Conditional Moment Relaxations and Sums-of-AM/GM-Exponentials
Transcript of Conditional Moment Relaxations and Sums-of-AM/GM-Exponentials
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Conditional Moment Relaxations and Sums-of-AM/GM-Exponentials
Riley Murray
California Institute of Technology
MIT Virtual Seminar on Optimization and Related Areas17 April 2020
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
The functions of interest
polynomials
Parameters ai in Nn, ci in R.
Using xai =∏nj=1 x
aijj ,
x 7→m∑i=1
cixai .
Care about degree: maxi ‖ai‖1.
signomials
Parameters ai in Rn, ci in R.
In “exponential form”,
x 7→m∑i=1
ci exp(ai · x).
Care about number of terms: m.
For historical and modeling reasons, signomials are often written in geometric form
y 7→m∑i=1
ciyai
where y ∈ Rn++ has the correspondence yi = exp(xi). We use the exponential form!
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Geometric Programming
The signomial
f(x) =∑mi=1 ci exp(ai · x)
is called a posynomial when all ci ≥ 0.
Geometric programs (GPs):
infx∈Rn
f(x) : gi(x) ≤ 1 ∀ i ∈ [k]
where f and giki=1 are posynomials.
Study of GPs initiated by Zener, Duffin, andPeterson (1967). Exponential-form GPs areconvex & poly-time solvable via IPMs [1].
Optimization-based engineering design: electrical[2, 3, 4], structural [5, 6], environmental [7], andaeronautical [8, 9].
Epidemilogical process control [10, 11, 12], power controland storage [13, 14], self-driving cars [15], gas networkoperation [16].
Additional applications in healthcare [17], biology [18], economics [19, 20, 21], and statistics [22, 23]
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Signomial programming
A signomial program (SP) is an optimization problem stated with signomials, e.g.
infx∈Rn
f(x) : gi(x) ≤ 0 for all i in [k]
.
Major applications in aircraft design [24, 25, 26, 27, 28] and structrual engineering[29, 30, 31, 32]. Additional applications in EE [33], communications [34], and ML [35].
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Motivation.Mathematical Preliminaries.Sums-of-AM/GM-Exponentials.
Sparsity preservation.
A hierarchy.
Extreme rays.
Conclusion.
Riley Murray 5
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
The AM/GM-inequality
If u,λ ∈ Rm are positive and 1ᵀλ = 1, then
uλ ≤ λᵀu.
Proof. If v = logu, then uλ = exp(λᵀv)≤∑mi=1 λi exp vi= λᵀu.
A recent history of using the AM/GM inequality to certify function nonnegativity:
1978 and 1989: Reznick [36, 37].
2009: Pebay, Rojas and Thompson [38].
2012 and 2013: Ghasemi and Marshall [39], Ghasemi, Lasserre, and Marshall [40].
2012: Paneta, Koeppl, and Craciun [41], and August, Craciun, and Koeppl [42].
2016: Iliman and de Wolff [43].
When used for computation, exponents aimi=1 were presumed to be highly structured.
E.g. convaimi=1 has m− 1 extreme points, 1 point in its relative interior.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Definitions from convex analysis
A set convex set K is called a cone if
x ∈ K ⇒ λx ∈ K for all λ ≥ 0;
the dual cone to K isK† = y : yᵀx ≥ 0 for all x in K.
– and we have (K†)† = clK
A convex set X induces a support function
σX(λ) = supλᵀx : x in X.
The relative entropy function continuously extends
D(u,v) =m∑i=1
ui log(ui/vi) to Rm+ × Rm+ .
Important: if you evaluate D(·, ·) outside Rm+ × Rm+ , you get +∞.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
A trick with convex duality
Start with a primal problem
Val(c) = infxcᵀx : Ax = b,x ≥ 0.
Obtain a dual problem
Val(c) = supµ−bᵀµ : Aᵀµ+ c ≥ 0.
We will encounter constraints like
Val(c) + L ≥ 0.
Write such a constraint as: there exists a µ where
Aᵀµ+ c ≥ 0 and bᵀµ ≤ L.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Nonnegativity and optimization
We’ll work with sets X ⊂ Rn. Speaking abstractly, for any f : Rn → R
f?X = inff(x) : x in X= supγ : f − γ is nonnegative over X.
Make this more concrete. For signomials:
CNNS(A, X).=
c :
m∑i=1
ci exp(ai · x) ≥ 0∀x ∈ X
, A
.=
0a2
...am
∈ Rm×n.
So for f(x) =∑mi=1 ci exp(ai · x),
f?X = sup γ : c− γe1 ∈ CNNS(A, X)
– where e1 is the 1st standard basis vector in Rm.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Duality and moment relaxations
Abbreviate exp(Ax) ∈ Rm elementwise, and express
CNNS(A, X) = c : cᵀexp(Ax) ≥ 0∀x ∈ X.
The definition of “dual cone” requires
CNNS(A, X)† = v : cᵀv ≥ 0 ∀ c ∈ CNNS(A, X).
So we end up getting CNNS(A, X)† = co exp(Ax) : x ∈ X – a “moment cone.”
conv exp(Ax) : x ∈ X =
Ex [exp(Ax)] : x ∼ F, suppF ⊂ X︸ ︷︷ ︸conditional probability
Get moment relaxations from conic duality
supγγ : c− γe1 ∈ CNNS(A, X)︸ ︷︷ ︸
f?X
= inf
cᵀv :
v ∈ CNNS(A, X)†
satisfies v · e1 = 1
.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Motivation.Mathematical Preliminaries.Sums-of-AM/GM-Exponentials.
Sparsity preservation.
A hierarchy.
Extreme rays.
Conclusion.
Riley Murray 11
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
X-AGE functions
Definition. An X-AGE function is an X-nonnegative signomial, which has at most onenegative coefficient. Generalizes X = Rn from [44]; see [45].
Consider f(x) =∑mi=1 ci exp(aᵀ
ix). If c ∈ Rm has c\k.= (ci)i∈[m]\k ≥ 0, then
f(x) ≥ 0 ⇔m∑i=1
ci exp([ai − ak] · x) ≥ 0 ⇔∑i6=k
ci exp([ai − ak] · x)
︸ ︷︷ ︸convex!
+ck ≥ 0.
Theorem (M., Chandrasekaran, & Wierman (2019))
If X is a convex set, then the conditions
c\k ≥ 0 and c ∈ CNNS(A, X)
are equivalent to the existence of some ν ∈ Rm satisfying
1ᵀν = 0 and σX (−Aᵀν) +D(ν\k, ec\k) ≤ ck.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
X-SAGE certificates & lower bounds
A signomial is X-SAGE if it can be written as a sum of appropriate X-AGE functions.
The cone of coefficients
CSAGE(A, X).=c : (ν(k), c(k))mk=1 satisfy c =
∑mk=1 c
(k), 1ᵀν(k) = 0,
and σX(−Aν(k)
)+D
(ν
(k)
\k , c(k)
\k
)≤ c(k)
k ∀ k ∈ [m]
is contained within CNNS(A, X).
Consider f(x) =∑mi=1 ci exp(ai · x) with a1 = 0:
f?X = supγ : c− γe1 in CNNS(A, X)
≥ sup γ : c− γe1 in CSAGE(A, X) =: fSAGEX .
MOSEK + sageopt = off-the-shelf software for computing fSAGEX .
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Conditional moment relaxations via SAGE
Consider f(x) =∑mi=1 ci exp(ai · x) with a1 = 0. Applying conic duality ...
sup γ : c− γe1 in CSAGE(A, X) = fSAGEX = inf
cᵀv :
v in CSAGE(A, X)†
satisfies v · e1 = 1
Conic duality reverses inclusions
CNNS(A, X)† ⊂ CSAGE(A, X)†.
The dual X-SAGE cone is
CSAGE(A, X)† = clv : some z1, . . . , zm in Rn satisfy
vk log(v/vk) ≥ [A− 1ak]zk
and zk/vk ∈ X for all k in [m].
The dual helps with solution recovery. Useful even when fSAGEX < f?X !
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
An example in R3
Minimize
f(x) = exp(x1 − x2)/2− expx1 − 5 exp(−x2)
over
X =x : (70, 1, 0.5) ≤ expx ≤ (150, 30, 21)
exp(x2 − x3)
100+
expx2
100+
exp(x1 + x3)
2000≤ 1
.
Compute fSAGEX = −147.85713 ≤ f?X , and recover feasible
x = (5.01063529, 3.40119660,−0.48450710)
satisfying f(x) = −147.66666.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Motivation.Mathematical Preliminaries.Sums-of-AM/GM-Exponentials.
Sparsity preservation.
A hierarchy.
Extreme rays.
Conclusion.
Riley Murray 16
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Sparsity and SAGE signomials
Theorem (M., Chandrasekaran, & Wierman)
Fix a vector c ∈ Rm with nonempty N = i : ci < 0.
If c ∈ CSAGE(A, X), then there exist X-AGE vectors c(i)i∈N where c(i)i = ci and
c =∑i∈N
c(i).
This is true even if X is not convex.
Proven formally for X = Rn in [46].
Let K ⊃ Rm+ induce Ci.= c ∈ K : c\i ≥ 0.
1 Show that for j 6∈ N , can eliminate c(j) ∈ Cj from an existing decomposition.
2 Show that conic combinations of c(i) ∈ Cii∈N can reduce to c(i)i = ci.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Sparsity preservation: a univariate example
f(x) = e−3x + e−2x + 4ex + e2x − 4e−x − 1− e3x over x ≤ 0
-1.0 -0.5 0.5 1.0
-3
-2
-1
1
2
3
4
f1(x) = 0.88 · e−3x + 0.82 · e−2x + 2.69 · ex + 0.12 · e2x − 4 · e−x
f2(x) = 0.10 · e−3x + 0.15 · e−2x + 0.90 · ex + 0.12 · e2x − 1
f3(x) = 0.02 · e−3x + 0.03 · e−2x + 0.41 · ex + 0.76 · e2x − e3x
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Applying Sums-of-Squares (SOS) to an AGE function
Consider the following function on R2
f(x, y) = 1− 2e(2x+2y) +1
2
(e8x + e8y) .
Use sageopt, round solution, certify f is R2-AGE with ν? = (1,−2, 1/2, 1/2).
We can express f as a sum-of-squares, but this requires new terms
f(x, y) =(
1− 2e(2x+2y))2
+1
2
(e4x − e4y)2
=(
1− 2e(2x+2y)+e(4x+4y))
+1
2
(e8x + e8y−2e(4x+4y)
).
SOS is the predominant way to certify polynomial nonnegativity.
SAGE can certify polynomial nonnegativity [46] with X ( Rn [45].
Remark: In the special case X = Rn with integer exponents, the sparsity result can also bededuced from Jie Wang’s work on Sums-of-Nonnegative-Circuit polynomials [47, 48].
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Motivation.Mathematical Preliminaries.Sums-of-AM/GM-Exponentials.
Sparsity preservation.
A hierarchy.
Extreme rays.
Conclusion.
Riley Murray 20
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
A hierarchy of stronger convex relaxations.
The earlier example with X ⊂ R3 –
f(x) = exp(x1 − x2)/2− expx1 − 5 exp(−x2).
We found bounds
fSAGEX = −147.85713 ≤ f?X and f?X ≤ f(x) = −147.66666.
The modulation trick lets us construct a sequence of bounds
f(`)X
.= supγ :
(∑mi=1 exp(ai · x)
)`(f(x)− γ) is X-SAGE.
Using MOSEK + sageopt with this particular example,
` SAGE bound solve time (s)0 -147.85713 0.011 -147.67225 0.022 -147.66680 0.083 -147.66666 0.26
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Convergence results
When introducing Rn-SAGE, Chandrasekaran and Shah proved two results for hierarchies.
No known convergence conditions for f(`)X , prior to March 2020.
Theorem (Wang, Jaini, Yu, Poupart [49])
Let A ∈ Qm×n be a rank n matrix with a1 = 0, and consider f(x) =∑mi=1 ci exp(ai · x).
If X is a compact convex set, then
lim`→∞
f(`)X = f?X .
Assumes nothing about the representation of X.
Compare to the canonical (non X-SAGE) approach, which uses a Lagrangian relaxation:
infxf(x) : g(x) ≥ 0 ≥ sup
γ,λγ : f − γ −
∑i λi · gi ∈ Λ, λi ∈ Λ′
Λ,Λ′ are sets of nonnegative functions.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Motivation.Mathematical Preliminaries.Sums-of-AM/GM-Exponentials.
Sparsity preservation.
A hierarchy.
Extreme rays.
Conclusion.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Affine matroid-theoretic circuits
A circuit is a minimal affinely dependent aii∈I ⊂ Rn.
A circuit is simplicial if convaii∈I has |I| − 1 extreme points.
As a matter of notation, let Lk = λ : λᵀ1 = 0, λk = −1, λ\k ≥ 0.
Simplicial circuits obtained from A ∈ Rm×n are 1-to-1 with certain λ ∈ Rm
λ ∈ Lk for some k ∈ [m], Aᵀλ = 0 and ai : λi > 0 is affinely independent.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Circuits and Rn-SAGE
M., Chandrasekaran, and Wierman [46] determined extreme rays of
CAGE(A, i) = c ∈ CNNS(A,Rn) : c\i ≥ 0.
The ordinary SAGE cone is a Minkowski sum
CSAGE(A) =
m∑i=1
CAGE(A, i).
Katthan, Naumann, and Theobald [50] completely determined ext CSAGE(A).
Forsgard and de Wolff [51] studied ∂CSAGE(A) in detail ;defined
Rez(A) = coλ ∈ Rm : λ is a simplicial circuit w.r.t. A.
Combine [50, 51] to clearly link ext CSAGE(A) and ext Rez(A).
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Circuits and X-SAGE
The following is ongoing, joint work with Helen Naumann and Thorsten Theobald.
Definition. A simplicial X-circuit induced by A ∈ Rm×n is a vector λ? ∈ Rm where
1. λ? ∈ Lk for some k ∈ [m],
2. σX (−Aᵀλ?) < +∞, and
3. if λ 7→ σX (−Aᵀλ) is linear on [λ1,λ2] ⊂ Lk, then λ? 6∈ relint[λ1,λ2].
A clean generalization from X = Rn.
Provides the basis for a “Reznick cone” with conditional SAGE certificates.
Particularly informative when X is a polyhedron.
E.g., if X is a polyhedron, then CSAGE(A, X) is power-cone representable.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Motivation.Mathematical Preliminaries.Sums-of-AM/GM-Exponentials.
Sparsity preservation.
A hierarchy.
Extreme rays.
Conclusion.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Some open problems
1. When do we have CSAGE(A, X) = CNNS(A, X)?
For X = Rn see [46, 51], and also [46, 47] for polynomials.
2. If f > 0 on compact X, is there some g > 0 so f · g is X-SAGE?
Resolved in the affirmative for A ∈ Qm×n [49]! Follow-up questions ...
If “h =standard multiplier,” how to bound least ` where h` · f is X-SAGE?
Irrational A? Perhaps leverage Hausdorff continuity.
3. Complexity of testing “c ∈ CNNS(α, X)” with two ci < 0?
Many possible algorithmic projects (ask me for details).
More open problems to follow once “X-circuit” paper is put on arXiv.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Acknowledgements
Special thanks to my collaborators, on all things SAGE-related:
Venkat Chandrasekaran, Adam Wierman, Helen Naumann, Thorsten Theobald, FangXiao, and Berk Orztuk.
Thanks also to the many people who make working in this area exciting:
Sadik Iliman, Timo de Wolff, Marieke Dressler, Henning Seidler, Janin Heuer, JieWang, Jen Forsgard, and more!
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References I
[1] Yurii Nesterov and Arkadii Nemirovskii.Interior-Point Polynomial Algorithms in Convex Programming.Society for Industrial and Applied Mathematics, January 1994.
[2] Stephen P. Boyd, Seung-Jean Kim, Dinesh D. Patil, and Mark A. Horowitz.Digital circuit optimization via geometric programming.Operations Research, 53(6):899–932, December 2005.
[3] R. A. Jabr.Application of geometric programming to transformer design.IEEE Transactions on Magnetics, 41(11):4261–4269, 2005.
[4] D. Patil, S. Yun, S. . Kim, A. Cheung, M. Horowitz, and S. Boyd.A new method for design of robust digital circuits.In Sixth international symposium on quality electronic design (isqed’05), pages 676–681,2005.
[5] Ting-Yu Chen.Structural optimization using single-term posynomial geometric programming.Computers & Structures, 45(5-6):911–918, December 1992.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References II
[6] Prabhat Hajela.Geometric programming strategies in large-scale structural synthesis.AIAA Journal, 24(7):1173–1178, July 1986.
[7] Yves Smeers and Daniel Tyteca.A geometric programming model for the optimal design of wastewater treatment plants.Operations Research, 32(2):314–342, April 1984.
[8] Warren Hoburg and Pieter Abbeel.Geometric programming for aircraft design optimization.AIAA Journal, 52(11):2414–2426, November 2014.
[9] Michael Burton and Warren Hoburg.Solar and gas powered long-endurance unmanned aircraft sizing via geometricprogramming.Journal of Aircraft, 55(1):212–225, January 2018.
[10] C. Nowzari, V. M. Preciado, and G. J. Pappas.Optimal resource allocation for control of networked epidemic models.IEEE Transactions on Control of Network Systems, 4(2):159–169, 2017.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References III
[11] V. M. Preciado, M. Zargham, C. Enyioha, A. Jadbabaie, and G. J. Pappas.Optimal resource allocation for network protection against spreading processes.IEEE Transactions on Control of Network Systems, 1(1):99–108, 2014.
[12] C. Nowzari, V. M. Preciado, and G. J. Pappas.Analysis and control of epidemics: A survey of spreading processes on complex networks.IEEE Control Systems Magazine, 36(1):26–46, 2016.
[13] M. Chiang, C. W. Tan, D. P. Palomar, D. O’neill, and D. Julian.Power control by geometric programming.IEEE Transactions on Wireless Communications, 6(7):2640–2651, 2007.
[14] J. Rajasekharan and V. Koivunen.Optimal energy consumption model for smart grid households with energy storage.IEEE Journal of Selected Topics in Signal Processing, 8(6):1154–1166, 2014.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References IV
[15] Abhijit Davare, Qi Zhu, Marco Di Natale, Claudio Pinello, Sri Kanajan, and AlbertoSangiovanni-Vincentelli.Period optimization for hard real-time distributed automotive systems.In Proceedings of the 44th Annual Design Automation Conference, DAC ’07, page278–283, New York, NY, USA, 2007. Association for Computing Machinery.
[16] S. Misra, M. W. Fisher, S. Backhaus, R. Bent, M. Chertkov, and F. Pan.Optimal compression in natural gas networks: A geometric programming approach.IEEE Transactions on Control of Network Systems, 2(1):47–56, 2015.
[17] Y. He, W. Zhu, and L. Guan.Optimal resource allocation for pervasive health monitoring systems with body sensornetworks.IEEE Transactions on Mobile Computing, 10(11):1558–1575, 2011.
[18] Alberto Marin-Sanguino, Eberhard O Voit, Carlos Gonzalez-Alcon, and Nestor V Torres.Optimization of biotechnological systems through geometric programming.Theoretical Biology and Medical Modelling, 4(1), September 2007.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References V
[19] J.R. Rajasekera and M. Yamada.Estimating the firm value distribution function by entropy optimization and geometricprogramming.Annals of Operations Research, 105(1/4):61–75, 2001.
[20] Farshid Samadi, Abolfazl Mirzazadeh, and Mir Mohsen Pedram.Fuzzy pricing, marketing and service planning in a fuzzy inventory model: A geometricprogramming approach.Applied Mathematical Modelling, 37(10-11):6683–6694, June 2013.
[21] Seyed Ahmad Yazdian, Kamran Shahanaghi, and Ahmad Makui.Joint optimisation of price, warranty and recovery planning in remanufacturing of usedproducts under linear and non-linear demand, return and cost functions.International Journal of Systems Science, 47(5):1155–1175, May 2014.
[22] M. MAZUMDAR and T. R. JEFFERSON.Maximum likelihood estimates for multinomial probabilities via geometric programming.Biometrika, 70(1):257–261, 04 1983.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References VI
[23] Paul D. Feigin and Ury Passy.The geometric programming dual to the extinction probability problem in simplebranching processes.The Annals of Probability, 9(3):498–503, 1981.
[24] Martin A. York, Warren W. Hoburg, and Mark Drela.Turbofan engine sizing and tradeoff analysis via signomial programming.Journal of Aircraft, 55(3):988–1003, May 2018.
[25] Martin A. York, Berk Ozturk, Edward Burnell, and Warren W. Hoburg.Efficient aircraft multidisciplinary design optimization and sensitivity analysis viasignomial programming.AIAA Journal, 56(11):4546–4561, November 2018.
[26] Berk Ozturk and Ali Saab.Optimal aircraft design deicions under uncertainty via robust signomial programming.In AIAA Aviation 2019 Forum. American Institute of Aeronautics and Astronautics, June2019.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References VII
[27] Philippe G. Kirschen and Warren W. Hoburg.The power of log transformation: A comparison of geometric and signomial programmingwith general nonlinear programming techniques for aircraft design optimization.In 2018 AIAA/ASCE/AHS/ASC Structures, Structural Dynamics, and MaterialsConference. American Institute of Aeronautics and Astronautics, January 2018.
[28] Philippe G. Kirschen, Martin A. York, Berk Ozturk, and Warren W. Hoburg.Application of signomial programming to aircraft design.Journal of Aircraft, 55(3):965–987, May 2018.
[29] M. Avriel and J. D. Barrett.Optimal design of pitched laminated wood beams.In Advances in Geometric Programming, pages 407–419. Springer US, 1980.
[30] Hojjat Adeli and Osama Kamal.Efficient optimization of space trusses.Computers & Structures, 24(3):501 – 511, 1986.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References VIII
[31] Balaur S. Dhillon and Chen-Hsing Kuo.Optimum design of composite hybrid plate girders.Journal of Structural Engineering, 117(7):2088–2098, 1991.
[32] Yun Kang Sui and Xi Cheng Wang.Second-order method of generalized geometric programming for spatial frameoptimization.Computer Methods in Applied Mechanics and Engineering, 141(1-2):117–123, February1997.
[33] R.A. Jabr.Inductor design using signomial programming.COMPEL - The international journal for computation and mathematics in electrical andelectronic engineering, 26(2):461–475, 2007.
[34] Mung Chiang.Nonconvex Optimization for Communication Networks, pages 137–196.Springer US, Boston, MA, 2009.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References IX
[35] Han Zhao, Pascal Poupart, and Geoffrey J Gordon.A unified approach for learning the parameters of sum-product networks.In D. D. Lee, M. Sugiyama, U. V. Luxburg, I. Guyon, and R. Garnett, editors, Advances inNeural Information Processing Systems 29, pages 433–441. Curran Associates, Inc., 2016.
[36] Bruce Reznick.Extremal PSD forms with few terms.Duke Mathematical Journal, 45(2):363–374, jun 1978.
[37] Bruce Reznick.Forms derived from the arithmetic-geometric inequality.Mathematische Annalen, 283(3):431–464, 1989.
[38] Philippe P. Pebay, J. Maurice Rojas, and David C. Thompson.Optimization and NP r-completeness of certain fewnomials.In Proceedings of the 2009 conference on Symbolic numeric computation. ACM Press,2009.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References X
[39] Mehdi Ghasemi and Murray Marshall.Lower bounds for polynomials using geometric programming.SIAM Journal on Optimization, 22(2):460–473, jan 2012.
[40] M. Ghasemi, J. B. Lasserre, and M. Marshall.Lower bounds on the global minimum of a polynomial.Computational Optimization and Applications, 57(2):387–402, sep 2013.
[41] Casian Pantea, Heinz Koeppl, and Gheorghe Craciun.Global injectivity and multiple equilibria in uni- and bi-molecular reaction networks.Discrete and Continuous Dynamical Systems - Series B, 17(6):2153–2170, May 2012.
[42] Elias August, Gheorghe Craciun, and Heinz Koeppl.Finding invariant sets for biological systems using monomial domination.In 2012 IEEE 51st IEEE Conference on Decision and Control (CDC). IEEE, December2012.
[43] Sadik Iliman and Timo de Wolff.Amoebas, nonnegative polynomials and sums of squares supported on circuits.Research in the Mathematical Sciences, 3(1):9, Mar 2016.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References XI
[44] Venkat Chandrasekaran and Parikshit Shah.Relative entropy relaxations for signomial optimization.SIAM Journal on Optimization, 26(2):1147 – 1173, 2016.
[45] Riley Murray, Venkat Chandrasekaran, and Adam Wierman.Signomial and polynomial optimization via relative entropy and partial dualization, 2019.
[46] Riley Murray, Venkat Chandrasekaran, and Adam Wierman.Newton polytopes and relative entropy optimization, 2018.
[47] Jie Wang.Nonnegative polynomials and circuit polynomials, 2018.
[48] Jie Wang.On supports of sums of nonnegative circuit polynomials, 2018.
[49] Allen Houze Wang, Priyank Jaini, Yaoliang Yu, and Pascal Poupart.Complete hierarchy of relaxation for constrained signomial positivity, 2020.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
References XII
[50] L. Katthan, H. Naumann, and T. Theobald.A unified framework of SAGE and SONC polynomials and its duality theory, 2019.Preprint, arXiv:1903.08966.
[51] Jens Forsgard and Timo de Wolff.The algebraic boundary of the sonc cone, 2019.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Appendices
Exactness analysis.
Software.
Optimization with nonconvex constraints.
Log-log convex (“geometrically convex”) functions.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Rn-SAGE Exactness
010
2
4
8 87
6
66
8
54
10
34 212 0
010
2
8
4
10
6
6 8
8
64
10
42 20 0
220
4
6
8
15 20
10
12
1510
14
10
16
5 50 0
210
3
8 10
4
6 8
5
64
6
42 20 0
f
gf ·g
f +g
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Simplicial sign patterns
Theorem (7)If conv(A) is simplicial, and ci ≤ 0 for all nonextremal ai,
then c ∈ CNNS(A,Rn) if and only if c ∈ CSAGE(A,Rn).
0.2 0.4 0.6 0.8 1 1.2 1.4 1.6
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.1
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Simplicial sign patterns
Theorem (7)If conv(A) is simplicial, and ci ≤ 0 for all nonextremal ai,
then c ∈ CNNS(A,Rn) if and only if c ∈ CSAGE(A,Rn).
00
1
2
1 01
2 2f(x) = (ex1 − ex2 − ex3)2
is clearly nonnegative, but
f − γ is not SAGE ∀ γ ∈ R.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Partitioning a Newton polytope
We say that A can be partitioned into ` faces if we can permute its rows so thatA = [A(1); . . . ;A(`)] where convA(i)`i=1 are mutually disjoint faces of conv(A).
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Partitioning a Newton polytope
Theorem (8)
If A(i)`i=1 are matrices partitioning A = [A(1); . . . ;A(`)], then
CNNS(A,Rn) = ⊕`i=1CNNS(A(i),Rn)
–and the same is true of CSAGE(A,Rn).
Sanity checks :
All matrices A admit a trivial partition with ` = 1.
If all ai are extremal, then CNNS(A,Rn) = Rm+ .
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
An Rn-SAGE exactness theorem
Theorem (9)
Suppose A can be partitioned into faces where
1 each simplicial face has ≤ 2 nonextremal exponents, and
2 all other faces contain at most one nonextremal exponent.
Then CSAGE(A,Rn) = CNNS(A,Rn).
Violate the first hypothesis? Consider
f(x) = (ex1 − ex2 − ex3)2 not SAGE, per C&S’16.
Violate the second hypothesis? Consider
Aᵀ = [e1, e2, 2e1, 2e2, 2(e1 + e2), 0],
for which (−4, −2, 3, 2, 1, 1.8) ∈ CNNS(A,R2) \ CSAGE(A,R2).
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Optimization with nonconvex constraints
Q: What should we do when some constraints are nonconvex?
A: Combine X-SAGE certificates with Lagrangian relaxations.
Concretely, suppose we want to minimize f over
Ω.= X ∩ x : g(x) ≤ 0
where X is convex, but g1, . . . , gk are nonconvex signomials.
Then, if λ1, . . . , λk are nonnegative dual variables, we have
infx∈Ω
f(x) ≥ sup
γ : f +
k∑i=1
λigi − γ is X-SAGE
.
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
The SimPleAC aircraft design problem
From Warren Hoburg’s PhD thesis.
Problem statistics:
140 variables.
89 inequality constraints (1 nonconvex).
67 equality constraints (15 nonconvex).
Performance of the most basic SAGE relaxation:
bound “cost ≥ 2957” (roughly match a known solution).
MOSEK solves in two seconds, on a six year old laptop.
solution recovery fails (numerical issues).
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
The sageopt python package
import sageopt as so
y = so.standard_sig_monomials(3)
f = 0.5*y[0]/y[1] - y[0] - 5/y[1]
ineqs = [100 - y[1]/y[2] - y[1] - 0.05*y[0]*y[2],
y[0] - 70, y[1] - 1, y[2] - 0.5,
150 - y[0], 30 - y[1], 21 - y[2]]
X = so.infer_domain(f, gts, [])
prob = so.sig_relaxation(f, X, form=’dual’)
prob.solve()
solutions = so.sig_solrec(prob)
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
The sageopt python package
... # define f, X as before
from sageopt import coniclifts as cl
modulator = so.Signomial(f.alpha, np.ones(f.m)) ** 3
gamma = cl.Variable()
h = modulator * (f - gamma)
con = cl.PrimalSageCone(h.c, h.alpha, X, ’con_name’)
prob = cl.Problem(cl.MAX, gamma, [con])
prob.solve()
age_vecs = [v.value for v in con.age_vectors.values()]
age_sigs = [so.Signomial(h.alpha, v) for v in age_vecs]
h_numeric = so.Signomial(h.alpha, h.c.value)
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Motivation Preliminaries Sums-of-AM/GM-Exponentials Sparsity preservation A Hierarchy Extreme rays Conclusion Appendices
Log-log convexity: examples
With domains D = Rn++:
g(x) = maxx1, . . . , xn
g(x) = xa11 · · ·xann
g(x) =
(∫ ∞x
e−t2
dt
)−1
With more restricted domains:
x 7→ (−x log x)−1 D = (0, 1)
X 7→ (I −X)−1
D = X ∈ Rn×n++ : ρ(X) < 1
x 7→ (log x)−1 D = (1,∞)
Some tractable constraints for X-SAGE polynomials:
‖x‖p ≤ a x2j = a a ≤ PN (0, σ) ≥ |x|
where a > 0.
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