimization problem. Presented with constraints LaTeX: a^{\rm T}x=0\,,~x\succeq0 for example, a presolver is likely to check whether constant vector LaTeX: a\, is positive; for if so, variable LaTeX: \,x can have only the trivial solution. The effect of such tests is to reduce the problem dimensions.

Most commercial optimization problem solvers incorporate presolving. Particular reductions can be proprietary or invisible, while some control or selection may be given to a user. But all presolvers have the same motivation: to make an optimization problem smaller and (ideally) easier to solve. There is profit potential because a solver can then compete more effectively in the marketplace for large-scale problems.

We present a method for reducing variable dimension based upon geometry of constraints in the problem statement:

LaTeX: 
<pre>   \begin{array}{rl}
      \mbox{minimize}_{x\in_{}\mathbb{R}^{^n}} & f(x)
   \\ \mbox{subject to}                        & A_{}x=b
   \\                                          & g(x)_{\!}\in\mathcal{S}
   \\                                          & x\succeq0
   \\                                          & x_{j\!}\in\mathbb{Z}~,\qquad j\in\mathcal{J}
   \end{array}
</pre>

where LaTeX: A\, is a real LaTeX: m\!\times_{\!}n matrix, LaTeX: \mathbb{Z} represents the integers, LaTeX: \reals the real numbers, LaTeX: \mathcal{S} is some predetermined set, and LaTeX: \mathcal{J} is some possibly empty index set.

A caveat to use of our proposed method for presolving is that it is not fast. (One would incorporate this method only when a problem is too big to be solved; that is, when solver software chronically exits with error or hangs.) That it can be decomposed into LaTeX: n\, independent parallel subproblems is its saving grace. Speedup becomes directly proportional to number of parallel processors.

Geometry of Constraints

Euclidean pyramid
Euclidean pyramid

The central idea in our presolving method is best understood geometrically. Constraints

LaTeX: 
<pre>   \begin{array}{l}
   \\                 A_{}x=b
   \\                 x\succeq0
   \end{array}
</pre>

suggest that a polyhedral cone comes into play. Geometers in convex analysis regard cones as convex Euclidean bodies semiinfinite in extent. Finite circular cones hold ice cream and block road traffic in daily life. Each of the great Pyramids of Egypt is a finite polyhedral cone. The geometer defines a polyhedral (semiinfinite) cone LaTeX: \,\mathcal{K} in LaTeX: \,\reals^m as a set

LaTeX: \mathcal{K}\triangleq\{A_{}x~|~x\succeq0\}

that is closed and convex but not necessarily pointed (may not have a vertex).

A pointed polyhedral cone (truncated)
A pointed polyhedral cone (truncated)

To visualize a pointed polyhedral cone in three dimensions, think of one Egyptian Pyramid continuing into the ground and then indefinitely out into space from the opposite side of Earth. Its four edges correspond to four columns from matrix LaTeX: A\,. Those four columns completely describe the semiinfinite Pyramid per definition of LaTeX: \mathcal{K}\,. But LaTeX: A\, can have more than four columns and still describe the same Pyramid. For such a fat LaTeX: A\,, each additional column resides anywhere in LaTeX: \mathcal{K}\,: either interior to the cone LaTeX: (\{A_{}x~|~x\succ0\}) or on one of its faces (the vertex, an edge, or facet).

Polyhedral cones have infinite variety. Most are not so regularly shaped as a Pyramid, and they can have any number of edges and facets. We assume a pointed polyhedral cone throughout, so there can be only one vertex (which resides at the origin in Euclidean space by definition).

positivity

An optimization problem can always be written with nonnegativity constraints LaTeX: x\succeq0 ...

critical assumptions

polyhedral cone is pointed, point LaTeX: b\, belongs to cone boundary...

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