论文标题

一个有效的可实现的不凝聚力熵近端算法,用于一类线性编程问题

An efficient implementable inexact entropic proximal point algorithm for a class of linear programming problems

论文作者

Chu, Hong T. M., Liang, Ling, Toh, Kim-Chuan, Yang, Lei

论文摘要

我们引入了一类特殊结构化的线性编程(LP)问题,该问题具有在不同领域的重要应用问题(例如最佳运输,离散断层扫描和经济学)的重要建模能力。为了有效地解决这些通常的大规模LP问题,我们将可实现的不精确熵近端算法(IEPPA)与易于实现的双块坐标下降方法结合在一起。与现有的熵型近端算法不同,我们的IEPPA采用更实际的可检查停止条件来解决相关的子问题,同时实现可证明的融合。此外,当解决容量约束多 - 界限最佳运输(CMOT)问题(我们的LP问题的特殊情况)时,我们的IEPPA能够绕过经常出现在流行的熵正则方法中的基本数值不稳定性问题,因为我们的algorithm不需要非常小的参数即可获得准确的解决方案。许多数值实验表明,我们的IEPPA对于解决大规模的CMOT问题是有效且健壮的。关于离散断层扫描问题的实验还突出了我们模型的潜在建模能力。

We introduce a class of specially structured linear programming (LP) problems, which has favorable modeling capability for important application problems in different areas such as optimal transport, discrete tomography and economics. To solve these generally large-scale LP problems efficiently, we design an implementable inexact entropic proximal point algorithm (iEPPA) combined with an easy-to-implement dual block coordinate descent method as a subsolver. Unlike existing entropy-type proximal point algorithms, our iEPPA employs a more practically checkable stopping condition for solving the associated subproblems while achieving provable convergence. Moreover, when solving the capacity constrained multi-marginal optimal transport (CMOT) problem (a special case of our LP problem), our iEPPA is able to bypass the underlying numerical instability issues that often appear in the popular entropic regularization approach, since our algorithm does not require the proximal parameter to be very small in order to obtain an accurate approximate solution. Numerous numerical experiments show that our iEPPA is efficient and robust for solving large-scale CMOT problems. The experiments on the discrete tomography problem also highlight the potential modeling power of our model.

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