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An accelerated Newton–Dinkelbach method and its application to two variables per inequality systems

Dadush, Daniel, Koh, Zhuan Khye, Natura, Bento and Végh, László A. ORCID: 0000-0003-1152-200X (2022) An accelerated Newton–Dinkelbach method and its application to two variables per inequality systems. Mathematics of Operations Research. ISSN 0364-765X (In Press)

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Abstract

We present an accelerated, or ‘look-ahead’ version of the Newton–Dinkelbach method, a wellknown technique for solving fractional and parametric optimization problems. This acceleration halves the Bregman divergence between the current iterate and the optimal solution within every two iterations. Using the Bregman divergence as a potential in conjunction with combinatorial arguments, we obtain strongly polynomial algorithms in three applications domains: (i) For linear fractional combinatorial optimization, we show a convergence bound of O(m log m) iterations; the previous best bound was O(m2 log m) by Wang et al. (2006). (ii) We obtain a strongly polynomial label-correcting algorithm for solving linear feasibility systems with two variables per inequality (2VPI). For a 2VPI system with n variables and m constraints, our algorithm runs in O(mn) iterations. Every iteration takes O(mn) time for general 2VPI systems, and O(m+n log n) time for the special case of deterministic Markov Decision Processes (DMDPs). This extends and strengthens a previous result by Madani (2002) that showed a weakly polynomial bound for a variant of the Newton–Dinkelbach method for solving DMDPs. (iii) We give a simplified variant of the parametric submodular function minimization result by Goemans et al. (2017).

Item Type: Article
Additional Information: © Institute for Operations Research and the Management Sciences.
Divisions: Statistics
Mathematics
Subjects: Q Science > QA Mathematics
Date Deposited: 28 Oct 2022 09:39
Last Modified: 28 Oct 2022 09:45
URI: http://eprints.lse.ac.uk/id/eprint/117202

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