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On the efficient computation of a generalized Jacobian of the projector over the Birkhoff polytope

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Abstract

We derive an explicit formula, as well as an efficient procedure, for constructing a generalized Jacobian for the projector of a given square matrix onto the Birkhoff polytope, i.e., the set of doubly stochastic matrices. To guarantee the high efficiency of our procedure, a semismooth Newton method for solving the dual of the projection problem is proposed and efficiently implemented. Extensive numerical experiments are presented to demonstrate the merits and effectiveness of our method by comparing its performance against other powerful solvers such as the commercial software Gurobi and the academic code PPROJ (Hager and Zhang in SIAM J Optim 26:1773–1798, 2016). In particular, our algorithm is able to solve the projection problem with over one billion variables and nonnegative constraints to a very high accuracy in less than 15 min on a modest desktop computer. More importantly, based on our efficient computation of the projections and their generalized Jacobians, we can design a highly efficient augmented Lagrangian method (ALM) for solving a class of convex quadratic programming (QP) problems constrained by the Birkhoff polytope. The resulted ALM is demonstrated to be much more efficient than Gurobi in solving a collection of QP problems arising from the relaxation of quadratic assignment problems.

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Notes

  1. https://www-01.ibm.com/software/commerce/optimization/cplex-optimizer/index.html.

  2. https://www.math.lsu.edu/~hozhang/Software.html.

  3. https://comcen.nus.edu.sg/services/hpc/about-hpc/.

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Acknowledgements

We would like to thank Professor Jong-Shi Pang at University of Southern California for his helpful comments on an early version of this paper and the referees for helpful suggestions to improve the quality of this paper.

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Authors and Affiliations

  1. School of Data Science and Shanghai Center for Mathematical Sciences, Fudan University, Shanghai, China

    Xudong Li

  2. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Hong Kong

    Defeng Sun

  3. Department of Mathematics and Institute of Operations Research and Analytics, National University of Singapore, 10 Lower Kent Ridge Road, Singapore, Singapore

    Kim-Chuan Toh

Authors
  1. Xudong Li
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  2. Defeng Sun
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  3. Kim-Chuan Toh
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Correspondence to Kim-Chuan Toh.

Additional information

The research of Defeng Sun was supported in part by a start-up research grant from the Hong Kong Polytechnic University. The research of Kim-Chuan Toh was supported in part by the Ministry of Education, Singapore, Academic Research Fund under Grant R-146-000-257-112.

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Li, X., Sun, D. & Toh, KC. On the efficient computation of a generalized Jacobian of the projector over the Birkhoff polytope. Math. Program. 179, 419–446 (2020). https://doi.org/10.1007/s10107-018-1342-9

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  • DOI: https://doi.org/10.1007/s10107-018-1342-9

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