global optimality conditions in non-convex optimization
TRANSCRIPT
IntroductionComplexity Issues
Optimality ConditionsReferences
Global optimality conditions in non-convexoptimization
Panos M. PardalosDistinguished Professor Center For Applied Optimization,Industrial and Systems Engineering, University of Florida,
Florida, USA.National Research University Higher School of Economics,
Laboratory of Algorithms and Technologies for Network Analysis,Nizhny Novgorod, Russia
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Outline
1 Introduction
2 Complexity IssuesComplexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
3 Optimality ConditionsOptimality conditions in combinatorial optimizationMin-max optimality conditionsOptimality Conditions for Lipschitz functions
4 References
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Introduction
Greek mathematicians solved optimally some problems related to their geometrical studies.
Euclid considered the minimal distance between a point and a line.
Heron proved that light travels between two points through the path with shortest length when reflectingfrom a mirror.
Optimality in Nature
Fermat’s principle (principle of least time)
Hamilton’s principle (principle of stationary action)
Maupertuis’ principle (principle of least action)
Optimality in Biology:
Optimality Principles in Biology (R. Rosen, New York: Plenum Press, 1967).
Example: What determines the radius of the aorta? The human aortic radius is about 1.5cm (minimize thepower dissipated through blood flow)
1951: H.W. Kuhn and A.W. Tucker, Optimality conditions for nonlinear problems.F. John in 1948 and W. Karush in 1939 had presented similar conditions
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Complexity of Kuhn-Tucker Conditions
Consider the following quadratic problem:
min f (x) = cT x +1
2xTQx
st. x ≥ 0,
where Q is an arbitrary n× n symmetric matrix, x ∈ Rn. The KKToptimality conditions for this problem become so-called linearcomplementarity problem (LCP(Q, c))
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Complexity of Kuhn-Tucker Conditions
Linear complementarity problem LCP(Q, c) is formulated asfollows.Find x ∈ Rn (or prove that no such an x exists) such that:
Qx + c ≥ 0, x ≥ 0
xT (Qx + c) = 0.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Theorem
Theorem (Horst, Pardalos, Thoai, 1994 - [5])
The problem LCP(Q, c) is NP-hard.
Proof.
Consider the following LCP(Q, c) problem in Rn+3 defined by
Q(n+3)×(n+3) =
−In en −en 0n
eTn −1 −1 −1−eT
n −1 −1 −10Tn −1 −1 −1
, cTn+3 = (a1, . . . , an,−b, b, 0),
where ai , i = 1, . . . , n, and b are positive integers, In is the n × n-unitmatrix and the vectors en ∈ Rn, 0n ∈ Rn are defined by
eTn = (1, 1, . . . , 1), 0T
n = (0, 0, . . . , 0).
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Theorem (Continue)
Proof.
Consider the following knapsack problem. Find a feasible solution to thesystem
n∑i=1
aixi = b, xi ∈ {0, 1} (i = 1, . . . , n).
This problem is known to be NP-complete. We will show that LCP(Q, c)is solvable iff the associated knapsack problem is solvable.If x solves the knapsack problem, then y = (a1x1, . . . , anxn, 0, 0, 0)T
solves LCP(Q, c).
Conversely, assume y solves the considered LCP(Q, c). This implies that∑ni=1 yi = b and 0 ≤ yi ≤ ai . Finally, if yi < ai , then yT (Qy + c) = 0
enforces yi = 0. Hence, x = ( y1
a1, . . . , ynan ) solves the knapsack
problem.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Complexity of local minimization
Consider following quadratic problem:
min f (x)
s.t. Ax ≥ b, x ≥ 0
where f (x) is an indefinite quadratic function. We showed, thatthe problem of checking local optimality for a feasible point andthe problem of checking whether a local minimum is strict areNP-hard.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
3-satisfiability problem
Consider the 3-satisfiability (3-SAT) problem: given a set ofBoolean variables x1, . . . , xn and given a Boolean expression S (inconjunctive normal form) with exactly 3 literals per clause,
S =m∧i=1
(3∨
j=1
lij), lij ∈ {xi , x̄i |i = 1, . . . , n}
is there a truth assignment for the variables xi which makes S true?
The 3-SAT problem is known to be NP-complete.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Construction of indefinite quadratic problem instances
For each instance of a 3-SAT problem we construct an instance of anoptimization problem in the real variables x0, . . . , xn. For each clause in Swe associate a linear inequality in a following way:
If lij = xk , we retain xk
If lij = x̄k we use 1− xk
We add an additional variable x0 and require that the corresponding sumis greater than or equal to 3
2 . Thus, we associate to S a system of linearinequalities Asx ≥ (3/2 + c). Let D(S) ⊂ Rn+1 be a feasible set ofpoints satisfying these constraints.With a given instance of the 3-SAT problem we associate the followingindefinite quadratic problem:
minx∈D(S)
f (x) = −n∑
i=1
(xi − (1/2− x0))(xi − (1/2 + x0)).
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Complexity of local minimization
Theorem (Pardalos, Schnitger, 1988 - [6])
S is satisfiable iff x∗ = (0, 1/2, . . . , 1/2)T is not a strict minimumS is satisfiable iff x∗ = (0, 1/2, . . . , 1/2)T is not a local minimum
Corollary
For a quadratic indefinite problem the problem of checking localoptimality for a feasible point and the problem of checking whethera local minimum is strict are NP-hard.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Complexity of checking convexity of a function
The role of convexity in modern day mathematicalprogramming has proven to be fundamental
The great watershed in optimization is not between linearityand nonlinearity, but convexity and nonconvexity(R. Rockafellar)
The tractability of a problem is often assessed by whether theproblem has some sort of underlying convexity.
Can we decide in an efficient manner if a given optimizationproblem is convex?
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Complexity of checking convexity of a function
One of seven open problems in complexity theory for numericaloptimization (Pardalos, Vavasis, 1992 - [7]):
Given a degree-4 polynomial in n variables, what is the complexityof determining whether this polynomial describes a convexfunction?
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Theorem
Theorem (Ahmadi et al., 2011)
Deciding convexity of degree four polynomials is strongly NP-hard.This is true even when the polynomials are restricted to behomogeneous (all terms with nonzero coefficients have the sametotal degree).
Corollary (Ahmadi et al., 2011)
It is NP-hard to check convexity of polynomials of any fixed evendegree d ≥ 4.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Theorem
Theorem (Ahmadi et al., 2011)
It is NP-hard to decide strong convexity of polynomials of anyfixed even degree d = 4.
Theorem (Ahmadi et al., 2011)
It is NP-hard to decide strict convexity of polynomials of any fixedeven degree d = 4.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Theorem
Theorem (Ahmadi et al., 2011)
For any fixed odd degree d, the quasi-convexity of polynomials ofdegree d can be checked in polynomial time.
Corollary (Ahmadi et al., 2011)
For any fixed odd degree d, the pseudoconvexity of polynomials ofdegree d can be checked in polynomial time.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
Theorem
Theorem (Ahmadi et al., 2011)
It is NP-hard to check quasiconvexity/pseudoconvexity of degreefour polynomials. This is true even when the polynomials arerestricted to be homogeneous.
Corollary (Ahmadi et al., 2011)
It is NP-hard to decide quasiconvexity of polynomials of any fixedeven degree d ≥ 4.
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
Optimality ConditionsReferences
Complexity of Kuhn-Tucker ConditionsComplexity of local minimizationComplexity of checking convexity of a function
The complexity results described above can be summarized in thefollowing table [1]:
Global optimality conditions in non-convex optimization
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Linear Complementarity problem formulated as MIP
Theorem (Pardalos, Rosen, 1988)
The following mixed integer linear program
max α
s.t. 0 ≤ My + αq ≤ z ,
0 ≤ y ≤ e − z , z ∈ {0, 1}n, 0 ≤ α ≤ 1,
associated to the LCP(M,q) with q 6= 0 has an optimal solution(y∗, z∗, α∗) satisfying α∗ ≥ 0.The LCP has a solution, and x∗ = y∗
α∗ is a solution, if and only ifα∗ > 0.
The LCP is equivalent to the linear integer feasibility problem
Global optimality conditions in non-convex optimization
IntroductionComplexity Issues
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Optimality conditions in combinatorial optimizationMin-max optimality conditionsOptimality Conditions for Lipschitz functions
Motzkin-Strauss formulation for maximum clique
Let A be the adjacency matrix of a graph G . We write u ∼ v if uand v are distinct and adjacent, and u 6∼ v otherwise. Consider theMotzkin - Strauss formulation (also called the Motskin-StraussQP) of the Maximum Clique Problem:
max xTAx/2 (P)
s.t. eT x = 1
x ≥ 0
The simplex of feasible solutions of P we denote by 4n.
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Necessary Optimality Conditions
First Order (KKT) Conditions:
−Ax + λe − µ = 0 (1)
xT e = 1
x ≥ 0
µ ≥ 0
µuxu = 0 ∀u
Second Order (KKT) Conditions:
Let Z (x) = {u|xu = 0}. (2)
− yTAy ≥ 0, ∀y s.t.yT e = 0, yu = 0 ∀u ∈ Z (x).
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Necessary Optimality Conditions
Since the constraints of P are simplex constraints, regularityconditions always hold, and hence both (1) and (2) arenecessary for a solution to be locally (globally) optimal.
The following chain of inclusions takes place:
global optimal solutions ⊂ locally optimal solutions
⊂ second order points
⊂ first order points.
Global optimality conditions in non-convex optimization
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Optimality conditions in combinatorial optimizationMin-max optimality conditionsOptimality Conditions for Lipschitz functions
A key semidefiniteness lemma
Lemma (L. E. Gibbons, D. W. Hearn, P. M. Pardalos, M. V.Ramana, 1997)
Let G = (V ,E ) be a graph whose adjacency matrix is A. LetS ⊂ V , T = V \S, and define the polyhedral cone:
Y = {y |yT e = 0, yv ≥ 0 ∀v ∈ T}.
Then the following are equivalent.
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A key semidefiniteness lemma (Continue)
Lemma
(1) A is negative semidefinite over the cone Y , i.e., yTAy ≤ 0 ∀y ∈ Y .(2) If u, v ,w ∈ V , u 6∼ v , u 6∼ w , v ∼ w, then either u, v ∈ T oru, w ∈ T .(3) The node sets S ,T can be partitioned as:
S = S1 ∪ S2 ∪ · · · ∪ Sl , T = T0 ∪ T1 ∪ · · · ∪ Tl ,
such that(a) Each Si is nonempty.(b) Si ∪ Ti is an independent set for every i = 1, . . . , l .(c) For all i 6= j , every vertex in Si ∪ Ti is adjacent to every vertex in Sj .(d) Every node of T0 is adjacent to every node in S.
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First order solutions
Theorem
Let x ∈ 4n, and S(x) = {u|xu > 0}. Then x is a first order pointif and only if the vector
µ = (xTAx)e − Ax
satisfies µ ≥ 0 and µu = 0 ∀u ∈ S(x).
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Second order solutions
Theorem
Let x be a feasible solution to P, and let H be the inducedsubgraph of G indexed on S(x), the support of x. Then x is asecond order point if and only if the following hold:(1) H is a complete l-partite graph (for some l), with the partitionS(x) = S1 ∪ . . . sl , with each Si being nonempty. U Si, with eachSi being nonempty.(2)
∑u∈Sj xu = 1/l ∀j = 1, . . . , l .
(3) Ax ≤ (1− 1/l)eAlso, if x is a second order point, then f (x) is 1
2 (1− 1/l), andλ = 1− 1/l , where λ is the Lagrange multiplier associated withthe constraint eT x = 1 in P.
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Locally optimal solutions
Theorem
Let x ∈ 4n. Then x is a local maximum of P if and only if there existsan integer l such that, with
λ := 1− 1/l , S := {u|xu > 0}, T := {u|xu = 0, (Ax)u = λ},
we have(1) Ax ≤ λe.(2) (Ax)u = λ ∀u ∈ S (3) There exist partitions of S and T ,
S = S1 ∪ · · · ∪ Sl , T = T1 ∪ · · · ∪ Tl ,
such that(a) Si 6= ∅ ∀i = 1, . . . , l .(b) Si ∪ Ti is independent for every i .(c) i 6= j , u ∈ Si ∪ Ti , v ∈ Sj ⇒ u ∼ v .
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Minimizing the rank of a matrix
Consider a problem of minimizing the rank of a matrix:
min f (A) := rank of A
s.t. A ∈ C ,
where C is a subset of Mm,n(R)(the vector space of m by n realmatrices).
Theorem (Hiriart-Urruty, 2011)
Every admissible point in the above problem is a local minimizer.
Comment: The result is somehow strange: the various generalizedsubdifferentials, including Clarkes one, all coincide and, of course,contain the zero element.
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Min-max optimality conditions
Consider a problem:
minx∈X
maxi∈I
fi (x),
where X is a convex region id a d-dimensional Euclidian space Rn,I is a finite index set, and the fi (x) are continuous functions overX . A subset Z of X is called an extreme subset of X if
x , y ∈X
λx + (1− λ)y ∈ Z for some 0 < λ <l
}⇒ x , y ∈ Y
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Min-max optimality conditions
Theorem (Du, Pardalos, 1993)
Let f (x , y) be a continuous function on X × Y where X is apolytope in Rm and Y is a compact set in Rn. Letg(x) = maxy∈Y f (x , y). If (x , y) is concave with respect to x, thenthe minimum value of g(x) over X is achieved at some point x̂satisfying the following condition:(*) There exists an extreme subset Z of X such that x̂ ∈ Z andthe set I (x̂) = {y |g(x̂) = f (x̂ , y)} is maximal over Z .
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General localization theorem
Theorem (Georgiev, Pardalos, Chinchuluun, 2008 - [4])
Suppose that Y is a compact topological space, X ⊂ Rn is acompact polyhedron, f : X × Y → R is a continuous function andf (·, y) is concave for every y ∈ Y . Define g(x) = maxy∈Y f (x , y).Then the minimum of g over X is attained at some generalizedvertex x̂ .
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Optimality Conditions for Lipschitz functions
Consider following notations:
E - Banach space with dual E ∗;
‖ · ‖ and ‖ · ‖∗ - the norms in E and E ∗ respectively;
BE and BE∗ - closed unit balls of E and E ∗ respectively;
D - closed and nonempty subset of E .
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Clarke’s subdifferential
Consider a locally Lipschitz function f : E → R. The Clarke’ssubdifferential is given by (Clarke, 1990 - [2]):
∂f (x) ={
x∗ ∈ E ∗ : 〈x∗, h〉 ≤ f ◦(x ; h) ∀h ∈ E},
where
f ◦(x ; h) = lim supu→x ,t↓0
f (u + th)− f (u)
t
is the Clarke directional derivative of f at x in the direction h.
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Clarke’s regularity
If the regular directional derivative of f at x in direction h
f ′(x ; h) = limt↓0
f (x + th)− f (x)
t
exists and f ′(x ; h) = f ◦(x ; h) for every h ∈ E , then f is calledregular in sense of Clarke.
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Optimality Conditions
Suppose the following locally Lipschitz functions are given:
gi : E → R, i ∈ I ∪ {0},hj : E → R, j ∈ J.
where
I = {1, 2, ..., n}J = {1, 2, ...,m}.
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Optimality Conditions
Consider the following minimization problem:{minimize g0(x)
subject to x ∈ D, gi (x) ≤ 0, hj(x) = 0 (i ∈ I , j ∈ J).(1)
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Optimality Conditions
Denote ND(x) the generalized normal cone in the sense of Clarkeat x ∈ D (Clarke, 1990):
ND(x) = {x∗ ∈ E ∗ : ∃t > 0, x∗ ∈ t∂d(x ,D)},
where d(.,D is the distance function:
d(x ,D) = inf{‖x − y‖ : y ∈ D}.
When D is convex, then ND(x) coincides with the classical normalcone in the sense of convex analysis N(D, x) [2].
Global optimality conditions in non-convex optimization
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Optimality Conditions
Theorem (Georgiev, Chinchuluun, Pardalos, 2011 - [3])
Consider the following minimization problem:{minimize f (x)
subject to x ∈ D,(2)
where f : D → R is a locally Lipschitz function, D is a nonempty closedconvex subset of a Banach space E . Denote the level set of f at c on Dby
Dc(f ) = {y ∈ D : f (y) = c}.
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Optimality Conditions
Theorem
a) Sufficient condition for a global minimum.If the following qualification condition holds:
∂f (y) ∩ N(D, y) = ∅ ∀y ∈ Df (z)(f ), (3)
then the condition
− ∂f (y) ⊂ N(D, y) ∀y ∈ Df (z)(f ) (4)
is sufficient for z ∈ D to be a global solution to Problem (2).b) Necessary condition for a global minimum.
If −f is regular in sense of Clarke, then the condition (4) is necessary for
z ∈ D to be a global solution to Problem (2).
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Special Case
The function f is concave and the space is finite dimensional andEuclidean. Then the condition (4) was refined (Strekalovsky, 1987)by replacing the set Df (z)(f ) with the following set:
Dconcavef (z) (f ) = {y ∈ D : f (y) = f (z), y is an extreme point of D}.
This refinement reflects the fact that the minimum of a concavefunction over a convex set is attained at an extreme point.
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Special Case
The function f is a maximum of concave functions:
f (x) = maxy∈Y
g(x , y),
where g(., y) is concave for every y ∈ Y , Y being a compacttopological space and
g : X × Y → R
is continuous.
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Open Question
Is it possible to refine the condition (4) in sense to replace the setDf (z)(f ) with the following set
Dmax ,concf (z) (f ) = {y ∈ D : f (y) = f (z), y is a generalized vertex of D}?
The motivation for this question is the following result (Georgiev,Chinchuluun, Pardalos, 2008 - [4]): the global minimum of f overD is attained at some generalized vertex of D.
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References
A.A. Ahmadi, A. Olshevsky, P.A. Parrilo, and J.N. Tsitsiklis.
Np-hardness of deciding convexity of quartic polynomials and related problems.Mathematical Programming, pages 1–24, 2011.
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Optimality conditions of first order for global minima of locally lipschitz functions.Optimization, 60, 1(2):277–282, 2011.
P.G. Georgiev, P.M. Pardalos, and A. Chinchuluun.
Localization of minimax points.Journal of Global Optimization, 40(1):489–494, 2008.
R. Horst, P.M. Pardalos, and N.V. Thoai.
Introduction to global optimization.Springer, 2000.
P.M. Pardalos and G. Schnitger.
Checking local optimality in constrained quadratic programming is np-hard.Operations Research Letters, 7(1):33–35, 1988.
P.M. Pardalos and S.A. Vavasis.
Open questions in complexity theory for numerical optimization.Mathematical Programming, 57(1):337–339, 1992.
Global optimality conditions in non-convex optimization