arXiv subjects

Yinyu Ye

Publications and source records attributed to Yinyu Ye.

144 records · Page 8Linked to original sources

arXiv2013

Sparse Portfolio Selection via Quasi-Norm Regularization

In this paper, we propose $\ell_p$-norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and management. Theoretical results are established to guarantee the sparsity of the second-order KKT points of the $\ell_p$-norm regularized models. More interestingly, we present a theory that relates sparsity of the KKT points with Projected correlation and Projected Sharpe ratio. We also design an interior point algorithm to obtain an approximate second-order KKT solution of the $\ell_p$-norm models in polynomial time with a fixed error tolerance, and then test our $\ell_p$-norm modes on S&P 500 (2008-2012) data and international market data.\ The computational results illustrate that the $\ell_p$-norm regularized models can generate portfolios of any desired sparsity with portfolio variance and portfolio return comparable to those of the unregularized Markowitz model with cardinality constraint. Our analysis of a combined model lead us to conclude that sparsity is not directly related to overfitting at all. Instead, we find that sparsity moderates overfitting only indirectly. A combined $\ell_1$-$\ell_p$ model shows that the proper choose of leverage, which is the amount of additional buying-power generated by selling short can mitigate overfitting; A combined $\ell_2$-$\ell_p$ model is able to produce extremely high performing portfolios that exceeded the 1/N strategy and all $\ell_1$ and $\ell_2$ regularized portfolios.

q-fin.PM↗

arXiv2013

Close the Gaps: A Learning-while-Doing Algorithm for a Class of Single-Product Revenue Management Problems

We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer (such as price adjustment, sales commission, advertisement intensity, etc.). The relationship between the action and the demand rate is not known in advance. However, the retailer is able to learn the optimal action "on the fly" as she maximizes her total expected revenue based on the observed demand reactions. Using the pricing problem as an example, we propose a dynamic "learning-while-doing" algorithm that only involves function value estimation to achieve a near-optimal performance. Our algorithm employs a series of shrinking price intervals and iteratively tests prices within that interval using a set of carefully chosen parameters. We prove that the convergence rate of our algorithm is among the fastest of all possible algorithms in terms of asymptotic "regret" (the relative loss comparing to the full information optimal solution). Our result closes the performance gaps between parametric and non-parametric learning and between a post-price mechanism and a customer-bidding mechanism. Important managerial insight from this research is that the values of information on both the parametric form of the demand function as well as each customer's exact reservation price are less important than prior literature suggests. Our results also suggest that firms would be better off to perform dynamic learning and action concurrently rather than sequentially.

cs.LG↗

arXiv2013

The simplex method is strongly polynomial for deterministic Markov decision processes

We prove that the simplex method with the highest gain/most-negative-reduced cost pivoting rule converges in strongly polynomial time for deterministic Markov decision processes (MDPs) regardless of the discount factor. For a deterministic MDP with n states and m actions, we prove the simplex method runs in O(n^3m^2log^2 n) iterations if the discount factor is uniform and O(n^5m^3log^2 n) iterations if each action has a distinct discount factor. Previously the simplex method was known to run in polynomial time only for discounted MDPs where the discount was bounded away from 1 [Ye11]. Unlike in the discounted case, the algorithm does not greedily converge to the optimum, and we require a more complex measure of progress. We identify a set of layers in which the values of primal variables must lie and show that the simplex method always makes progress optimizing one layer, and when the upper layer is updated the algorithm makes a substantial amount of progress. In the case of nonuniform discounts, we define a polynomial number of "milestone" policies and we prove that, while the objective function may not improve substantially overall, the value of at least one dual variable is always making progress towards some milestone, and the algorithm will reach the next milestone in a polynomial number of steps.

cs.DS↗

arXiv2012

On Sensor Network Localization Using SDP Relaxation

A Semidefinite Programming (SDP) relaxation is an effective computational method to solve a Sensor Network Localization problem, which attempts to determine the locations of a group of sensors given the distances between some of them [11]. In this paper, we analyze and determine new sufficient conditions and formulations that guarantee that the SDP relaxation is exact, i.e., gives the correct solution. These conditions can be useful for designing sensor networks and managing connectivities in practice. Our main contribution is twofold: We present the first non-asymptotic bound on the connectivity or radio range requirement of the sensors in order to ensure the network is uniquely localizable. Determining this range is a key component in the design of sensor networks, and we provide a result that leads to a correct localization of each sensor, for any number of sensors. Second, we introduce a new class of graphs that can always be correctly localized by an SDP relaxation. Specifically, we show that adding a simple objective function to the SDP relaxation model will ensure that the solution is correct when applied to a triangulation graph. Since triangulation graphs are very sparse, this is informationally efficient, requiring an almost minimal amount of distance information. We also analyze a number objective functions for the SDP relaxation to solve the localization problem for a general graph.

math.MG↗

arXiv2011

A Dynamic Algorithm for Facilitated Charging of Plug-In Electric Vehicles

Plug-in Electric Vehicles (PEVs) are a rapidly developing technology that can reduce greenhouse gas emissions and change the way vehicles obtain power. PEV charging stations will most likely be available at home and at work, and occasionally be publicly available, offering flexible charging options. Ideally, each vehicle will charge during periods when electricity prices are relatively low, to minimize the cost to the consumer and maximize societal benefits. A Demand Response (DR) service for a fleet of PEVs could yield such charging schedules by regulating consumer electricity use during certain time periods, in order to meet an obligation to the market. We construct an automated DR mechanism for a fleet of PEVs that facilitates vehicle charging to ensure the demands of the vehicles and the market are met. Our dynamic algorithm depends only on the knowledge of a few hundred driving behaviors from a previous similar day, and uses a simple adjusted pricing scheme to instantly assign feasible and satisfactory charging schedules to thousands of vehicles in a fleet as they plug-in. The charging schedules generated using our adjusted pricing scheme can ensure that a new demand peak is not created and can reduce the consumer cost by over 30% when compared to standard charging, which may also increase peak demand by 3.5%. In this paper, we present our formulation, algorithm and results.

math.OC↗

arXiv2011

Existence of Positive Steady States for Mass Conserving and Mass-Action Chemical Reaction Networks with a Single Terminal-Linkage Class

We establish that mass conserving single terminal-linkage networks of chemical reactions admit positive steady states regardless of network deficiency and the choice of reaction rate constants. This result holds for closed systems without material exchange across the boundary, as well as for open systems with material exchange at rates that satisfy a simple sufficient and necessary condition. Our proof uses a fixed point of a novel convex optimization formulation to find the steady state behavior of chemical reaction networks that satisfy the law of mass-action kinetics. A fixed point iteration can be used to compute these steady states, and we show that it converges for weakly reversible homogeneous systems. We report the results of our algorithm on numerical experiments.

q-bio.MN↗

arXiv2011

A variational principle for computing nonequilibrium fluxes and potentials in genome-scale biochemical networks

We derive a convex optimization problem on a steady-state nonequilibrium network of biochemical reactions, with the property that energy conservation and the second law of thermodynamics both hold at the problem solution. This suggests a new variational principle for biochemical networks that can be implemented in a computationally tractable manner. We derive the Lagrange dual of the optimization problem and use strong duality to demonstrate that a biochemical analogue of Tellegen's theorem holds at optimality. Each optimal flux is dependent on a free parameter that we relate to an elementary kinetic parameter when mass action kinetics is assumed.

q-bio.MN↗

arXiv2011

Complexity of Unconstrained L_2-L_p Minimization

We consider the unconstrained $L_2$-$L_p$ minimization: find a minimizer of $\|Ax-b\|^2_2+λ\|x\|^p_p$ for given $A \in R^{m\times n}$, $b\in R^m$ and parameters $λ>0$, $p\in [0,1)$. This problem has been studied extensively in variable selection and sparse least squares fitting for high dimensional data. Theoretical results show that the minimizers of the $L_2$-$L_p$ problem have various attractive features due to the concavity and non-Lipschitzian property of the regularization function $\|\cdot\|^p_p$. In this paper, we show that the $L_q$-$L_p$ minimization problem is strongly NP-hard for any $p\in [0,1)$ and $q\ge 1$, including its smoothed version. On the other hand, we show that, by choosing parameters $(p,λ)$ carefully, a minimizer, global or local, will have certain desired sparsity. We believe that these results provide new theoretical insights to the studies and applications of the concave regularized optimization problems.

cs.CC↗

arXiv2011

Toward the Universal Rigidity of General Frameworks

Let (G,P) be a bar framework of n vertices in general position in R^d, d <= n-1, where G is a (d+1)-lateration graph. In this paper, we present a constructive proof that (G,P) admits a positive semi-definite stress matrix with rank n-d-1. We also prove a similar result for a sensor network where the graph consists of m(>= d+1) anchors.

math.MG↗

arXiv2010

On affine motions and bar frameworks in general position

A configuration p in r-dimensional Euclidean space is a finite collection of points (p^1,...,p^n) that affinely span R^r. A bar framework, denoted by G(p), in R^r is a simple graph G on n vertices together with a configuration p in R^r. A given bar framework G(p) is said to be universally rigid if there does not exist another configuration q in any Euclidean space, not obtained from p by a rigid motion, such that ||q^i-q^j||=||p^i-p^j|| for each edge (i,j) of G. It is known that if configuration p is generic and bar framework G(p) in R^r admits a positive semidefinite stress matrix S of rank n-r-1, then G(p) is universally rigid. Connelly asked whether the same result holds true if the genericity assumption of p is replaced by the weather assumption of general position. We answer this question in the affirmative in this paper.

math.MG↗

arXiv2009

Correlation Robust Stochastic Optimization

We consider a robust model proposed by Scarf, 1958, for stochastic optimization when only the marginal probabilities of (binary) random variables are given, and the correlation between the random variables is unknown. In the robust model, the objective is to minimize expected cost against worst possible joint distribution with those marginals. We introduce the concept of correlation gap to compare this model to the stochastic optimization model that ignores correlations and minimizes expected cost under independent Bernoulli distribution. We identify a class of functions, using concepts of summable cost sharing schemes from game theory, for which the correlation gap is well-bounded and the robust model can be approximated closely by the independent distribution model. As a result, we derive efficient approximation factors for many popular cost functions, like submodular functions, facility location, and Steiner tree. As a byproduct, our analysis also yields some new results in the areas of social welfare maximization and existence of Walrasian equilibria, which may be of independent interest.

cs.DS↗

arXiv2009

Statistical ranking and combinatorial Hodge theory

We propose a number of techniques for obtaining a global ranking from data that may be incomplete and imbalanced -- characteristics almost universal to modern datasets coming from e-commerce and internet applications. We are primarily interested in score or rating-based cardinal data. From raw ranking data, we construct pairwise rankings, represented as edge flows on an appropriate graph. Our statistical ranking method uses the graph Helmholtzian, the graph theoretic analogue of the Helmholtz operator or vector Laplacian, in much the same way the graph Laplacian is an analogue of the Laplace operator or scalar Laplacian. We study the graph Helmholtzian using combinatorial Hodge theory: we show that every edge flow representing pairwise ranking can be resolved into two orthogonal components, a gradient flow that represents the L2-optimal global ranking and a divergence-free flow (cyclic) that measures the validity of the global ranking obtained -- if this is large, then the data does not have a meaningful global ranking. This divergence-free flow can be further decomposed orthogonally into a curl flow (locally cyclic) and a harmonic flow (locally acyclic but globally cyclic); these provides information on whether inconsistency arises locally or globally. An obvious advantage over the NP-hard Kemeny optimization is that discrete Hodge decomposition may be computed via a linear least squares regression. We also investigated the L1-projection of edge flows, showing that this is dual to correlation maximization over bounded divergence-free flows, and the L1-approximate sparse cyclic ranking, showing that this is dual to correlation maximization over bounded curl-free flows. We discuss relations with Kemeny optimization, Borda count, and Kendall-Smith consistency index from social choice theory and statistics.

stat.ML↗

arXiv2009

Fast and Near-Optimal Matrix Completion via Randomized Basis Pursuit

Motivated by the philosophy and phenomenal success of compressed sensing, the problem of reconstructing a matrix from a sampling of its entries has attracted much attention recently. Such a problem can be viewed as an information-theoretic variant of the well-studied matrix completion problem, and the main objective is to design an efficient algorithm that can reconstruct a matrix by inspecting only a small number of its entries. Although this is an impossible task in general, Candès and co-authors have recently shown that under a so-called incoherence assumption, a rank $r$ $n\times n$ matrix can be reconstructed using semidefinite programming (SDP) after one inspects $O(nr\log^6n)$ of its entries. In this paper we propose an alternative approach that is much more efficient and can reconstruct a larger class of matrices by inspecting a significantly smaller number of the entries. Specifically, we first introduce a class of so-called stable matrices and show that it includes all those that satisfy the incoherence assumption. Then, we propose a randomized basis pursuit (RBP) algorithm and show that it can reconstruct a stable rank $r$ $n\times n$ matrix after inspecting $O(nr\log n)$ of its entries. Our sampling bound is only a logarithmic factor away from the information-theoretic limit and is essentially optimal. Moreover, the runtime of the RBP algorithm is bounded by $O(nr^2\log n+n^2r)$, which compares very favorably with the $Ω(n^4r^2\log^{12}n)$ runtime of the SDP-based algorithm. Perhaps more importantly, our algorithm will provide an exact reconstruction of the input matrix in polynomial time. By contrast, the SDP-based algorithm can only provide an approximate one in polynomial time.

cs.IT↗

arXiv2009

A Unified Framework for Dynamic Pari-Mutuel Information Market Design

Recently, several new pari-mutuel mechanisms have been introduced to organize markets for contingent claims. Hanson introduced a market maker derived from the logarithmic scoring rule, and later Chen and Pennock developed a cost function formulation for the market maker. On the other hand, the SCPM model of Peters et al. is based on ideas from a call auction setting using a convex optimization model. In this work, we develop a unified framework that bridges these seemingly unrelated models for centrally organizing contingent claim markets. The framework, developed as a generalization of the SCPM, will support many desirable properties such as proper scoring, truthful bidding (in a myopic sense), efficient computation, and guarantees on worst case loss. In fact, our unified framework will allow us to express various proper scoring rules, existing or new, from classical utility functions in a convex optimization problem representing the market organizer. Additionally, we utilize concepts from duality to show that the market model is equivalent to a risk minimization problem where a convex risk measure is employed. This will allow us to more clearly understand the differences in the risk attitudes adopted by various mechanisms, and particularly deepen our intuition about popular mechanisms like Hanson's market-maker. In aggregate, we believe this work advances our understanding of the objectives that the market organizer is optimizing in popular pari-mutuel mechanisms by recasting them into one unified framework.

q-fin.TR↗

arXiv2008

Stochastic Combinatorial Optimization under Probabilistic Constraints

In this paper, we present approximation algorithms for combinatorial optimization problems under probabilistic constraints. Specifically, we focus on stochastic variants of two important combinatorial optimization problems: the k-center problem and the set cover problem, with uncertainty characterized by a probability distribution over set of points or elements to be covered. We consider these problems under adaptive and non-adaptive settings, and present efficient approximation algorithms for the case when underlying distribution is a product distribution. In contrast to the expected cost model prevalent in stochastic optimization literature, our problem definitions support restrictions on the probability distributions of the total costs, via incorporating constraints that bound the probability with which the incurred costs may exceed a given threshold.

cs.DS↗

arXiv2008

Parimutuel Betting on Permutations

We focus on a permutation betting market under parimutuel call auction model where traders bet on the final ranking of n candidates. We present a Proportional Betting mechanism for this market. Our mechanism allows the traders to bet on any subset of the n x n 'candidate-rank' pairs, and rewards them proportionally to the number of pairs that appear in the final outcome. We show that market organizer's decision problem for this mechanism can be formulated as a convex program of polynomial size. More importantly, the formulation yields a set of n x n unique marginal prices that are sufficient to price the bets in this mechanism, and are computable in polynomial-time. The marginal prices reflect the traders' beliefs about the marginal distributions over outcomes. We also propose techniques to compute the joint distribution over n! permutations from these marginal distributions. We show that using a maximum entropy criterion, we can obtain a concise parametric form (with only n x n parameters) for the joint distribution which is defined over an exponentially large state space. We then present an approximation algorithm for computing the parameters of this distribution. In fact, the algorithm addresses the generic problem of finding the maximum entropy distribution over permutations that has a given mean, and may be of independent interest.

cs.GT↗

arXiv2007

A polynomial time $\frac 3 2$ -approximation algorithm for the vertex cover problem on a class of graphs

We develop a polynomial time 3/2-approximation algorithm to solve the vertex cover problem on a class of graphs satisfying a property called ``active edge hypothesis''. The algorithm also guarantees an optimal solution on specially structured graphs. Further, we give an extended algorithm which guarantees a vertex cover $S_1$ on an arbitrary graph such that $|S_1|\leq {3/2} |S^*|+ξ$ where $S^*$ is an optimal vertex cover and $ξ$ is an error bound identified by the algorithm. We obtained $ξ= 0$ for all the test problems we have considered which include specially constructed instances that were expected to be hard. So far we could not construct a graph that gives $ξ\not= 0$.

cs.DS↗

arXiv2004

On Solving Fewnomials Over Intervals in Fewnomial Time

Let f be a degree D univariate polynomial with real coefficients and exactly m monomial terms. We show that in the special case m=3 we can approximate within eps all the roots of f in the interval [0,R] using just O(log(D)log(Dlog(R/eps))) arithmetic operations. In particular, we can count the number of roots in any bounded interval using just O(log^2 D) arithmetic operations. Our speed-ups are significant and near-optimal: The asymptotically sharpest previous complexity upper bounds for both problems were super-linear in D, while our algorithm has complexity close to the respective complexity lower bounds. We also discuss conditions under which our algorithms can be extended to general m, and a connection to a real analogue of Smale's 17th Problem.

math.NA↗