Using Nemirovski's Mirror-Prox method as basic procedure in Chubanov's method for solving homogeneous feasibility problems. (4th July 2022)

• Record Type: Journal Article
• Authors: Wei, Zhang; Roos, Kees
• Is Part Of: Optimization methods and software. Volume 37:Number 4(2022)
• Page Start: 1447
• Page End: 1470
• Publication Date: 2022-07-04
• Subjects: Linear optimization -- Mirror-Prox method -- Chubanov's method -- homogeneous; 90C05 -- 90C46 -- 90C47; Mathematical optimization -- Periodicals; Algorithms -- Periodicals; 519.7
• DOI: 10.1080/10556788.2021.2023523
• Languages: English
• ISSNs: 1055-6788

Abstract

Abstract : We introduce a new variant of Chubanov's method for solving linear homogeneous systems with positive variables. In the Basic Procedure we use a recently introduced cut in combination with Nemirovski's Mirror-Prox method. We show that the cut requires at most O ( n 3 ) time, just as Chubanov's cut. In an earlier paper it was shown that the new cuts are at least as sharp as those of Chubanov. Our Modified Main Algorithm is in essence the same as Chubanov's Main Algorithm, except that it uses the new Basic Procedure as a subroutine. The new method has O ( n 3.5 log 2 ⁡ ( 1 / δ A ) ) time complexity, where δ A is a suitably defined condition number. As we show, a simplified version of the new Basic Procedure competes well with the Smooth Perceptron Scheme of Peña and Soheili and, when combined with Rescaling, also with two commercial codes for linear optimization.