arXiv subjects

Peyman Mohajerin Esfahani

Publications and source records attributed to Peyman Mohajerin Esfahani.

78 records · Page 5Linked to original sources

arXiv2015

Distributionally Robust Logistic Regression

This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If the radius of this ball is chosen judiciously, we can guarantee that it contains the unknown data-generating distribution with high confidence. We then formulate a distributionally robust logistic regression model that minimizes a worst-case expected logloss function, where the worst case is taken over all distributions in the Wasserstein ball. We prove that this optimization problem admits a tractable reformulation and encapsulates the classical as well as the popular regularized logistic regression problems as special cases. We further propose a distributionally robust approach based on Wasserstein balls to compute upper and lower confidence bounds on the misclassification probability of the resulting classifier. These bounds are given by the optimal values of two highly tractable linear programs. We validate our theoretical out-of-sample guarantees through simulated and empirical experiments.

math.OC↗

arXiv2015

Efficient Approximation of Channel Capacities

We propose an iterative method for approximately computing the capacity of discrete memoryless channels, possibly under additional constraints on the input distribution. Based on duality of convex programming, we derive explicit upper and lower bounds for the capacity. The presented method requires $O(M^2 N \sqrt{\log N}/\varepsilon)$ to provide an estimate of the capacity to within $\varepsilon$, where $N$ and $M$ denote the input and output alphabet size; a single iteration has a complexity $O(M N)$. We also show how to approximately compute the capacity of memoryless channels having a bounded continuous input alphabet and a countable output alphabet under some mild assumptions on the decay rate of the channel's tail. It is shown that discrete-time Poisson channels fall into this problem class. As an example, we compute sharp upper and lower bounds for the capacity of a discrete-time Poisson channel with a peak-power input constraint.

cs.IT↗

arXiv2014

A Decomposition Method for Large Scale MILPs, with Performance Guarantees and a Power System Application

Lagrangian duality in mixed integer optimization is a useful framework for problems decomposition and for producing tight lower bounds to the optimal objective, but in contrast to the convex counterpart, it is generally unable to produce optimal solutions directly. In fact, solutions recovered from the dual may be not only suboptimal, but even infeasible. In this paper we concentrate on large scale mixed--integer programs with a specific structure that is of practical interest, as it appears in a variety of application domains such as power systems or supply chain management. We propose a solution method for these structures, in which the primal problem is modified in a certain way, guaranteeing that the solutions produced by the corresponding dual are feasible for the original unmodified primal problem. The modification is simple to implement and the method is amenable to distributed computations. We also demonstrate that the quality of the solutions recovered using our procedure improves as the problem size increases, making it particularly useful for large scale instances for which commercial solvers are inadequate. We illustrate the efficacy of our method with extensive experimentations on a problem stemming from power systems.

math.OC↗

arXiv2014

Efficient Approximation of Quantum Channel Capacities

We propose an iterative method for approximating the capacity of classical-quantum channels with a discrete input alphabet and a finite dimensional output, possibly under additional constraints on the input distribution. Based on duality of convex programming, we derive explicit upper and lower bounds for the capacity. To provide an $\varepsilon$-close estimate to the capacity, the presented algorithm requires $O(\tfrac{(N \vee M) M^3 \log(N)^{1/2}}{\varepsilon})$, where $N$ denotes the input alphabet size and $M$ the output dimension. We then generalize the method for the task of approximating the capacity of classical-quantum channels with a bounded continuous input alphabet and a finite dimensional output. For channels with a finite dimensional quantum mechanical input and output, the idea of a universal encoder allows us to approximate the Holevo capacity using the same method. In particular, we show that the problem of approximating the Holevo capacity can be reduced to a multidimensional integration problem. For families of quantum channels fulfilling a certain assumption we show that the complexity to derive an $\varepsilon$-close solution to the Holevo capacity is subexponential or even polynomial in the problem size. We provide several examples to illustrate the performance of the approximation scheme in practice.

quant-ph↗

arXiv2013

Performance Bounds for the Scenario Approach and an Extension to a Class of Non-convex Programs

We consider the Scenario Convex Program (SCP) for two classes of optimization problems that are not tractable in general: Robust Convex Programs (RCPs) and Chance-Constrained Programs (CCPs). We establish a probabilistic bridge from the optimal value of SCP to the optimal values of RCP and CCP in which the uncertainty takes values in a general, possibly infinite dimensional, metric space. We then extend our results to a certain class of non-convex problems that includes, for example, binary decision variables. In the process, we also settle a measurability issue for a general class of scenario programs, which to date has been addressed by an assumption. Finally, we demonstrate the applicability of our results on a benchmark problem and a problem in fault detection and isolation.

math.OC↗

arXiv2013

Symbolic control of stochastic systems via approximately bisimilar finite abstractions

Symbolic approaches to the control design over complex systems employ the construction of finite-state models that are related to the original control systems, then use techniques from finite-state synthesis to compute controllers satisfying specifications given in a temporal logic, and finally translate the synthesized schemes back as controllers for the concrete complex systems. Such approaches have been successfully developed and implemented for the synthesis of controllers over non-probabilistic control systems. In this paper, we extend the technique to probabilistic control systems modeled by controlled stochastic differential equations. We show that for every stochastic control system satisfying a probabilistic variant of incremental input-to-state stability, and for every given precision $\varepsilon>0$, a finite-state transition system can be constructed, which is $\varepsilon$-approximately bisimilar (in the sense of moments) to the original stochastic control system. Moreover, we provide results relating stochastic control systems to their corresponding finite-state transition systems in terms of probabilistic bisimulation relations known in the literature. We demonstrate the effectiveness of the construction by synthesizing controllers for stochastic control systems over rich specifications expressed in linear temporal logic. The discussed technique enables a new, automated, correct-by-construction controller synthesis approach for stochastic control systems, which are common mathematical models employed in many safety critical systems subject to structured uncertainty and are thus relevant for cyber-physical applications.

math.OC↗