arXiv subjects

Nikitas Rontsis

Publications and source records attributed to Nikitas Rontsis.

6 recordsLinked to original sources

arXiv2021

An active-set algorithm for norm constrained quadratic problems

We present an algorithm for the minimization of a nonconvex quadratic function subject to linear inequality constraints and a two-sided bound on the 2-norm of its solution. The algorithm minimizes the objective using an active-set method by solving a series of Trust-Region Subproblems (TRS). Underpinning the efficiency of this approach is that the global solution of the TRS has been widely studied in the literature, resulting in remarkably efficient algorithms and software. We extend these results by proving that nonglobal minimizers of the TRS, or a certificate of their absence, can also be calculated efficiently by computing the two rightmost eigenpairs of an eigenproblem. We demonstrate the usefulness and scalability of the algorithm in a series of experiments that often outperform state-of-the-art approaches; these include calculation of high-quality search directions arising in Sequential Quadratic Programming on problems of the CUTEst collection, and Sparse Principal Component Analysis on a large text corpus problem (70 million nonzeros) that can help organize documents in a user interpretable way.

math.OC↗

arXiv2021

Efficient Semidefinite Programming with approximate ADMM

Tenfold improvements in computation speed can be brought to the alternating direction method of multipliers (ADMM) for Semidefinite Programming with virtually no decrease in robustness and provable convergence simply by projecting approximately to the Semidefinite cone. Instead of computing the projections via "exact" eigendecompositions that scale cubically with the matrix size and cannot be warm-started, we suggest using state-of-the-art factorization-free, approximate eigensolvers, thus achieving almost quadratic scaling and the crucial ability of warm-starting. Using a recent result from [Goulart et al., 2020], we are able to circumvent the numerical instability of the eigendecomposition and thus maintain tight control on the projection accuracy. This in turn guarantees convergence, either to a solution or a certificate of infeasibility, of the ADMM algorithm. To achieve this, we extend recent results from [Banjac et al., 2019] to prove that reliable infeasibility detection can be performed with ADMM even in the presence of approximation errors. In all of the considered problems of SDPLIB that "exact" ADMM can solve in a few thousand iterations, our approach brings a significant, up to 20x, speedup without a noticeable increase on ADMM's iterations.

math.OC↗

arXiv2020

SafePILCO: a software tool for safe and data-efficient policy synthesis

SafePILCO is a software tool for safe and data-efficient policy search with reinforcement learning. It extends the known PILCO algorithm, originally written in MATLAB, to support safe learning. We provide a Python implementation and leverage existing libraries that allow the codebase to remain short and modular, which is appropriate for wider use by the verification, reinforcement learning, and control communities.

cs.LG↗

arXiv2019

Optimal Approximation of Doubly Stochastic Matrices

We consider the least-squares approximation of a matrix C in the set of doubly stochastic matrices with the same sparsity pattern as C. Our approach is based on applying the well-known Alternating Direction Method of Multipliers (ADMM) to a reformulation of the original problem. Our resulting algorithm requires an initial Cholesky factorization of a positive definite matrix that has the same sparsity pattern as C + I followed by simple iterations whose complexity is linear in the number of nonzeros in C, thus ensuring excellent scalability and speed. We demonstrate the advantages of our approach in a series of experiments on problems with up to 82 million nonzeros; these include normalizing large scale matrices arising from the 3D structure of the human genome, clustering applications, and the SuiteSparse matrix library. Overall, our experiments illustrate the outstanding scalability of our algorithm; matrices with millions of nonzeros can be approximated in a few seconds on modest desktop computing hardware.

math.OC↗

arXiv2019

Accuracy of approximate projection to the semidefinite cone

When a projection of a symmetric or Hermitian matrix to the positive semidefinite cone is computed approximately (or to working precision on a computer), a natural question is to quantify its accuracy. A straightforward bound invoking standard eigenvalue perturbation theory (e.g. Davis-Kahan and Weyl bounds) suggests that the accuracy would be inversely proportional to the spectral gap, implying it can be poor in the presence of small eigenvalues. This work shows that a small gap is not a concern for projection onto the semidefinite cone, by deriving error bounds that are gap-independent.

math.NA↗

arXiv2018

Distributionally Ambiguous Optimization Techniques for Batch Bayesian Optimization

We propose a novel, theoretically-grounded, acquisition function for Batch Bayesian optimization informed by insights from distributionally ambiguous optimization. Our acquisition function is a lower bound on the well-known Expected Improvement function, which requires evaluation of a Gaussian Expectation over a multivariate piecewise affine function. Our bound is computed instead by evaluating the best-case expectation over all probability distributions consistent with the same mean and variance as the original Gaussian distribution. Unlike alternative approaches, including Expected Improvement, our proposed acquisition function avoids multi-dimensional integrations entirely, and can be computed exactly - even on large batch sizes - as the solution of a tractable convex optimization problem. Our suggested acquisition function can also be optimized efficiently, since first and second derivative information can be calculated inexpensively as by-products of the acquisition function calculation itself. We derive various novel theorems that ground our work theoretically and we demonstrate superior performance via simple motivating examples, benchmark functions and real-world problems.

stat.ML↗