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A Simple Method for Convex Optimization in the Oracle Model

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Integer Programming and Combinatorial Optimization (IPCO 2022)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 13265))

Abstract

We give a simple and natural method for computing approximately optimal solutions for minimizing a convex function f over a convex set K given by a separation oracle. Our method utilizes the Frank–Wolfe algorithm over the cone of valid inequalities of K and subgradients of f. Under the assumption that f is L-Lipschitz and that K contains a ball of radius r and is contained inside the origin centered ball of radius R, using \(O(\frac{(RL)^2}{\varepsilon ^2} \cdot \frac{R^2}{r^2})\) iterations and calls to the oracle, our main method outputs a point \(x \in K\) satisfying \(f(x) \le \varepsilon + \min _{z \in K} f(z)\).

Our algorithm is easy to implement, and we believe it can serve as a useful alternative to existing cutting plane methods. As evidence towards this, we show that it compares favorably in terms of iteration counts to the standard LP based cutting plane method and the analytic center cutting plane method, on a testbed of combinatorial, semidefinite and machine learning instances.

This project has received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation programme (grant agreement QIP–805241).

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Notes

  1. 1.

    https://github.com/christopherhojny/supplement_simple-iterative-methods-linopt-convex-sets.

  2. 2.

    https://github.com/christopherhojny/supplement_simple-iterative-methods-linopt-convex-sets.

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Acknowledgments

We would like to thank Robert Luce and Sebastian Pokutta for their very valuable feedback on our work.

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Authors and Affiliations

  1. Centrum Wiskunde and Informatica, Amsterdam, The Netherlands

    Daniel Dadush & Sophie Huiberts

  2. Eindhoven University of Technology, Eindhoven, The Netherlands

    Christopher Hojny

  3. Technical University of Munich, Munich, Germany

    Stefan Weltge

Authors
  1. Daniel Dadush
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  2. Christopher Hojny
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  3. Sophie Huiberts
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  4. Stefan Weltge
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Correspondence to Stefan Weltge .

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Editors and Affiliations

  1. Delft University of Technology, Delft, The Netherlands

    Karen Aardal

  2. Eindhoven University of Technology, Eindhoven, The Netherlands

    Laura Sanità

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Dadush, D., Hojny, C., Huiberts, S., Weltge, S. (2022). A Simple Method for Convex Optimization in the Oracle Model. In: Aardal, K., Sanità, L. (eds) Integer Programming and Combinatorial Optimization. IPCO 2022. Lecture Notes in Computer Science, vol 13265. Springer, Cham. https://doi.org/10.1007/978-3-031-06901-7_12

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  • DOI: https://doi.org/10.1007/978-3-031-06901-7_12

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