Tuesday, June 12, 2018

Elementary intro to infeasibility certificates

We occasionally receive support questions asking about the meaning and practical use of infeasibility certificates, usually when the user expected the problem to be feasible. While an infeasibility certificate is a well-defined mathematical object based on Farkas' lemma, it is not intuitive for everyone how to use it to address the basic question of "What is wrong with my problem formulation?". We will try to explain this on a very simple example.

In this post we don't even consider optimization, but restrict to elementary linear algebra. Suppose we want to find a solution to a system of linear equations:

$$\begin{array}{llllllllllll} & 2x_1 & - & x_2 & + & x_3 & - & 3x_4 & + & x_5 & = & 1, \\ & & & x_2 & -& 2x_3 & & & +& x_5 & = & -1,\\ & 3x_1 & & & - & x_3 & - & x_4 & & & = & 2, \\ & 2x_1 & + & x_2 & - & 3x_3 & - & 3x_4 & + & 3x_5 & = & -0.5. \end{array}$$

This system of linear equations is in fact infeasible (has no solution). One way to see it is to multiply the equations by coefficients given on the right-hand side and add them up:

$$\begin{array}{lllllllllllll} & 2x_1 & - & x_2 & + & x_3 & - & 3x_4 & + & x_5 & = & 1 & / \cdot (-1) \\ & & & x_2 & -& 2x_3 & & & +& x_5 & = & -1 & / \cdot (-2) \\ & 3x_1 & & & - & x_3 & - & x_4 & & & = & 2 & / \cdot 0 \\ & 2x_1 & + & x_2 & - & 3x_3 & - & 3x_4 & + & 3x_5 & = & -0.5 & / \cdot 1 \\ \hline & & & & & & & & & 0 & = & 0.5. & \end{array}$$

We get an obvious contradiction, which proves the system has no solution. The vector

$$y = [-1, -2, 0, 1]$$

of weights used above is therefore a proof (certificate) of infeasibility. MOSEK produces such a certificate automatically. Here is a simple script in MATLAB that computes precisely that vector:

As output we get:

• General theory guarantees that the dual variable y is a convenient place that can store the certificate.
• When a system of equations has no solution then an appropriate certificate is guaranteed to exist. This is a basic variant of Farkas' lemma, but it should be intuitively clear: your favorite method of solving linear systems (for instance Gaussian elimination) boils down to taking  successive linear combinations of equations, a process which ends up either with a solution or with an "obvious" contradiction of the form $0=1$.

Using the certificate to debug a model

In the example above $y_3=0$ which means that the third equation does not matter: infeasibility is caused already by some combination of the 1st, 2nd and 4th equation. In many practical situations the infeasibility certificate $y$ will have very few nonzeros, and those nonzeros determine a subproblem (subset of equations) which alone cause infeasibility. The user can configure MOSEK to print an infeasibility report, which in our example will look like:

This report is nothing else than a listing of equations with nonzero entries in $y$, and $y$ is the difference between Dual lower and Dual upper. Analyzing this set (which hopefully is much smaller than the full problem) can help locate a possible modeling error which makes the problem infeasible.

To conclude, let us now phrase the above discussion in matrix notation. A linear equation system

$$Ax=b$$

is infeasible if and only if there is a vector $y$ such that

$$A^Ty = 0 \quad \mbox{and}\quad b^Ty \neq 0.$$

The situation is analogous for linear problems with inequality constraints. We will look at an example of that in another blog post.

Thursday, May 31, 2018

Perspective functions (and Luxemburg norms)

If $\varphi:\mathbb{R}_+\to\mathbb{R}$ is a convex function then its perspective function $\tilde{\varphi}:\mathbb{R}_+\times\mathbb{R}_+\to\mathbb{R}$ is defined as
$$\tilde{\varphi}(x,y) = y\varphi(\frac{x}{y}).$$
Moreover, under these conditions, the epigraph of the perspective function
$$\left\{(t,x,y)~:~t\geq y\varphi(\frac{x}{y})\right\}$$
(or, to be precise, its appropriate closure) is a convex cone. Here are some familiar examples:

• $\varphi(x)=x^2$. Then $\tilde{\varphi}(x,y)=\frac{x^2}{y}$, familiar to some as quad-over-lin. The epigraph of $\tilde{\varphi}$, described by $ty\geq x^2$, is the Lorentz cone (rescaled rotated quadratic cone).
• $\varphi(x)=x^p$. Then $\tilde{\varphi}(x,y)=\frac{x^p}{y^{p-1}}$ and the epigraph of $\tilde{\varphi}$, described equivalently by $t^{1/p}y^{1-1/p}\geq |x|$ is the 3-dimensional power cone (with parameter $p$).
• $\varphi(x)=\exp(x)$. Then the epigraph $t\geq y\exp(x/y)$ is the exponential cone.
• $\varphi(x)=x\log(x)$. Then the epigraph $t\geq x\log(x/y)$ is the relative entropy cone.

We bring this up in connection with a series of blogposts by Dirk Lorenz here and here. For a monotone increasing, convex, nonnegative $\varphi$ with  $\varphi(0)=0$ he defines a norm on $\mathbb{R}^n$ via
$$\|x\|_\varphi=\inf\left\{\lambda>0~:~\sum_i\varphi\left(\frac{|x_i|}{\lambda}\right)\leq 1\right\},$$
and we can ask when the norm bound $t\geq \|x\|_\varphi$ is conic representable. The answer is: if the epigraph of the perspective function $\tilde{\varphi}$ is representable, then so is the epigraph of $\|\cdot\|_\varphi$. The reason is that the inequality
$$\sum_i\varphi\left(\frac{|x_i|}{t}\right)\leq 1$$
is equivalent to
$$\begin{array}{ll} w_i\geq |x_i| & i=1,\ldots,n,\\ s_i\geq t\varphi\left(\frac{w_i}{t}\right) & i=1,\ldots,n,\\ t=\sum_i s_i. & \end{array}$$
That covers for example $\varphi(x)=x^2$, $\varphi(x)=x^p$ ($p>1$), $\varphi(x)=\exp(x)-1$, $\varphi(x)=x\log(1+x)$ and so on.
 Figure: smallest $(\exp(x)-1)$-Luxemburg-norm disk containing a random set of points.

Wednesday, May 9, 2018

New Modeling Cookbook

We released a new, revised version of the MOSEK Modeling Cookbook

where you can find practical modeling examples and some theory behind:
• linear optimization,
• the power cone,
• the exponential cone (relative entropy cone),
• semidefinite optimization,
• duality in linear and conic optimization,
• mixed-integer optimization,
• and numerical issues.
The Modeling Cookbook is a general compendium of practical conic optimization. It is a generic mathematical publication without any code samples or references to the MOSEK API, although it covers areas of optimization that are supported by MOSEK 8 or the upcoming MOSEK 9.

Monday, March 26, 2018

Progress on the pooling problem and new reformulation techniques

On the 8th of March 2018, an interesting paper on the pooling problem landed on arxiv. The authors take the pq-formulation, known to have the strongest continuous relaxation, and strengthen it further it by adding convex hull-describing valid inequalities for subproblems -- one for each (product, attibute, pool)-combination. Two of the inequalities are linear, one is conic quadratic, and the final is general convex. We took up the challenge and also cast the latter on conic quadratic form. Here is what we learned.

The inequality is this:
$$\label{eq:cut} \overline{\beta}(\overline{\gamma} x - u) + h(y, v) \leq \overline{\beta}(\overline{\gamma} - t),$$

valid on $y > 0$ when
$$h(y,v) := A y + B g(y,v),\quad g(y,v) := \frac{yv}{y+v},\quad v \geq 0,$$

where $A = \overline{\gamma}-\underline{\gamma} > 0$ and $B = \underline{\gamma} < 0$ are coefficients. The challenge is first to put this on conic quadratic form, and then to extend its validity to all of $y \in \mathbb{R}$, while staying tight on $y > 0$. On the first challenge of conic representability, our analysis led to a small surprise, namely, the possibility to represent harmonic means (see this blog post). The inequality $\eqref{eq:cut}$ is thus representable on $y > 0$ by $\overline{\beta}(\overline{\gamma} x - u) + h \leq \overline{\beta}(\overline{\gamma} - t)$ and
$$\label{eq:repr:ypos} h = A y + B g,\quad \left(\begin{matrix}0.5 (y-g)\\ y+v\\ y\end{matrix}\right) \in Q_r^3,\quad v \geq 0.$$

We stress that the conic form is a proof of convexity. Next is the challenge of extending this representation to be valid on all of $y \in \mathbb{R}$, while staying tight on $y > 0$. That is, as proven in the paper, we need to extend the representation such that $h \leq 0$ on $y \leq 0$. Notably, however, the current representation in $\eqref{eq:repr:ypos}$ fails this criterion as shown by the graph of $h(y, 5)$ where $A=1$ and $B=-3$.

For this task we deploy another reformulation technique which, in lack of better names, may be denoted as stretching the extremum. The idea is to locally, in the representation of $h(y,v)$, exchange $y$ by $\hat{y} = y + s$ for some amount of stretch $\underline{s} \leq s \leq \overline{s}$. To see the effect of this let $y_{min} = \arg\min_{y \in \mathbb{R}} h(y,v)$, and note that
$$\min_{s \in \mathbb{R}} h(y+s,v) = \begin{cases} h(y+\overline{s},v), & {\rm if\ } y_{min} \geq y+\overline{s}, \\ h(y_{min},v), & {\rm if\ } y+\underline{s} \leq y_{min} \leq y+\overline{s},\\ h(y+\underline{s},v), & {\rm if\ } y+\underline{s} \geq y_{min}. \end{cases}$$

The visual interpretation of this is that we cut the graph of the function in two parts at $y_{min}$, move the two parts away from each other along the y-axis by amounts determined by $\underline{s}$ and $\overline{s}$, and finally fill in the gap with the extremum value $h(y_{min},v)$. In case of $\eqref{eq:repr:ypos}$ we use $\underline{s} = 0$ and $\overline{s} = \infty$ to allow $h$ to take smaller values of $h(y,v)$ at any higher value of $y$. In the graphed example of $h(y, 5)$ above, we get that the lower bound on $h$ is relaxed to the left of the extremum.

As $h(0,v) = 0$ for all $v \geq 0$, we get the desired property that $h \leq 0$ is possible on $y \leq 0$. In conclusion, the globally valid conic quadratic representation of the convex inequality we started out from, is given by $\overline{\beta}(\overline{\gamma} x - u) + h \leq \overline{\beta}(\overline{\gamma} - t)$ and

$$h = A \hat{y} + B g,\quad \left(\begin{matrix}0.5 (\hat{y}-g)\\ \hat{y}+v\\ \hat{y}\end{matrix}\right) \in Q_r^3,\quad v \geq 0, \quad \hat{y} \geq y.$$

Friday, March 23, 2018

Easter holidays 2018

Support and sales will be closed for Easter holidays

from Thursday, March 29th until Monday, April 2nd (inclusive)

We wish everyone a good Easter.

MOSEK Team

Thursday, March 15, 2018

AOO Copenhagen 23rd April 2018

Again this year MOSEK is one of the sponsors of the Applications of Optimization day (AOO 2018), the annual meeting of the Danish Operational Research Society (DORS). It is a great opportunity to get in touch with people interested in various aspects of optimization.

The meeting will be held at Industriens Hus, in the very heart of Copenhagen (DK) on April 23rd, 2018. Please check the official web site for more information.

Wednesday, March 14, 2018

Harmonic mean, p-norms and extremely disciplined conic modeling

Contrary to what we inadverently claim in our modeling cookbook, there IS a conic quadratic model of the harmonic mean. More precisely, we can model the constraint
$$0\leq t\leq \frac{n}{\frac{1}{x_1}+\cdots+\frac{1}{x_n}},\quad x_i>0$$
Here is the model, which at the same time demonstrates the non-obvious fact that the right-hand side of (1) is actually concave. We call this approach extremely disciplined modelling, since by definition it prevents users from creating a non-convex model. We first notice that (1) is equivalent to
$$\sum_{i=1}^n\frac{t^2}{x_i}\leq nt$$
which can be written using rotated quadratic cones $2uv\geq w^2$, $u,v\geq 0$, as follows:
$$\begin{eqnarray} t^2\leq 2x_iy_i, &\quad i=1,\ldots,n \\ 2\sum_i y_i = nt. & \end{eqnarray}$$
For the special case $n=2$ we can model $t\leq \frac{2xy}{x+y}$ with just one rotated cone: this inequality is equivalent to $2(x-\frac12 t)(y-\frac12 t)\geq (\frac12t)^2$.

The same way we can model (and prove concativity of) a general "negative $p$-norm":
$$0\leq t\leq (\sum_i x_i^{-p})^{-1/p}$$
where $p>0$, $x_i>0$ and the harmonic mean corresponds to $p=1$ (up to a factor $n$). The equivalent version is
$$\sum_{i=1}^n\frac{t^{p+1}}{x_i^p}\leq t$$
$$\begin{eqnarray} |t|\leq x_i^{\frac{p}{p+1}} y_i^{\frac{1}{p+1}}, &\quad i=1,\ldots,n \\ \sum_i y_i = t. & \end{eqnarray}$$
Constraint (7) defines the three-dimensional power cone with exponents $(\frac{p}{p+1},\frac{1}{p+1})$. Conic models with the power cone will be expressible in Mosek 9, see https://themosekblog.blogspot.dk/2018/01/version-9-roadmap_31.html.