Prove2Me
Navigate
DiscoverCollectionsFormalpediaBlogsUsersMomentumMy Missions+
Prove2Me
⌕
Log in
← Collections

The OR Formalization Drive

Help us formalize the operations research literature in Lean.

640 completed missions

Missions

161–180 of 640
OpenCompletedAll
🏆Completed
Linear algebraNumerical AnalysisOperations Research+1·Captain: mikedeng1

Methods of Conjugate Gradients for Solving Linear Systems II: Each Conjugate Gradient Step Shortens the Error VectorResearch Paper

Motivation

The conjugate gradient method (cg-method) of Hestenes and Stiefel is the standard iterative solver for linear systems Ax=kAx=kAx=k with a symmetric positive definite matrix AAA. It is used for the large sparse systems of finite-element and finite-difference discretizations, as the inner solver of Newton-type and interior-point methods in optimization, and as the prototype of the Krylov subspace methods. Its original 1952 paper (Hestenes and Stiefel, J. Res. NBS 49(6), 1952) already presented it as two things at once: a direct method that reaches the exact solution in at most nnn steps, and a method of successive approximations whose intermediate estimates are useful in their own right.

The second view needs a guarantee that the intermediate estimates actually approach the solution. The method is built to decrease the AAA-weighted error f(x)=(h−x,A(h−x))f(x)=(h-x,A(h-x))f(x)=(h−x,A(h−x)), and the residual ∣k−Axi∣|k-Ax_i|∣k−Axi​∣ need not decrease (Section 18 of the paper, p. 432, notes that it can increase at every step). Theorem 6:3 of the paper supplies the guarantee in the plain Euclidean length: the distance ∣h−xi∣|h-x_i|∣h−xi​∣ from the estimate to the solution decreases strictly at every step, by an exactly computable amount. This mission formalizes that theorem together with the relations from Sections 5 and 6 of the paper on which its proof rests.

Timeline:

  • 1952: Hestenes and Stiefel introduce the method and prove, in one paper, finite termination (Theorems 4:2 and 5:2), the monotone decrease of the error function fff (Theorem 6:1), and the monotone decrease of the Euclidean error (Theorem 6:3). The later literature on cg as an iterative method for large sparse systems takes these properties as its starting point.

Setting

Let AAA be a real n×nn\times nn×n matrix that is symmetric and positive definite, let k∈Rnk\in\mathbb{R}^nk∈Rn, and let hhh be the solution of Ah=kAh=kAh=k. Write (x,y)=x1y1+⋯+xnyn(x,y)=x_1y_1+\cdots+x_ny_n(x,y)=x1​y1​+⋯+xn​yn​ and ∣x∣2=(x,x)|x|^2=(x,x)∣x∣2=(x,x). From an arbitrary starting point x0x_0x0​, the cg-method (5:1) computes estimates xix_ixi​, residuals rir_iri​ and direction vectors pip_ipi​ by

p0=r0=k−Ax0,ai=∣ri∣2(pi,Api),xi+1=xi+aipi,ri+1=ri−aiApi,bi=∣ri+1∣2∣ri∣2,pi+1=ri+1+bipi.p_0=r_0=k-Ax_0,\quad a_i=\frac{|r_i|^2}{(p_i,Ap_i)},\quad x_{i+1}=x_i+a_ip_i,\quad r_{i+1}=r_i-a_iAp_i,\quad b_i=\frac{|r_{i+1}|^2}{|r_i|^2},\quad p_{i+1}=r_{i+1}+b_ip_i .p0​=r0​=k−Ax0​,ai​=(pi​,Api​)∣ri​∣2​,xi+1​=xi​+ai​pi​,ri+1​=ri​−ai​Api​,bi​=∣ri​∣2∣ri+1​∣2​,pi+1​=ri+1​+bi​pi​.

The error vector of xix_ixi​ is yi=h−xiy_i=h-x_iyi​=h−xi​. The error function (4:5) is f(x)=(h−x,A(h−x))f(x)=(h-x,A(h-x))f(x)=(h−x,A(h−x)), which is nonnegative and vanishes only at x=hx=hx=h. The Rayleigh quotient (4:12) of a vector z≠0z\neq 0z=0 is μ(z)=(z,Az)/∣z∣2\mu(z)=(z,Az)/|z|^2μ(z)=(z,Az)/∣z∣2. The Lean development names these cgIter A k x₀ i (with fields .x, .r, .p), cgAlpha for aia_iai​, errorFun A h x and rayleigh A z.

Formalization targets

Goal: Theorem 6:3

For every step that the method performs, that is, every iii with ri≠0r_i\neq 0ri​=0,

∣yi∣2−∣yi+1∣2=f(xi+1)+f(xi)μ(pi)and∣yi+1∣<∣yi∣.|y_i|^2-|y_{i+1}|^2=\frac{f(x_{i+1})+f(x_i)}{\mu(p_i)}\qquad\text{and}\qquad |y_{i+1}|<|y_i| .∣yi​∣2−∣yi+1​∣2=μ(pi​)f(xi+1​)+f(xi​)​and∣yi+1​∣<∣yi​∣.

The paper writes the step from xi−1x_{i-1}xi−1​ to xix_ixi​; the Lean statement shifts the index by one. The goal holds for every dimension nnn, every symmetric positive definite AAA, every kkk and every x0x_0x0​.

Milestones

  1. Theorems 4:2 and 5:2: some m≤nm\le nm≤n has xm=hx_m=hxm​=h.
  2. Theorem 5:3, (5:6a): (pi,pj)=∣rj∣2∣pi∣2/∣ri∣2(p_i,p_j)=|r_j|^2|p_i|^2/|r_i|^2(pi​,pj​)=∣rj​∣2∣pi​∣2/∣ri​∣2 for i≤ji\le ji≤j.
  3. Theorem 6:1, (6:1): f(xi)−f(xi+1)=ai∣ri∣2=μ(pi)∣xi−xi+1∣2f(x_i)-f(x_{i+1})=a_i|r_i|^2=\mu(p_i)|x_i-x_{i+1}|^2f(xi​)−f(xi+1​)=ai​∣ri​∣2=μ(pi​)∣xi​−xi+1​∣2.
  4. Theorem 6:1, (6:2): f(xi)−f(xj)=∑l=ij−1al∣rl∣2f(x_i)-f(x_j)=\sum_{l=i}^{j-1}a_l|r_l|^2f(xi​)−f(xj​)=∑l=ij−1​al​∣rl​∣2 for i<ji<ji<j.
  5. Section 6, (6:6): (yi+1,xi+1−xi)=f(xi+1)/μ(pi)(y_{i+1},x_{i+1}-x_i)=f(x_{i+1})/\mu(p_i)(yi+1​,xi+1​−xi​)=f(xi+1​)/μ(pi​).

Significance

The theorem is what makes an early stop of the cg-method safe in the norm a user usually cares about. Every intermediate estimate is closer to the solution, in Euclidean distance, than the previous one, and the identity (6:5) states by how much. It also separates the cg-method from methods that minimize the residual: the AAA-norm error, the Euclidean error and the residual behave differently, and only the first two are monotone along cg.

The results are proved in the 1952 paper. They have not been formalized: the Prove2Me library has no statement of the conjugate gradient recursion (5:1), and Mathlib has none either. What this mission adds is a machine-checked version of the paper's Section 6 argument for the recursion exactly as printed, including the case analysis at termination that the paper leaves implicit, and a reusable Lean definition of the cg iteration with its basic identities.

Difficulty

The obvious argument does not reach the conclusion. The method decreases f(x)=(y,Ay)f(x)=(y,Ay)f(x)=(y,Ay) at every step, but a decrease in this AAA-weighted norm does not imply a decrease in the Euclidean norm: for a single step along an arbitrary direction, even the best step for fff can lengthen the Euclidean error. So the theorem cannot be proved one step at a time from the local minimization property. It depends on how the current direction relates to all the later directions of the same run, and those relations in turn rest on the mutual orthogonality of the residuals and the conjugacy of the directions, which are established by an induction over the whole run.

A second difficulty is bookkeeping at the end of the run. The recursion divides by ∣ri∣2|r_i|^2∣ri​∣2 and by (pi,Api)(p_i,Ap_i)(pi​,Api​), which vanish after termination. Every milestone has to hold, or be guarded, past that point, and the goal needs the hypothesis ri≠0r_i\neq 0ri​=0 exactly because the strict inequality fails once xi=hx_i=hxi​=h.

Formalization scope

Vectors are Fin n → ℝ, the scalar product is dotProduct (⬝ᵥ), AxAxAx is Matrix.mulVec (*ᵥ), and the standing assumption is A.PosDef, which in Mathlib includes symmetry. The solution hhh is a variable with the hypothesis A *ᵥ h = k. Indices are 0-based. The cg recursion is the definition cgIter, which computes (5:1b)–(5:1f) literally and in order; it has no stopping rule, and Lean's convention t/0=0t/0=0t/0=0 makes it stay at hhh with ri=pi=0r_i=p_i=0ri​=pi​=0 once rm=0r_m=0rm​=0. Lengths appear squared, as (y,y)(y,y)(y,y). The milestones are stated for every index without a termination guard, because both sides of each identity vanish after termination; only the goal carries ri≠0r_i\neq 0ri​=0.

Two formalizations would trivialize the goal and are ruled out. The goal does not assume termination (xm=hx_m=hxm​=h) or any bound on iii: it quantifies over every cg run and every step that takes place. And it is about the Euclidean length ∣h−xi∣|h-x_i|∣h−xi​∣, not the error function fff (that is Theorem 6:1, a different and weaker statement) and not the residual.

A complete development needs Theorem 5:1 (orthogonality of residuals, conjugacy of directions) for the literal recursion, the identities (5:2) and (5:3c), and the positivity of (p,Ap)(p,Ap)(p,Ap) for p≠0p\neq 0p=0. These are reusable for any further work on the cg-method, including the sister mission on finite termination. Proofs of any milestone, and alternative proofs of Theorem 6:3 through the Krylov-subspace characterization, are welcome.

Selected references

  • M. R. Hestenes and E. Stiefel, Methods of Conjugate Gradients for Solving Linear Systems, J. Res. Natl. Bur. Stand. 49(6), 409–436, 1952. https://doi.org/10.6028/jres.049.044 (publisher's scan: https://nvlpubs.nist.gov/nistpubs/jres/049/jresv49n6p409_A1b.pdf)
9 thms3 active usersReviewed
🏆Completed
Dynamic ProgrammingMarkov ChainOperations Research+1·Captain: mikedeng1

Markov-Renewal Programming. I: Formulation, Finite Return Models: Policy Iteration Finds an Optimal Stationary Policy for the Discounted Infinite-Horizon Markov-Renewal ProgramResearch Paper

Motivation

Many operational systems move between a finite number of states at random times: a machine alternates between working and repair, a queue between occupancy levels, an inventory between stock positions. When the time spent in a state is not exponential and not a fixed period, neither discrete-time Markov decision processes nor continuous-time Markov chains describe the system faithfully. William S. Jewell's 1963 paper Markov-Renewal Programming. I extends Howard's Markov decision processes to Markov-renewal processes (also called semi-Markov processes), in which the time between transitions is a random variable whose law depends on the current state, the next state, and the decision taken. The resulting model, now called a semi-Markov decision process, is standard in maintenance, queueing control and reliability.

Timeline:

  • 1954: Lévy, Smith and Takács independently introduce Markov-renewal and semi-Markov processes; Pyke later surveys them.
  • 1960: Howard, Dynamic Programming and Markov Processes, introduces policy iteration for finite discrete-time Markov decision processes.
  • 1962: Blackwell, Discrete Dynamic Programming, shows that for the discounted discrete-time problem a stationary policy is optimal among all policies.
  • 1963: Jewell formulates Markov-renewal programming, with a continuous discount factor α, and carries Howard's algorithm and Blackwell's stationarity result over to it. Part II of the paper treats the undiscounted (infinite-return) models.

Setting

A Markov-renewal program has a finite set of states SSS (the paper's i=1,…,Ni = 1, \dots, Ni=1,…,N) and a finite, nonempty set of alternatives (the paper's z=1,…,Zz = 1, \dots, Zz=1,…,Z), each available in every state. For each alternative zzz and states i,ji, ji,j it specifies:

  • a transition probability pijz≥0p^z_{ij} \ge 0pijz​≥0, with ∑jpijz=1\sum_j p^z_{ij} = 1∑j​pijz​=1;
  • a sojourn-time distribution FijzF^z_{ij}Fijz​, the law of the time τ\tauτ between entering iii and moving to jjj, with τ≥0\tau \ge 0τ≥0 and Fijz(0)=0F^z_{ij}(0) = 0Fijz​(0)=0;
  • for each continuous discount factor α>0\alpha > 0α>0, a real number ρijz(α)\rho^z_{ij}(\alpha)ρijz​(α), the expected discounted return earned during that transition.

The Laplace–Stieltjes transform f~ijz(s)=∫0∞e−st dFijz(t)\tilde f^z_{ij}(s) = \int_0^\infty e^{-st}\,dF^z_{ij}(t)f~​ijz​(s)=∫0∞​e−stdFijz​(t) is the expected discount E[e−sτ]\mathbb E[e^{-s\tau}]E[e−sτ] over one interval. The average one-step return is ρiz(α)=∑jpijzρijz(α)\rho^z_i(\alpha) = \sum_j p^z_{ij}\rho^z_{ij}(\alpha)ρiz​(α)=∑j​pijz​ρijz​(α), and for a vector of returns vvv the test quantity is

ρiz(α)+∑jpijz f~ijz(α) vj.\rho^z_i(\alpha) + \sum_j p^z_{ij}\,\tilde f^z_{ij}(\alpha)\,v_j .ρiz​(α)+j∑​pijz​f~​ijz​(α)vj​.

A stationary policy is a map d:S→Ad : S \to Ad:S→A; a nonstationary policy is a sequence π=(π0,π1,… )\pi = (\pi_0, \pi_1, \dots)π=(π0​,π1​,…) of such maps, πk\pi_kπk​ being used at the kkk-th transition. The nnn-step return Viπ(n)V^\pi_i(n)Viπ​(n) of a policy, with boundary rewards Vi(0,α)V_i(0,\alpha)Vi​(0,α), is the test quantity of π0(i)\pi_0(i)π0​(i) applied to the (n−1)(n-1)(n−1)-step return of the shifted policy; the optimal nnn-step return Vi(n,α)V_i(n,\alpha)Vi​(n,α) of equation (6) replaces π0(i)\pi_0(i)π0​(i) by a maximum over zzz. The value-determination equations (15) of a stationary policy ddd are vi=ρid(i)(α)+∑jpijd(i)f~ijd(i)(α)vjv_i = \rho^{d(i)}_i(\alpha) + \sum_j p^{d(i)}_{ij}\tilde f^{d(i)}_{ij}(\alpha) v_jvi​=ρid(i)​(α)+∑j​pijd(i)​f~​ijd(i)​(α)vj​.

The algorithm of Fig. 1 alternates two steps: solve (15) for the current policy, then in every state pick an alternative maximizing the test quantity, keeping the old alternative if it still attains the maximum. It stops when two successive policies are identical.

Formalization targets

Goal (p. 947)

For every α>0\alpha > 0α>0: (15) has a unique solution for every stationary policy, and every run (dk,vk)(d_k, v_k)(dk​,vk​) of Fig. 1 reaches dK+1=dKd_{K+1} = d_KdK+1​=dK​ with K<ZNK < Z^NK<ZN, where

lim⁡n→∞VidK(n)=(vK)i,lim⁡n→∞Viπ(n)≤(vK)i  ∀π,lim⁡n→∞Vi(n,α)=(vK)i,\lim_{n\to\infty} V^{d_K}_i(n) = (v_K)_i,\qquad \lim_{n\to\infty} V^\pi_i(n) \le (v_K)_i \ \ \forall \pi,\qquad \lim_{n\to\infty} V_i(n,\alpha) = (v_K)_i ,n→∞lim​VidK​​(n)=(vK​)i​,n→∞lim​Viπ​(n)≤(vK​)i​  ∀π,n→∞lim​Vi​(n,α)=(vK​)i​,

for every state iii and all boundary rewards, every limit existing. This is the paper's "the algorithm of Fig. 1 produces an optimal, stationary policy that is as good as any optimal, nonstationary policy".

Milestones

  1. p. 945: 0≤pijzf~ijz(s)<10 \le p^z_{ij}\tilde f^z_{ij}(s) < 10≤pijz​f~​ijz​(s)<1 for s>0s > 0s>0.
  2. Claim (a): (15) has exactly one solution for each stationary policy.
  3. Eq. (15): the nnn-step return of a stationary policy converges to a solution of (15).
  4. p. 946: I−q~(α)I - \tilde q(\alpha)I−q~​(α) is invertible and ([I−q~(α)]−1)ii≥1([I-\tilde q(\alpha)]^{-1})_{ii} \ge 1([I−q~​(α)]−1)ii​≥1.
  5. Claim (b): a change of policy raises the return of some state and lowers none.
  6. Claim (c): a policy reproduced by the improvement step is optimal among stationary policies.
  7. Claim (d): a run of Fig. 1 terminates within ZNZ^NZN cycles.
  8. Eq. (14): Vi(n,α)V_i(n,\alpha)Vi​(n,α) converges, independently of the boundary rewards, to a solution of vi=max⁡z{ρiz(α)+∑jpijzf~ijz(α)vj}v_i = \max_z\{\rho^z_i(\alpha) + \sum_j p^z_{ij}\tilde f^z_{ij}(\alpha) v_j\}vi​=maxz​{ρiz​(α)+∑j​pijz​f~​ijz​(α)vj​}.
  9. p. 946: some stationary policy's return dominates the limiting return of every nonstationary policy.

Significance

The result says that the infinite-step discounted Markov-renewal program is solved exactly, in finitely many cycles, by a finite-dimensional algorithm, and that the answer is a stationary policy. As the paper notes, this matters operationally because a nonstationary policy is hard to follow. The sojourn distributions enter only through the numbers f~ijz(α)\tilde f^z_{ij}(\alpha)f~​ijz​(α), so the same algorithm serves any sojourn-time law. For fixed α\alphaα the model is a discounted Markov decision process whose discount factor depends on the transition, which contains Howard's and Blackwell's constant-discount problem as the case of intervals of fixed length (p. 943).

The results are classical and proved in the literature. The paper itself refers the proofs to Howard and Blackwell. Machine-checked versions exist on this platform for finite stochastic shortest path and constant-discount problems (Bertsekas, Dynamic Programming and Optimal Control, Prop. 7.2.2 and 7.3.1, mission Dynamic Programming and Optimal Control VII). No formal treatment of Markov-renewal programs, of transition-dependent discounting, or of the retention rule of Fig. 1 is known to exist. The mission produces a verified policy-iteration theorem for semi-Markov decision processes, with an explicit termination bound and the comparison against nonstationary policies.

Difficulty

The discount over one transition, f~ijz(α)\tilde f^z_{ij}(\alpha)f~​ijz​(α), varies with iii, jjj and zzz, so the problem is not a constant-γ\gammaγ contraction of textbook form; the relevant bound is that every row of q~(α)\tilde q(\alpha)q~​(α) sums to less than one, which rests on Fijz(0)=0F^z_{ij}(0) = 0Fijz​(0)=0. Entries in [0,1)[0, 1)[0,1) alone, the paper's stated justification of Claim (a), do not make I−q~(α)I - \tilde q(\alpha)I−q~​(α) invertible: the 2×22 \times 22×2 matrix with every entry 1/21/21/2 has entries in [0,1)[0,1)[0,1), yet III minus it is singular.

Finite termination is not automatic either. If the improvement step may switch between tied maximizers, the iterates can cycle forever between two policies with equal returns; the retention rule of Fig. 1 excludes this, and Claim (b) must deliver a strict increase in some state, with no decrease anywhere, to rule out revisiting a policy. Comparing with nonstationary policies requires controlling returns of arbitrary policy sequences, whose limits must be shown to exist, not assumed.

Formalization scope

  • States and alternatives are finite types; alternatives are nonempty. Every alternative is available in every state.
  • FijzF^z_{ij}Fijz​ is a probability measure on R\mathbb RR with no mass on (−∞,0](-\infty, 0](−∞,0]. The transform is integrated over (0,∞)(0, \infty)(0,∞), which carries all the mass.
  • The one-transition returns ρijz(α)\rho^z_{ij}(\alpha)ρijz​(α) are arbitrary real numbers, a generalization of the paper's Stieltjes integral (4), which is not formalized. The reward functions Rijz(t∣τ)R^z_{ij}(t\mid\tau)Rijz​(t∣τ) do not appear.
  • Returns of policies are defined by the one-step recursion (the policy form of (6)); the Markov-renewal process is not built as a stochastic process.
  • Policies are the paper's: deterministic and Markov, nonstationary ones indexed by the number of transitions made. Randomized and history-dependent policies are not in the comparison class.
  • The following informal words are read as follows. "Solve the set of simultaneous equations": (15) has exactly one solution. "Strictly increases the expected return of at least one state": no state's return decreases and one strictly increases, under the hypothesis that the policy changed. "No other policy can lead to higher expected returns" in Claim (c): no stationary policy. "Terminates in a finite number of cycles": two successive policies coincide at some cycle K<ZNK < Z^NK<ZN. "If there is no improvement in the test quantity, retain the same alternative": the old alternative is kept whenever it attains the maximum. "Optimal" and "as good as any nonstationary policy": the limiting return of the returned policy dominates that of every policy from every state, for all boundary rewards. "lim⁡n→∞Vi(n,α)\lim_{n\to\infty} V_i(n,\alpha)limn→∞​Vi​(n,α)": the limit is proved to exist. "max⁡z\max_zmaxz​": a maximum over the finite nonempty set of alternatives.
  • Eq. (14) is printed with vi(α)v_i(\alpha)vi​(α) inside the sum over jjj; the formalization uses vj(α)v_j(\alpha)vj​(α), as (6), (15) and Fig. 1 do.
  • Every statement fixes one α>0\alpha > 0α>0. The undiscounted models (16)–(19), the finite-time and mixed-horizon models (9)–(13), and the infinite-time case of the stationarity result are out of scope.
  • The return of a policy is never defined through a matrix inverse, whose Mathlib value for a singular matrix is 000; (15) is a predicate, and the goal asserts unique solvability, so a vacuous reading through junk inverses or assumed limits is excluded.

Reusable infrastructure: bounds for substochastic matrices with row sums below one (invertibility, Neumann series, nonnegative inverse), convergence of iterated Bellman operators with transition-dependent discount, and the policy-iteration termination argument with a tie-breaking rule. Proofs of any milestone and alternative arguments are welcome.

Selected references

  • W. S. Jewell, Markov-Renewal Programming. I: Formulation, Finite Return Models, Operations Research 11(6), 938–948, 1963. https://doi.org/10.1287/opre.11.6.938
  • W. S. Jewell, Markov-Renewal Programming. II: Infinite Return Models, Example, Operations Research 11(6), 949–971, 1963. https://doi.org/10.1287/opre.11.6.949
  • R. A. Howard, Dynamic Programming and Markov Processes, MIT Press, 1960.
  • D. Blackwell, Discrete Dynamic Programming, Annals of Mathematical Statistics 33(2), 719–726, 1962. https://doi.org/10.1214/aoms/1177704593
  • R. Pyke, Markov Renewal Processes: Definitions and Preliminary Properties, Annals of Mathematical Statistics 32(4), 1231–1242, 1961. https://doi.org/10.1214/aoms/1177704863
  • D. P. Bertsekas, Dynamic Programming and Optimal Control, Vol. I, 3rd ed., Athena Scientific, 2005, Section 7.2–7.3.
12 thms3 active usersReviewed
🏆Completed
CombinatoricsOperations ResearchOptimization+1·Captain: mikedeng1

Worst-Case Performance Bounds for Simple One-Dimensional Packing Algorithms 2: First-Fit and Best-Fit with Bounded Item SizesResearch Paper

Motivation

Bin packing asks for the fewest unit-capacity bins that hold a given list of item sizes. It models cutting stock, memory allocation, file placement and the loading of trucks, and it is NP-hard, so in practice lists are packed by simple rules that look at one item at a time. The two most widely used rules are First-Fit and Best-Fit, and the question that Johnson, Demers, Ullman, Garey and Graham answered in 1974 is how far from optimal they can be in the worst case.

Their headline answer is that both rules use at most about 1710\tfrac{17}{10}1017​ times the optimal number of bins, and that 1710\tfrac{17}{10}1017​ is asymptotically attained. The lists that force this ratio use items larger than 12\tfrac1221​. When all items are known to be small, which is typical of memory and storage applications, the guarantee is much better, and this mission is about that refinement: the paper's Theorem 2.3 and its corollary, which determine the asymptotic worst-case ratio of First-Fit and Best-Fit exactly as a function of the largest allowed item size α≤12\alpha\le\tfrac12α≤21​.

Timeline. Ullman (1971) introduced the worst-case analysis of First-Fit with a 1710L∗+3\tfrac{17}{10}L^*+31017​L∗+3 bound. Garey, Graham and Ullman (1972) and Johnson's thesis (MIT, 1973) extended it to Best-Fit and to the decreasing variants. The 1974 SIAM paper collects these results; Theorem 2.3 there is the parametric bound for items of size at most α\alphaα. The additive constants in the unrestricted 1710\tfrac{17}{10}1017​ bound were sharpened over the following four decades, culminating in Dósa and Sgall's proof (2013) that FF(L)≤⌊1710L∗⌋FF(L)\le\lfloor\tfrac{17}{10}L^*\rfloorFF(L)≤⌊1017​L∗⌋.

Setting

A list is a finite sequence L=(a1,…,an)L=(a_1,\dots,a_n)L=(a1​,…,an​) of real numbers in (0,1](0,1](0,1]. Its optimum L∗L^*L∗ is the least number of bins into which the elements of LLL can be placed so that no bin contains numbers whose sum exceeds 111. The level of a bin is the sum of the numbers in it. For a real α>0\alpha>0α>0, write L⊆(0,α]L\subseteq(0,\alpha]L⊆(0,α] when every element of LLL is at most α\alphaα.

First-Fit (FFFFFF) considers bins B1,B2,…B_1,B_2,\dotsB1​,B2​,…, all initially empty, and places a1,a2,…,ana_1,a_2,\dots,a_na1​,a2​,…,an​ in that order: aia_iai​ goes into the bin BjB_jBj​ of least index whose level β\betaβ satisfies β≤1−ai\beta\le 1-a_iβ≤1−ai​. Best-Fit (BFBFBF) is the same except that, among the bins with β≤1−ai\beta\le 1-a_iβ≤1−ai​, it chooses one of largest level β\betaβ (least index among ties). FF(L)FF(L)FF(L) and BF(L)BF(L)BF(L) denote the numbers of nonempty bins at the end.

The restricted worst-case ratios are

RFFα(k)=max⁡{FF(L)L∗:L⊆(0,α], L∗=k},RBFα(k)=max⁡{BF(L)L∗:L⊆(0,α], L∗=k}.R^\alpha_{FF}(k)=\max\Big\{\frac{FF(L)}{L^*}: L\subseteq(0,\alpha],\ L^*=k\Big\},\qquad R^\alpha_{BF}(k)=\max\Big\{\frac{BF(L)}{L^*}: L\subseteq(0,\alpha],\ L^*=k\Big\}.RFFα​(k)=max{L∗FF(L)​:L⊆(0,α], L∗=k},RBFα​(k)=max{L∗BF(L)​:L⊆(0,α], L∗=k}.

Throughout, 0<α≤120<\alpha\le\tfrac120<α≤21​ and m=⌊α−1⌋m=\lfloor\alpha^{-1}\rfloorm=⌊α−1⌋, an integer with m≥2m\ge 2m≥2 and 1m+1<α≤1m\tfrac1{m+1}<\alpha\le\tfrac1mm+11​<α≤m1​.

Formalization targets

Goal: the asymptotic ratio (Corollary of Theorem 2.3, p. 308)

lim⁡k→∞RFFα(k)=lim⁡k→∞RBFα(k)=1+1⌊α−1⌋.\lim_{k\to\infty}R^\alpha_{FF}(k)=\lim_{k\to\infty}R^\alpha_{BF}(k)=1+\frac{1}{\lfloor\alpha^{-1}\rfloor}.k→∞lim​RFFα​(k)=k→∞lim​RBFα​(k)=1+⌊α−1⌋1​.

The goal is stated as a limit, which is the stable form of the result: it is unaffected by any improvement of the additive constants below.

Theorem 2.3(i): the lower bound (p. 307)

For each k≥1k\ge1k≥1 there is a list L⊆(0,α]L\subseteq(0,\alpha]L⊆(0,α] with L∗=kL^*=kL∗=k and FF(L)≥m+1mL∗−1mFF(L)\ge\frac{m+1}{m}L^*-\frac1mFF(L)≥mm+1​L∗−m1​; likewise for BFBFBF.

Two steps of the First-Fit upper bound (p. 308)

If no element of LLL exceeds 1m\frac1mm1​, then in the First-Fit packing every bin except possibly the last contains at least mmm elements, and all but at most two bins have level at least mm+1\frac{m}{m+1}m+1m​.

Theorem 2.3(ii): the upper bounds (p. 307)

For every list L⊆(0,α]L\subseteq(0,\alpha]L⊆(0,α],

FF(L)≤m+1mL∗+2,BF(L)≤m+1mL∗+2.FF(L)\le\frac{m+1}{m}L^*+2,\qquad BF(L)\le\frac{m+1}{m}L^*+2.FF(L)≤mm+1​L∗+2,BF(L)≤mm+1​L∗+2.

Significance

The theorem gives an exact, parametric description of how the worst case of the two greedy rules improves as items shrink: the asymptotic ratio is 32\tfrac3223​ when items are at most 12\tfrac1221​, 43\tfrac4334​ when at most 13\tfrac1331​, and tends to 111 as the maximum item size tends to 000. Combined with the 1710\tfrac{17}{10}1017​ bound for unrestricted lists, it shows that the bad behaviour of First-Fit is caused entirely by items larger than 12\tfrac1221​. Such parametric bounds are the standard way bin-packing heuristics are compared in the literature on online and semi-online packing, and the construction in part (i) is a reusable template for lower-bound lists.

The paper proves the First-Fit upper bound and the lower bound (the verification of the lower-bound construction is left to the reader). The Best-Fit upper bound is stated but not proved: the paper says only that "a similar, but slightly more complicated, argument can be used". A formal proof of the goal therefore requires supplying that argument. None of these results is known to have a machine-checked proof; Mathlib contains no bin-packing development.

Difficulty

For First-Fit the upper bound is a counting argument, but it rests on a property of the run, not of the final packing: an item that went into a later bin did not fit into an earlier bin at the moment it was placed. Turning that into a statement about the final levels requires an invariant maintained through the whole sequence of placements.

The Best-Fit upper bound is harder because that property fails: Best-Fit may put a small item into a fuller, later bin while an earlier, lighter bin still has room, so a light early bin and a light later bin can coexist longer than under First-Fit. The paper gives no argument for this case.

The lower bound requires computing the exact behaviour of both algorithms on a specific interleaved list with item sizes perturbed by powers of mmm, and computing L∗L^*L∗ exactly for that list, which needs a matching lower bound on the optimum.

Formalization scope

A list is L : List ℝ with the hypothesis IsList L (every element in (0,1](0,1](0,1]); L⊆(0,α]L\subseteq(0,\alpha]L⊆(0,α] is the additional hypothesis ∀ a ∈ L, a ≤ α. L∗L^*L∗ is optBins L, a sInf in ℕ over numbers of bins admitting a feasible assignment; the hypothesis IsList makes the set nonempty. The runs ffPack L and bfPack L are folds over the list that keep the nonempty bins in the order they were opened, each with its contents; an item that fits nowhere opens a new bin at the end, which is the paper's "least jjj" over infinitely many empty bins. Comparisons are exact (classical decidability on ℝ), and FF(L)FF(L)FF(L), BF(L)BF(L)BF(L) are the lengths of the final bin lists. mmm is Nat.floor α⁻¹, cast before any division.

The ratios RFFα(k)R^\alpha_{FF}(k)RFFα​(k), RBFα(k)R^\alpha_{BF}(k)RBFα​(k) are suprema taken in ℝ≥0∞: an unbounded family would give +∞+\infty+∞, never a default value, and at k=0k=0k=0 the only admissible list is empty and the value is 000. The goal is a Tendsto … atTop (𝓝 (1 + (⌊α⁻¹⌋₊)⁻¹)) statement in ℝ≥0∞. A real-valued sSup would have returned 000 on an unbounded family and made a false bound look provable; that encoding is ruled out. The upper bounds keep the additive constant 222 and the lower bound the subtractive 1m\frac1mm1​ exactly as printed.

The two proof steps are stated under the proof's own hypothesis "no element exceeding 1/m1/m1/m", which is weaker than L⊆(0,α]L\subseteq(0,\alpha]L⊆(0,α].

A complete development needs invariants of the First-Fit and Best-Fit folds, a lower bound L∗≥∑iaiL^*\ge\sum_i a_iL∗≥∑i​ai​, and exact evaluation of both runs on the construction of part (i). Lemmas about the fold encoding of First-Fit and Best-Fit and about L∗L^*L∗ are reusable in the companion missions on the 1710\tfrac{17}{10}1017​, 119\tfrac{11}{9}911​ and 7160\tfrac{71}{60}6071​ bounds of the same paper. Contributions on the Best-Fit upper bound are especially welcome, since the source gives no proof.

Selected references

  • D. S. Johnson, A. Demers, J. D. Ullman, M. R. Garey, R. L. Graham, Worst-Case Performance Bounds for Simple One-Dimensional Packing Algorithms, SIAM Journal on Computing 3(4):299–325, 1974. https://doi.org/10.1137/0203025
  • J. D. Ullman, The Performance of a Memory Allocation Algorithm, Technical Report 100, Princeton University, 1971.
  • M. R. Garey, R. L. Graham, J. D. Ullman, Worst-Case Analysis of Memory Allocation Algorithms, Proc. 4th ACM Symposium on Theory of Computing, 143–150, 1972. https://doi.org/10.1145/800152.804907
  • D. S. Johnson, Near-Optimal Bin Packing Algorithms, PhD thesis, Massachusetts Institute of Technology, 1973. http://hdl.handle.net/1721.1/57819
  • G. Dósa, J. Sgall, First Fit Bin Packing: A Tight Analysis, Proc. 30th STACS, LIPIcs 20:538–549, 2013. https://doi.org/10.4230/LIPIcs.STACS.2013.538
7 thms4 active usersReviewed
🏆Completed
Graph TheoryOperations Research·Captain: mikedeng1

Critical-Path Planning and Scheduling I: Critical Jobs Occur Only When the Completion Time Is the Earliest, and Then Form a Path from Origin to TerminusResearch Paper

Motivation

The Critical-Path Method (CPM) was introduced by J. E. Kelley, Jr. (Remington Rand) and M. R. Walker (du Pont) in Critical-Path Planning and Scheduling (Proc. Eastern Joint Computer Conference, 1959, pp. 160–173, doi:10.1145/1460299.1460318). Together with PERT, developed at the same time for the Polaris programme, it became the standard way to plan and schedule large projects in construction, maintenance and engineering, and it is taught in every introductory operations research course.

The paper reduces project scheduling to arithmetic on a directed acyclic graph: the earliest and latest times of the project's events are computed by two recursions, and the jobs whose timing has no slack, the critical jobs, are singled out by an equation. Its central structural claim is that critical jobs, when they exist, form a path from the start of the project to its end. The paper states this without proof ("a detailed development being reserved for a separate paper", p. 161). This mission formalizes that claim and the facts about the two recursions on which it rests.

Setting

A project network has n+1n+1n+1 events labelled 0,1,…,n0,1,\dots,n0,1,…,n with n≥1n \ge 1n≥1: event 000 is the origin and event nnn the terminus. A job is an arrow from an event iii to an event jjj, written job (i,j)(i,j)(i,j); the jobs form a finite set PPP of ordered pairs of events. Two standing assumptions of the paper (pp. 161–162) are part of the model:

  1. every job has i<ji < ji<j (events are labelled so that the head of an arrow has the larger label);
  2. origin precedes and terminus follows every event: for every event kkk there are chains of jobs from 000 to kkk and from kkk to nnn.

Each job has a real duration yijy_{ij}yij​. The earliest event times t(0)t^{(0)}t(0) are given by display (1) of the paper,

t0(0)=0,tj(0)=max⁡ [ yij+ti(0)∣i<j, (i,j)∈P ],1≤j≤n,t_0^{(0)} = 0,\qquad t_j^{(0)} = \max\,[\,y_{ij} + t_i^{(0)} \mid i<j,\ (i,j)\in P\,],\quad 1\le j\le n,t0(0)​=0,tj(0)​=max[yij​+ti(0)​∣i<j, (i,j)∈P],1≤j≤n,

and, for a project completion time λ≥tn(0)\lambda \ge t_n^{(0)}λ≥tn(0)​, the latest event times t(1)t^{(1)}t(1) by display (2),

tn(1)=λ,ti(1)=min⁡ [ tj(1)−yij∣i<j, (i,j)∈P ],0≤i≤n−1.t_n^{(1)} = \lambda,\qquad t_i^{(1)} = \min\,[\,t_j^{(1)} - y_{ij} \mid i<j,\ (i,j)\in P\,],\quad 0\le i\le n-1.tn(1)​=λ,ti(1)​=min[tj(1)​−yij​∣i<j, (i,j)∈P],0≤i≤n−1.

The maximum time available for job (i,j)(i,j)(i,j) is tj(1)−ti(0)t_j^{(1)} - t_i^{(0)}tj(1)​−ti(0)​. The job is critical if this equals its duration, tj(1)−ti(0)=yijt_j^{(1)} - t_i^{(0)} = y_{ij}tj(1)​−ti(0)​=yij​, and a floater if it exceeds it. A critical path is a contiguous path of critical jobs from origin to terminus: events 0=v0,v1,…,vk=n0 = v_0, v_1, \dots, v_k = n0=v0​,v1​,…,vk​=n with every (vr−1,vr)(v_{r-1}, v_r)(vr−1​,vr​) a critical job of PPP.

In the Lean development these are ProjectNetwork n (with field P), earliest N y, latest N y λ, maxTimeAvailable, IsCritical, IsFloater and IsCriticalPath, in the namespace CriticalPath.Events.

Formalization targets

Goal: critical jobs force λ=tn(0)\lambda = t_n^{(0)}λ=tn(0)​ and a critical path (p. 163)

For every project network, durations yyy and completion time λ≥tn(0)\lambda \ge t_n^{(0)}λ≥tn(0)​,

(∃(i,j)∈P, tj(1)−ti(0)=yij)  ⟹  λ=tn(0) ∧ ∃ a critical path.\bigl(\exists (i,j)\in P,\ t_j^{(1)} - t_i^{(0)} = y_{ij}\bigr) \;\Longrightarrow\; \lambda = t_n^{(0)} \ \wedge\ \exists\ \text{a critical path}.(∃(i,j)∈P, tj(1)​−ti(0)​=yij​)⟹λ=tn(0)​ ∧ ∃ a critical path.

This is the paper's "A project will contain critical jobs only when λ=tn(0)\lambda = t_n^{(0)}λ=tn(0)​. If a project does contain critical jobs, then it also contains at least one contiguous path of critical jobs through the project diagram from origin to terminus." Only the "only when" direction is asserted, as on the page.

Milestones

  1. Display (1), pp. 162–163. t(0)t^{(0)}t(0) is the least vector ttt with t0=0t_0 = 0t0​=0 and yij≤tj−tiy_{ij} \le t_j - t_iyij​≤tj​−ti​ for every job.
  2. Display (2), p. 163. For λ≥tn(0)\lambda \ge t_n^{(0)}λ≥tn(0)​, tn(1)=λt_n^{(1)} = \lambdatn(1)​=λ and t(1)t^{(1)}t(1) is the greatest vector ttt with tn≤λt_n \le \lambdatn​≤λ and yij≤tj−tiy_{ij} \le t_j - t_iyij​≤tj​−ti​ for every job.
  3. Critical or floater, p. 163. For λ≥tn(0)\lambda \ge t_n^{(0)}λ≥tn(0)​, ti(0)≤ti(1)t_i^{(0)} \le t_i^{(1)}ti(0)​≤ti(1)​ for every event, and every job is critical or a floater: tj(1)−ti(0)≥yijt_j^{(1)} - t_i^{(0)} \ge y_{ij}tj(1)​−ti(0)​≥yij​.
  4. Delay of a critical job, p. 163. Lengthening a critical job by δ≥0\delta \ge 0δ≥0 raises tn(0)t_n^{(0)}tn(0)​ by exactly δ\deltaδ.

Significance

The result. The theorem is what makes the method's name meaningful: it says that the jobs without slack are not scattered but line up along an origin–terminus path, and that such jobs exist only when the project is scheduled at its earliest possible completion time. Project managers use this to decide which jobs to watch, which to expedite, and which may slip; the delay statement (milestone 4) is the quantitative form of that advice. The characterisations of (1) and (2) as least and greatest feasible schedules are the bridge between CPM and linear programming: they identify t(0)t^{(0)}t(0) and t(1)t^{(1)}t(1) with extreme solutions of the system of difference constraints yij≤tj−tiy_{ij} \le t_j - t_iyij​≤tj​−ti​, which the paper's own §3 uses to build the project cost curve.

Formalizing it. The results are classical and folklore, but the paper proves none of them, and textbook treatments usually define the critical path as a longest path, which makes the goal a tautology. This mission states the claims with the paper's own definitions: criticality by the float equation, event times by the recursions. To the best of current knowledge no machine-checked version of these statements for activity-on-arrow networks exists; the platform has a related activity-on-node development (Brucker and Knust, Complex Scheduling) in which the critical path is defined as a longest path.

Difficulty

The recursions (1) and (2) are local: each event looks only at its immediate predecessors or successors. The goal is global: from one critical job it asserts a statement about the whole completion time and a whole origin–terminus path. The float equation tj(1)−ti(0)=yijt_j^{(1)} - t_i^{(0)} = y_{ij}tj(1)​−ti(0)​=yij​ mixes a quantity computed forward from the origin with one computed backward from the terminus, and neither recursion alone says anything about the other. The naive reading "a critical job lies on a longest path" is not available as a definition: it is, in substance, what has to be established from the recursions. The formal overhead is the well-founded recursion on the labels, in both directions, and the bookkeeping of lists of events forming a path.

Formalization scope

Events are Fin (n + 1), origin 0, terminus Fin.last n, with 1 ≤ n. Jobs are a Finset of ordered pairs, so there is at most one job per ordered pair. The standing assumptions (labels increase along jobs; origin precedes and terminus follows every event, via Relation.ReflTransGen) are fields of the structure ProjectNetwork and are never dropped. Durations and times are real numbers; durations are a function Fin (n+1) → Fin (n+1) → ℝ read only on jobs of P, with no sign condition, as in the paper's deterministic case.

The event times are defined by the recursions (1) and (2) themselves, by well-founded recursion on the label with Finset.sup'/Finset.inf' over the predecessor/successor set; these sets are nonempty by the standing assumptions, so no fallback value exists. The latest times are defined for every real λ\lambdaλ; the paper's assumption λ≥tn(0)\lambda \ge t_n^{(0)}λ≥tn(0)​ is a hypothesis of every theorem that uses them.

Disclosed readings: "earliest time occurance" (milestone 1) and "latest time … relative to a fixed project completion time" (milestone 2) are read as least and greatest vectors satisfying the job constraints yij≤tj−tiy_{ij} \le t_j - t_iyij​≤tj​−ti​ (the paper's constraint (8), p. 165); milestone 3 is the fact implicit in the dichotomy "critical or floater"; "comparable delay" (milestone 4) is read as an exact delay of δ\deltaδ in tn(0)t_n^{(0)}tn(0)​ for δ≥0\delta \ge 0δ≥0.

A trivializing formalization is ruled out: defining a critical job or path through longest paths, or taking t(0)t^{(0)}t(0) and t(1)t^{(1)}t(1) as arbitrary functions satisfying (1) and (2), would make the goal a restatement of its definitions; here criticality is the float equation and the times are computed by the recursions. Dropping the reachability assumptions would make (2) ill-defined at events without successors.

Contributions welcome: proofs of the milestones, general lemmas on longest paths in finite labelled DAGs and on difference constraints yij≤tj−tiy_{ij} \le t_j - t_iyij​≤tj​−ti​, which are reusable for the companion mission on the project cost curve.

Selected references

  • J. E. Kelley, Jr. and M. R. Walker, Critical-Path Planning and Scheduling, Papers presented at the December 1–3, 1959, Eastern Joint IRE-AIEE-ACM Computer Conference, pp. 160–173, 1959. doi:10.1145/1460299.1460318
  • J. E. Kelley, Jr., Critical-Path Planning and Scheduling: Mathematical Basis, Operations Research 9(3), pp. 296–320, 1961. doi:10.1287/opre.9.3.296
  • P. Brucker and S. Knust, Complex Scheduling, 2nd ed., Springer, 2012. doi:10.1007/978-3-642-23929-8
7 thms3 active usersReviewed
🏆Completed
Linear OptimizationOperations ResearchOptimization·Captain: mikedeng1

Critical-Path Planning and Scheduling II: The Project Cost Curve Is Non-Increasing, Piecewise Linear and ConvexResearch Paper

Motivation

A large engineering or construction project is a set of jobs with precedence constraints, and most jobs can be finished faster at a higher cost (overtime, more crews, faster equipment). Planners want to know, for every possible project duration, the cheapest way to meet it. The resulting trade-off between duration and direct cost is what management compares with overhead, penalties and market losses when it picks a schedule.

J. E. Kelley, Jr. and M. R. Walker introduced the critical-path method (CPM) in 1959, from work at du Pont and Remington Rand (Kelley and Walker 1959). Alongside the critical-path computation, they modelled each job's cost as a linear function of its duration and posed the choice of durations as a parametric linear program. They stated that its optimal value, as a function of the project duration λ\lambdaλ, is a non-increasing, piecewise linear, convex function, which they called the project cost curve. The 1959 paper gives no proof and defers the detailed development to a separate paper (Kelley 1961). Fulkerson (1961) gave a network-flow algorithm that computes the curve. Time–cost trade-off analysis ("crashing") has been a standard part of project management since then.

Setting

A project network has events labelled 0,1,…,n0, 1, \dots, n0,1,…,n with n≥1n \ge 1n≥1. Event 000 is the origin and event nnn the terminus. A finite set PPP of jobs is given, each an ordered pair (i,j)(i,j)(i,j): an arrow from event iii to event jjj. As in the paper, labels increase along arrows (i<ji < ji<j for every (i,j)∈P(i,j) \in P(i,j)∈P), the origin precedes every event, and the terminus follows every event.

For job durations y=(yij)y = (y_{ij})y=(yij​), the earliest event times are given by recursion (1):

t0(0)=0,tj(0)=max⁡ [ yij+ti(0)∣i<j, (i,j)∈P ],1≤j≤n,t_0^{(0)} = 0,\qquad t_j^{(0)} = \max\,[\,y_{ij} + t_i^{(0)} \mid i<j,\ (i,j)\in P\,],\quad 1\le j\le n,t0(0)​=0,tj(0)​=max[yij​+ti(0)​∣i<j, (i,j)∈P],1≤j≤n,

and tn(0)(y)t_n^{(0)}(y)tn(0)​(y) is the earliest project completion time.

Each job has a crash duration dijd_{ij}dij​ and a normal duration DijD_{ij}Dij​ with 0≤dij≤Dij0 \le d_{ij} \le D_{ij}0≤dij​≤Dij​, and a linear job cost aijyij+bija_{ij}y_{ij} + b_{ij}aij​yij​+bij​ with aij≤0a_{ij} \le 0aij​≤0, bij≥0b_{ij} \ge 0bij​≥0. The project (direct) cost is

(7)∑(i,j)∈P(aijyij+bij).\text{(7)}\qquad \sum_{(i,j)\in P} (a_{ij} y_{ij} + b_{ij}).(7)(i,j)∈P∑​(aij​yij​+bij​).

A schedule for λ\lambdaλ is a pair (y,t)(y,t)(y,t) with

(5) dij≤yij≤Dij,(8) yij≤tj−ti((i,j)∈P),(9) t0=0, tn=λ.\text{(5)}\ d_{ij}\le y_{ij}\le D_{ij},\qquad \text{(8)}\ y_{ij}\le t_j-t_i\quad ((i,j)\in P),\qquad \text{(9)}\ t_0=0,\ t_n=\lambda.(5) dij​≤yij​≤Dij​,(8) yij​≤tj​−ti​((i,j)∈P),(9) t0​=0, tn​=λ.

Let Λ\LambdaΛ be the set of λ\lambdaλ for which a schedule exists. For λ∈Λ\lambda \in \Lambdaλ∈Λ the project cost curve C(λ)C(\lambda)C(λ) is the minimum of (7) over schedules for λ\lambdaλ. Write λc=tn(0)(d)\lambda_c = t_n^{(0)}(d)λc​=tn(0)​(d) (all jobs crashed) and λN=tn(0)(D)\lambda_N = t_n^{(0)}(D)λN​=tn(0)​(D) (all jobs normal).

Formalization targets

Goal: the shape of the project cost curve (p. 165)

C is non-increasing on Λ,C is piecewise linear on Λ,C is convex on Λ.C \text{ is non-increasing on } \Lambda,\qquad C \text{ is piecewise linear on } \Lambda,\qquad C \text{ is convex on } \Lambda .C is non-increasing on Λ,C is piecewise linear on Λ,C is convex on Λ.

Piecewise linear means finitely many breakpoints β0<⋯<βm\beta_0<\dots<\beta_mβ0​<⋯<βm​ with Λ⊆[β0,∞)\Lambda\subseteq[\beta_0,\infty)Λ⊆[β0​,∞), and affine pieces on Λ∩[βk,βk+1]\Lambda\cap[\beta_k,\beta_{k+1}]Λ∩[βk​,βk+1​] and on Λ∩[βm,∞)\Lambda\cap[\beta_m,\infty)Λ∩[βm​,∞). The goal fixes no breakpoints or slopes. It asserts only the shape the paper claims, on the whole of Λ\LambdaΛ.

Milestones

  1. Feasible range (p. 165, "until no further reduction in project completion time is possible"): Λ=[λc,∞)\Lambda = [\lambda_c, \infty)Λ=[λc​,∞).
  2. Existence of optimal schedules (p. 165, the linear program (8), (9)): for every λ∈Λ\lambda\in\Lambdaλ∈Λ the minimum of (7) is attained.
  3. All-normal solution (p. 165): (D,t(0)(D))(D, t^{(0)}(D))(D,t(0)(D)) is a minimum cost schedule for λ=λN\lambda = \lambda_Nλ=λN​.
  4. λ\lambdaλ is the earliest completion time (p. 165, "within the limits of most interest"): for λc≤λ≤λN\lambda_c\le\lambda\le\lambda_Nλc​≤λ≤λN​ some minimum cost schedule (y,t)(y,t)(y,t) for λ\lambdaλ has tn(0)(y)=λt_n^{(0)}(y)=\lambdatn(0)​(y)=λ.

Significance

The cost curve is the output of CPM's cost analysis. Its convexity is what makes the paper's parametric procedure valid: jobs are expedited in order of increasing marginal cost, and the curve is traced from λN\lambda_NλN​ down to λc\lambda_cλc​ one linear piece at a time. Monotonicity justifies reading the curve as a trade-off. Piecewise linearity with finitely many pieces means the whole curve is determined by finitely many characteristic schedules, the vertices plotted in the paper's Fig. 3. The milestones identify the domain of the curve, show that it is well defined, and fix its right end at the all-normal solution.

These facts are classical: they follow from parametric linear programming, and Kelley (1961) and Fulkerson (1961) develop them in detail. No machine-checked proof of them is known. Prove2Me has a related result, LinearOptimization.lp_optimal_cost_convex_in_rhs (Bertsimas–Tsitsiklis, Theorem 5.1): convexity of the optimal cost of a standard-form LP in its right-hand side. It covers convexity only, for a different LP form, and says nothing about monotonicity or finitely many pieces. This mission adds a formal model of CPM's time–cost program and the full three-part shape theorem.

Difficulty

Convexity alone follows from the usual argument: a convex combination of optimal schedules for two durations is a schedule for the combined duration. Monotonicity needs the structure of the network: when λ\lambdaλ increases, only the constraints (8) on jobs ending at the terminus loosen, because no job leaves the terminus. The hard part is piecewise linearity with finitely many pieces. Convexity does not imply it, and a general result on value functions of linear programs has to be tied to this specific program, whose right-hand side depends on λ\lambdaλ only through tn=λt_n = \lambdatn​=λ. The domain is also unbounded, so the argument must show that the curve is eventually a single affine (in fact constant) piece. It cannot just produce finitely many pieces on a compact interval.

Formalization scope

Events are Fin (n + 1) with origin 0 and terminus Fin.last n, and 1 ≤ n. Jobs are a Finset of ordered pairs, with at most one job per ordered pair. The standing assumptions of pp. 161–162 are fields of ProjectNetwork: labels increase along jobs, and reachability via Relation.ReflTransGen from the origin and to the terminus. Times and durations are real. Job data are functions Fin (n+1) → Fin (n+1) → ℝ, constrained and read only on PPP. The hypotheses 0≤dij≤Dij0\le d_{ij}\le D_{ij}0≤dij​≤Dij​, aij≤0a_{ij}\le 0aij​≤0 and bij≥0b_{ij}\ge 0bij​≥0 are fields of JobData. Recursion (1) is earliest, defined by well-founded recursion on the label. It uses a fallback value 000 for an event without predecessors, which occurs only at the origin. The paper's λ\lambdaλ is written lam. Constraint (9) fixes tn=λt_n = \lambdatn​=λ exactly, and the event times are otherwise unconstrained.

The goal takes C:R→RC : \mathbb{R}\to\mathbb{R}C:R→R with the hypothesis that C(λ)C(\lambda)C(λ) is the least element of the set of costs of schedules for λ\lambdaλ, for every λ∈Λ\lambda \in \Lambdaλ∈Λ. All three conclusions are stated on Λ\LambdaΛ only. This rules out the trivializing formalizations:

  • a junk-valued infimum off Λ\LambdaΛ plays no role;
  • CCC is tied to the program, and the hypothesis on CCC is satisfiable by milestone 2;
  • piecewise linearity requires finitely many pieces that cover all of Λ\LambdaΛ;
  • all three properties are claimed, not convexity alone.

The goal keeps aij≤0a_{ij}\le 0aij​≤0, as the page does throughout §3, although monotonicity and convexity would hold without it.

Disclosed readings:

  • Milestone 1 renders "until no further reduction in project completion time is possible" as Λ=[λc,∞)\Lambda=[\lambda_c,\infty)Λ=[λc​,∞).
  • Milestone 4 reads "within the limits of most interest" as λc≤λ≤λN\lambda_c\le\lambda\le\lambda_Nλc​≤λ≤λN​. It asserts that some optimal schedule has tn(0)(y)=λt_n^{(0)}(y)=\lambdatn(0)​(y)=λ. "Every" is false: when all aij=0a_{ij}=0aij​=0, the all-crash durations are optimal for every λ\lambdaλ.

A complete development needs:

  • the existence of LP optima under a bounded objective, or a direct compactness argument on the feasible polyhedron;
  • a parametric-LP or polyhedral argument for finitely many linear pieces;
  • basic facts on the recursion (1).

The one-variable notion IsPiecewiseLinearOn and the facts on earliest event times can be reused in scheduling missions. Proofs of the milestones, of any of the three goal conjuncts separately, and general lemmas on parametric LP value functions are all welcome.

Not formalized: general piecewise linear convex job costs (deferred by the paper to its references [7], [8]), and the primal–dual procedure itself (a method, not a claim).

Selected references

  • J. E. Kelley, Jr. and M. R. Walker, Critical-Path Planning and Scheduling, Proc. Eastern Joint IRE-AIEE-ACM Computer Conference, 1959, pp. 160–173. https://doi.org/10.1145/1460299.1460318
  • J. E. Kelley, Jr., Critical-Path Planning and Scheduling: Mathematical Basis, Operations Research 9(3), 1961, pp. 296–320. https://doi.org/10.1287/opre.9.3.296
  • D. R. Fulkerson, A Network Flow Computation for Project Cost Curves, Management Science 7(2), 1961, pp. 167–178. https://doi.org/10.1287/mnsc.7.2.167
  • D. Bertsimas and J. N. Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997, §5.2 (the optimal cost as a function of the right-hand side).
10 thms2 active usersReviewed
🏆Completed
Convex OptimizationLinear OptimizationOperations Research+1·Captain: mikedeng1

Path-Finding Methods for Linear Programming I: Centering with Weights on the Weighted Central PathResearch Paper

Motivation

Interior point methods solve a linear program by following a central path: a curve of minimizers of a penalized objective that trades off cost against distance from the boundary of the feasible region. The classical analysis of path following with the logarithmic barrier needs O(m L)O(\sqrt{m}\,L)O(m​L) iterations for a program with mmm constraints, where LLL is the bit complexity of the input (Renegar 1988). For programs with many more constraints than variables, mmm can be far larger than the dimension nnn or the rank of the constraint matrix, and the m\sqrt mm​ factor is then the bottleneck.

Lee and Sidford (FOCS 2014) reduce the iteration count to O~(rank(A) L)\tilde O(\sqrt{\mathrm{rank}(A)}\,L)O~(rank(A)​L) by following a weighted central path in which each constraint carries its own positive weight, and the weights are re-computed as the algorithm moves. Their improved maximum-flow algorithm is an application of the same method.

Timeline. Karmarkar (1984) gave the first polynomial-time interior point method for linear programming. Renegar (1988) showed that path following with the logarithmic barrier needs O(mL)O(\sqrt m L)O(m​L) iterations. Nesterov and Nemirovskii (1994) showed that a universal self-concordant barrier yields O(nL)O(\sqrt n L)O(n​L) iterations, but that barrier is not known to be efficiently computable. Lee and Sidford (2014) achieved O~(rank(A)L)\tilde O(\sqrt{\mathrm{rank}(A)}L)O~(rank(A)​L) iterations, each reducible to O~(1)\tilde O(1)O~(1) linear-system solves.

This mission covers the first half of that framework (§IV of the paper): the weighted central path, the weighted Newton step, and the centering theorem that shows a single step followed by re-weighting makes constant-factor progress.

Setting

Let A∈Rm×nA\in\mathbb R^{m\times n}A∈Rm×n, b∈Rmb\in\mathbb R^mb∈Rm, c∈Rnc\in\mathbb R^nc∈Rn, and consider the linear program

min⁡x∈Rn: Ax≥bcTx.\min_{x\in\mathbb R^n:\ Ax\ge b} c^Tx .x∈Rn: Ax≥bmin​cTx.

The slack of a point xxx is s(x)=Ax−bs(x)=Ax-bs(x)=Ax−b, and the interior is S0={x:Ax>b}S^0=\{x : Ax>b\}S0={x:Ax>b}, the points with all slacks strictly positive. For a path parameter ttt and a vector of positive weights w∈R>0mw\in\mathbb R^m_{>0}w∈R>0m​, the weighted penalized objective is

ft(x,w)=t cTx−∑i=1mwilog⁡s(x)i.f_t(x,w)=t\,c^Tx-\sum_{i=1}^m w_i\log s(x)_i .ft​(x,w)=tcTx−i=1∑m​wi​logs(x)i​.

A pair (x,w)(x,w)(x,w) is feasible if x∈S0x\in S^0x∈S0 and w>0w>0w>0.

Write Sx=diag(s(x))S_x=\mathrm{diag}(s(x))Sx​=diag(s(x)), W=diag(w)W=\mathrm{diag}(w)W=diag(w) and ∥v∥M=vTMv\|v\|_M=\sqrt{v^TMv}∥v∥M​=vTMv​. The Newton step and the centrality are

h⃗t(x,w)=(ATSx−1WSx−1A)−1(tc−ATSx−1w),δt(x,w)=∥h⃗t(x,w)∥ATSx−1WSx−1A.\vec h_t(x,w)=\big(A^TS_x^{-1}WS_x^{-1}A\big)^{-1}\big(tc-A^TS_x^{-1}w\big),\qquad \delta_t(x,w)=\big\|\vec h_t(x,w)\big\|_{A^TS_x^{-1}WS_x^{-1}A}.ht​(x,w)=(ATSx−1​WSx−1​A)−1(tc−ATSx−1​w),δt​(x,w)=​ht​(x,w)​ATSx−1​WSx−1​A​.

The matrix ATSx−1WSx−1AA^TS_x^{-1}WS_x^{-1}AATSx−1​WSx−1​A is the Hessian of ftf_tft​ in xxx, and tc−ATSx−1wtc-A^TS_x^{-1}wtc−ATSx−1​w is its gradient; δt(x,w)=0\delta_t(x,w)=0δt​(x,w)=0 exactly when xxx minimizes ft(⋅,w)f_t(\cdot,w)ft​(⋅,w).

For slacks sss and weights www the projection matrix is PS−1A(w)=W1/2S−1A(ATS−1WS−1A)−1ATS−1W1/2P_{S^{-1}A}(w)=W^{1/2}S^{-1}A(A^TS^{-1}WS^{-1}A)^{-1}A^TS^{-1}W^{1/2}PS−1A​(w)=W1/2S−1A(ATS−1WS−1A)−1ATS−1W1/2 and the slack sensitivity is

γ(s,w)=max⁡i∈[m]∥W−1/21⃗i∥PS−1A(w).\gamma(s,w)=\max_{i\in[m]}\big\|W^{-1/2}\vec 1_i\big\|_{P_{S^{-1}A}(w)} .γ(s,w)=i∈[m]max​​W−1/21i​​PS−1A​(w)​.

A weight function (Definition 4) is a differentiable map g⃗:R>0m→R>0m\vec g:\mathbb R^m_{>0}\to\mathbb R^m_{>0}g​:R>0m​→R>0m​ from slacks to weights with constants c1c_1c1​ (size, a bound on ∥g⃗(s)∥1\|\vec g(s)\|_1∥g​(s)∥1​), cγ≥1c_\gamma\ge1cγ​≥1 (slack sensitivity, γ(s,g⃗(s))≤cγ\gamma(s,\vec g(s))\le c_\gammaγ(s,g​(s))≤cγ​), cr≥1c_r\ge1cr​≥1 (step consistency, two inequalities on the Jacobian G′(s)G'(s)G′(s) of g⃗\vec gg​ that hold for every r≥crr\ge c_rr≥cr​), and uniformity ∥g⃗(s)∥∞≤2\|\vec g(s)\|_\infty\le2∥g​(s)∥∞​≤2.

Formalization targets

Goal: Theorem 5 (Centering with Weights), §IV.C

Let g⃗\vec gg​ be a weight function for AAA with constants c1,cγ,crc_1,c_\gamma,c_rc1​,cγ​,cr​, let x(old)∈S0x^{(old)}\in S^0x(old)∈S0, s(old)=s(x(old))s^{(old)}=s(x^{(old)})s(old)=s(x(old)), and

x(new)=x(old)−11+cr h⃗t(x(old),g⃗(s(old))).x^{(new)}=x^{(old)}-\frac{1}{1+c_r}\,\vec h_t\big(x^{(old)},\vec g(s^{(old)})\big).x(new)=x(old)−1+cr​1​ht​(x(old),g​(s(old))).

If δt(x(old),g⃗(s(old)))≤1100cγcr2\delta_t(x^{(old)},\vec g(s^{(old)}))\le\frac{1}{100c_\gamma c_r^2}δt​(x(old),g​(s(old)))≤100cγ​cr2​1​, then x(new)∈S0x^{(new)}\in S^0x(new)∈S0 and

δt(x(new),g⃗(s(new)))≤(1−14cr)δt(x(old),g⃗(s(old))).\delta_t\big(x^{(new)},\vec g(s^{(new)})\big)\le\Big(1-\frac{1}{4c_r}\Big)\delta_t\big(x^{(old)},\vec g(s^{(old)})\big).δt​(x(new),g​(s(new)))≤(1−4cr​1​)δt​(x(old),g​(s(old))).

The theorem is stated for every weight function, not for the specific one constructed in §V of the paper; that construction is the subject of a separate mission.

Milestone: Lemma 3 (Split Newton Step), §IV.B

For feasible (x(old),w(old))(x^{(old)},w^{(old)})(x(old),w(old)) and r≥0r\ge0r≥0, the split step x(new)=x(old)−11+rh⃗tx^{(new)}=x^{(old)}-\frac1{1+r}\vec h_tx(new)=x(old)−1+r1​ht​, w(new)=w(old)+r1+rW(old)S(old)−1Ah⃗tw^{(new)}=w^{(old)}+\frac r{1+r}W_{(old)}S_{(old)}^{-1}A\vec h_tw(new)=w(old)+1+rr​W(old)​S(old)−1​Aht​ satisfies, whenever δt≤18γ\delta_t\le\frac1{8\gamma}δt​≤8γ1​,

δt(x(new),w(new))≤21+r γ δt2,\delta_t\big(x^{(new)},w^{(new)}\big)\le\frac{2}{1+r}\,\gamma\,\delta_t^2,δt​(x(new),w(new))≤1+r2​γδt2​,

with γ=γ(s(x(old)),w(old))\gamma=\gamma(s(x^{(old)}),w^{(old)})γ=γ(s(x(old)),w(old)), and the new pair is feasible.

Milestone: Lemma 1, §IV.B

For feasible (x,w)(x,w)(x,w) and α,t≥0\alpha,t\ge0α,t≥0:

δ(1+α)t(x,w)≤(1+α)δt(x,w)+α∥w∥1.\delta_{(1+\alpha)t}(x,w)\le(1+\alpha)\delta_t(x,w)+\alpha\sqrt{\|w\|_1}.δ(1+α)t​(x,w)≤(1+α)δt​(x,w)+α∥w∥1​​.

Significance

Theorem 5 is the centering half of the weighted path-following method. Combined with Lemma 1, it shows that the path parameter can be doubled, while staying close to the weighted central path, in a number of steps of the form (5) controlled by cγc_\gammacγ​, crc_rcr​ and c1\sqrt{c_1}c1​​. The paper then constructs (§V, Theorem 1) a weight function with c1=2 rank(A)c_1=2\,\mathrm{rank}(A)c1​=2rank(A), cγ=2c_\gamma=2cγ​=2 and crc_rcr​ logarithmic in m/rank(A)m/\mathrm{rank}(A)m/rank(A), which yields the O~(rank(A))\tilde O(\sqrt{\mathrm{rank}(A)})O~(rank(A)​) iteration bound. The theorem isolates exactly which properties of a weighting scheme are needed, so it applies to any weight function satisfying Definition 4.

The FOCS extended abstract states these results without proofs; the proofs are in the arXiv full version (arXiv:1312.6677). The results are proved on paper. No machine-checked formalization of weighted path following, or of the Lee–Sidford framework, is known. A formal proof would check the constants 1100\frac1{100}1001​, 14\frac1{4}41​, 18\frac1881​ and 21+r\frac2{1+r}1+r2​ as stated in the extended abstract, and would produce reusable Lean infrastructure for Newton steps of barrier functions with explicit matrix formulas.

Difficulty

The standard analysis of Newton's method on a self-concordant barrier gives quadratic convergence of centrality for a fixed barrier. Here the barrier changes during the step: the weights are reset to g⃗(s(x(new)))\vec g(s(x^{(new)}))g​(s(x(new))), so the new centrality is measured with respect to a different Hessian and a different gradient. The obvious argument, analysing the step at fixed weights and then treating the re-weighting as a small perturbation, does not give a contraction factor independent of mmm: without control of how g⃗\vec gg​ reacts to changes in the slacks, the re-weighting can undo the progress of the step. The step-consistency conditions of Definition 4 are the only hypotheses that control this reaction, and they are pointwise bounds on the Jacobian of g⃗\vec gg​, while the step moves the slacks by a finite amount.

Formalization scope

Vectors are Fin n → ℝ and Fin m → ℝ, matrices Matrix (Fin m) (Fin n) ℝ, and products are Matrix.mulVec and dotProduct. S−1S^{-1}S−1 is the diagonal matrix of reciprocals, W±1/2W^{\pm1/2}W±1/2 the diagonal matrices of wi±1\sqrt{w_i}^{\pm1}wi​​±1, and ∥v∥M=vTMv\|v\|_M=\sqrt{v^TMv}∥v∥M​=vTMv​. The Newton step and centrality are defined by the explicit formulas (3) and (4), not by derivatives of ftf_tft​; the centrality uses the Hessian-norm form of (4). The Jacobian G′(s)G'(s)G′(s) is the Fréchet derivative fderiv ℝ g s, and ∥⋅∥∞\|\cdot\|_\infty∥⋅∥∞​ is Mathlib's sup norm.

Conventions fixed where the paper is silent:

  1. Full column rank. Every theorem assumes A.rank = n. The paper uses (ATSx−1WSx−1A)−1(A^TS_x^{-1}WS_x^{-1}A)^{-1}(ATSx−1​WSx−1​A)−1 without comment; the inverse exists for positive slacks and weights exactly when AAA has full column rank. Lean's matrix inverse is 000 on singular matrices, which would make h⃗t\vec h_tht​, δt\delta_tδt​ and γ\gammaγ vanish and every statement trivially true; the rank hypothesis rules this trivializing reading out.
  2. Size as an upper bound. Definition 4's "c1(g⃗)=∥g⃗(s)∥1c_1(\vec g)=\|\vec g(s)\|_1c1​(g​)=∥g​(s)∥1​" is read as ∥g⃗(s)∥1≤c1\|\vec g(s)\|_1\le c_1∥g​(s)∥1​≤c1​ for all s>0s>0s>0 (the paper's own weight function reports a c1c_1c1​ above its ℓ1\ell_1ℓ1​ norm). c1c_1c1​ does not enter Theorem 5.
  3. Operator norm. Step consistency's first bullet is written as ∥(I+r−1G−1G′S)y∥G(s)≤∥y∥G(s)\|(I+r^{-1}G^{-1}G'S)y\|_{G(s)}\le\|y\|_{G(s)}∥(I+r−1G−1G′S)y∥G(s)​≤∥y∥G(s)​ for all yyy.
  4. Lemma 3's rrr ranges over r≥0r\ge0r≥0, and γ(x,w)\gamma(x,w)γ(x,w) means γ(s(x),w)\gamma(s(x),w)γ(s(x),w).
  5. Feasibility of the new point is part of the conclusion of Lemma 3 and Theorem 5, since the page's conclusion evaluates quantities defined only on the interior.
  6. Maximum over [m][m][m] is a supremum over Fin m (attained for m≥1m\ge1m≥1, equal to 000 for m=0m=0m=0).
  7. The path parameter ttt is unrestricted in Theorem 5 and Lemma 3, as on the page; Lemma 1 assumes t≥0t\ge0t≥0 as the page does.

A complete development needs basic facts about weighted norms and the projection matrix PS−1A(w)P_{S^{-1}A}(w)PS−1A​(w), spectral comparison of the matrices ATS−1WS−1AA^TS^{-1}WS^{-1}AATS−1WS−1A for nearby slacks and weights, and calculus for vector-valued maps on the positive orthant. The weighted-norm and projection-matrix material is reusable for any interior point analysis. Proofs of the milestones, alternative arguments, and sharper constants are welcome.

Selected references

  • Y. T. Lee, A. Sidford, Path Finding Methods for Linear Programming: Solving Linear Programs in Õ(√rank) Iterations and Faster Algorithms for Maximum Flow, FOCS 2014, pp. 424–433. https://doi.org/10.1109/FOCS.2014.52
  • Y. T. Lee, A. Sidford, Path Finding I: Solving Linear Programs with Õ(√rank) Linear System Solves, arXiv:1312.6677, 2013. https://arxiv.org/abs/1312.6677
  • J. Renegar, A polynomial-time algorithm, based on Newton's method, for linear programming, Mathematical Programming 40, 1988, pp. 59–93. https://doi.org/10.1007/BF01580724
  • N. Karmarkar, A new polynomial-time algorithm for linear programming, Combinatorica 4, 1984, pp. 373–395. https://doi.org/10.1007/BF02579150
  • Y. Nesterov, A. Nemirovskii, Interior-Point Polynomial Algorithms in Convex Programming, SIAM, 1994. https://doi.org/10.1137/1.9781611970791
6 thms2 active usersReviewed
🏆Completed
Operations ResearchOptimization·Captain: mikedeng1

Cubic Regularization of Newton Method and Its Global Performance I: Global Rate of Convergence to Second-Order Stationary PointsResearch Paper

Motivation

Newton's method is the standard second-order algorithm for unconstrained minimization, but without safeguards it has no global guarantee: far from a minimizer the Newton step can increase the objective, and at a point where the Hessian is indefinite the step can head for a saddle point or a maximum. The usual repairs (line search, trust regions, Levenberg–Marquardt damping) come with convergence proofs, but for nonconvex objectives those proofs typically give no rate at all, or only the rate of the gradient method.

Nesterov and Polyak (Math. Program. 108 (2006) 177–205) proposed to regularize the second-order Taylor model of the objective with a cubic term and to take as the next iterate a global minimizer of the regularized model. They showed that the resulting method has a global worst-case rate of convergence to points satisfying the second-order necessary conditions, for every objective with a Lipschitz continuous Hessian and without any convexity. That rate, O(k−2/3)O(k^{-2/3})O(k−2/3) for the gradient norm, is better than the O(k−1/2)O(k^{-1/2})O(k−1/2) of the gradient method. It became the reference point for the complexity theory of nonconvex second-order optimization: adaptive variants (Cartis, Gould and Toint, Math. Program. 127 (2011) 245–295) and lower bounds showing that O(ϵ−3/2)O(\epsilon^{-3/2})O(ϵ−3/2) iterations are optimal among second-order methods (Carmon, Duchi, Hinder and Sidford, Math. Program. 184 (2020) 71–120) are stated against it.

This mission formalizes the general convergence result of that paper, Theorem 1 of Section 3, together with the properties of the cubic step from Section 2 on which it rests.

Setting

Let F⊆RnF \subseteq \mathbb{R}^nF⊆Rn be a closed convex set with nonempty interior, and let fff be twice differentiable on FFF with gradient f′(x)f'(x)f′(x) and Hessian f′′(x)f''(x)f′′(x). A starting point x0∈int⁡Fx_0 \in \operatorname{int} Fx0​∈intF is fixed, and FFF is assumed to contain the level set L(f(x0))={x∈Rn:f(x)≤f(x0)}\mathcal{L}(f(x_0)) = \{x \in \mathbb{R}^n : f(x) \le f(x_0)\}L(f(x0​))={x∈Rn:f(x)≤f(x0​)} in its interior. Assumption 1: the Hessian is Lipschitz continuous on FFF in the spectral norm, ∥f′′(x)−f′′(y)∥≤L∥x−y∥\|f''(x) - f''(y)\| \le L\|x - y\|∥f′′(x)−f′′(y)∥≤L∥x−y∥ for all x,y∈Fx, y \in Fx,y∈F, with L>0L > 0L>0.

For a parameter M>0M > 0M>0 the cubic model of fff at xxx is

mM,x(y)=⟨f′(x),y−x⟩+12⟨f′′(x)(y−x),y−x⟩+M6∥y−x∥3.m_{M,x}(y) = \langle f'(x), y - x\rangle + \tfrac12 \langle f''(x)(y - x), y - x\rangle + \tfrac{M}{6}\|y - x\|^3 .mM,x​(y)=⟨f′(x),y−x⟩+21​⟨f′′(x)(y−x),y−x⟩+6M​∥y−x∥3.

The cubic-regularized Newton step TM(x)T_M(x)TM​(x) is any global minimizer of mM,xm_{M,x}mM,x​ over Rn\mathbb{R}^nRn; it exists because the model is continuous and coercive. Write rM(x)=∥x−TM(x)∥r_M(x) = \|x - T_M(x)\|rM​(x)=∥x−TM​(x)∥ and fˉM(x)=f(x)+min⁡ymM,x(y)\bar f_M(x) = f(x) + \min_y m_{M,x}(y)fˉ​M​(x)=f(x)+miny​mM,x​(y).

The cubic regularization of Newton method (3.3) fixes L0∈(0,L]L_0 \in (0, L]L0​∈(0,L], starts at x0x_0x0​ and, for k≥0k \ge 0k≥0, chooses Mk∈[L0,2L]M_k \in [L_0, 2L]Mk​∈[L0​,2L] such that f(TMk(xk))≤fˉMk(xk)f(T_{M_k}(x_k)) \le \bar f_{M_k}(x_k)f(TMk​​(xk​))≤fˉ​Mk​​(xk​), then sets xk+1=TMk(xk)x_{k+1} = T_{M_k}(x_k)xk+1​=TMk​​(xk​). The choice Mk=LM_k = LMk​=L always passes the test.

Write λn(A)\lambda_n(A)λn​(A) for the smallest eigenvalue of a symmetric matrix AAA. The measure of local optimality is

μM(x)=max⁡{2L+M ∥f′(x)∥, −22L+M λn(f′′(x))}.\mu_M(x) = \max\Big\{ \sqrt{\tfrac{2}{L + M}\,\|f'(x)\|},\ -\tfrac{2}{2L + M}\,\lambda_n(f''(x)) \Big\}.μM​(x)=max{L+M2​∥f′(x)∥​, −2L+M2​λn​(f′′(x))}.

It is nonnegative and vanishes exactly when f′(x)=0f'(x) = 0f′(x)=0 and f′′(x)⪰0f''(x) \succeq 0f′′(x)⪰0.

Formalization targets

Goal: Theorem 1, inequality (3.4)

If f(x)≥f∗f(x) \ge f^*f(x)≥f∗ for all x∈Fx \in Fx∈F, then every run of method (3.3) satisfies, for every k≥1k \ge 1k≥1,

min⁡1≤i≤kμL(xi)≤83⋅(3 (f(x0)−f∗)2k⋅L0)1/3.\min_{1 \le i \le k} \mu_L(x_i) \le \frac{8}{3}\cdot\left(\frac{3\,(f(x_0) - f^*)}{2k\cdot L_0}\right)^{1/3}.1≤i≤kmin​μL​(xi​)≤38​⋅(2k⋅L0​3(f(x0​)−f∗)​)1/3.

The constant 8/38/38/3 and the exponent 1/31/31/3 are the paper's; the statement holds for every admissible choice of the parameters MkM_kMk​ and of the global minimizers xk+1x_{k+1}xk+1​.

Milestones, in attack order

  1. Lemma 1 (2.2): ∥f′(y)−f′(x)−f′′(x)(y−x)∥≤12L∥y−x∥2\|f'(y) - f'(x) - f''(x)(y - x)\| \le \tfrac12 L\|y - x\|^2∥f′(y)−f′(x)−f′′(x)(y−x)∥≤21​L∥y−x∥2 on FFF.
  2. Eq. (2.5): f′(x)+f′′(x)(T−x)+12M∥T−x∥(T−x)=0f'(x) + f''(x)(T - x) + \tfrac12 M\|T - x\|(T - x) = 0f′(x)+f′′(x)(T−x)+21​M∥T−x∥(T−x)=0 for T=TM(x)T = T_M(x)T=TM​(x).
  3. Proposition 1 (2.7): f′′(x)+12MrM(x)I⪰0f''(x) + \tfrac12 M r_M(x) I \succeq 0f′′(x)+21​MrM​(x)I⪰0.
  4. Lemma 2 (2.8): ⟨f′(x),x−TM(x)⟩≥0\langle f'(x), x - T_M(x)\rangle \ge 0⟨f′(x),x−TM​(x)⟩≥0 when f(x)≤f(x0)f(x) \le f(x_0)f(x)≤f(x0​).
  5. Lemma 4 (2.11): f(x)−fˉM(x)≥M12rM(x)3f(x) - \bar f_M(x) \ge \tfrac{M}{12} r_M(x)^3f(x)−fˉ​M​(x)≥12M​rM​(x)3.
  6. Lemma 4 (2.12): for M≥LM \ge LM≥L, TM(x)∈FT_M(x) \in FTM​(x)∈F and f(TM(x))≤fˉM(x)f(T_M(x)) \le \bar f_M(x)f(TM​(x))≤fˉ​M​(x).
  7. Lemma 3 (2.9): ∥f′(TM(x))∥≤12(L+M)rM(x)2\|f'(T_M(x))\| \le \tfrac12(L + M) r_M(x)^2∥f′(TM​(x))∥≤21​(L+M)rM​(x)2 when TM(x)∈FT_M(x) \in FTM​(x)∈F.
  8. Lemma 5: μM(TM(x))≤rM(x)\mu_M(T_M(x)) \le r_M(x)μM​(TM​(x))≤rM​(x).
  9. Theorem 1, first claim: ∑i≥0rMi(xi)3≤12L0(f(x0)−f∗)\sum_{i \ge 0} r_{M_i}(x_i)^3 \le \tfrac{12}{L_0}(f(x_0) - f^*)∑i≥0​rMi​​(xi​)3≤L0​12​(f(x0​)−f∗).
  10. Theorem 1, second claim: lim⁡i→∞μL(xi)=0\lim_{i\to\infty} \mu_L(x_i) = 0limi→∞​μL​(xi​)=0.

Significance

Inequality (3.4) is a global, dimension-free complexity bound for reaching approximate second-order stationarity. It controls both the gradient norm, min⁡1≤i≤k∥f′(xi)∥=O(k−2/3)\min_{1\le i\le k}\|f'(x_i)\| = O(k^{-2/3})min1≤i≤k​∥f′(xi​)∥=O(k−2/3), and the most negative curvature, max⁡{0,−λn(f′′(xi))}=O(k−1/3)\max\{0, -\lambda_n(f''(x_i))\} = O(k^{-1/3})max{0,−λn​(f′′(xi​))}=O(k−1/3), along the best iterate, from a single scalar potential f(x0)−f∗f(x_0) - f^*f(x0​)−f∗. The second claim of Theorem 1 gives the asymptotic counterpart: every limit point satisfies the second-order necessary conditions. Section 4 of the paper derives its faster rates for star-convex and gradient-dominated functions from the same Section 2 lemmas.

The result is proved on paper and widely cited; to our knowledge no machine-checked proof of it or of the Section 2 lemmas exists. A formalization adds a checked statement of the method with its exact constants, and reusable facts about global minimizers of cubic models (Proposition 1 in particular) that the companion missions on star-convex, gradient-dominated and locally quadratic convergence also rely on.

Difficulty

Most steps are short inequalities, but two are not. Proposition 1 is a statement about a global minimizer of a nonconvex function: the first- and second-order conditions of a local minimizer give only f′′(x)+12MrI+M2r(T−x)(T−x)⊤⪰0f''(x) + \tfrac12 M r I + \tfrac{M}{2r}(T - x)(T - x)^\top \succeq 0f′′(x)+21​MrI+2rM​(T−x)(T−x)⊤⪰0, which is weaker. The natural first attempt, "take the second-order optimality condition of the model at TTT", therefore fails. The paper proves it in Section 5.1 through a one-dimensional dual characterization of the minimizer.

The second is Lemma 2's second claim, used for (2.12): showing that TM(x)T_M(x)TM​(x) stays in FFF requires a boundary argument along the segment from xxx to TM(x)T_M(x)TM​(x), since the Taylor bounds are only available inside FFF. The remaining work is calculus in Rn\mathbb{R}^nRn: the integral form of Taylor's theorem for the gradient under a Lipschitz Hessian, and eigenvalue perturbation for the second entry of μ\muμ.

Formalization scope

The space is EuclideanSpace ℝ (Fin n) for arbitrary n : ℕ. The gradient and Hessian are maps g and H with HasGradientAt f (g x) x and HasFDerivAt g (H x) x at every x ∈ F. At boundary points of FFF this asks for two-sided derivatives, a mild strengthening of "twice differentiable on FFF". The Lipschitz condition uses the operator norm, which is the spectral norm. TM(x)T_M(x)TM​(x) is represented by the predicate IsCubicStep (global minimizer of cubicModel), and every lemma is stated for every such minimizer. The run predicate IsCubicNewtonRun is 0-based. It writes fˉMk(xk)\bar f_{M_k}(x_k)fˉ​Mk​​(xk​) as f(xk)f(x_k)f(xk​) plus the model value at xk+1x_{k+1}xk+1​, which is the minimum because xk+1x_{k+1}xk+1​ attains it. λn\lambda_nλn​ is lamMin, the Rayleigh-quotient infimum over the unit sphere, which equals the smallest eigenvalue for the (symmetric) Hessian. The lower bound f∗f^*f∗ is required on FFF only. The minimum over 1≤i≤k1 \le i \le k1≤i≤k is written as the existence of an index attaining the bound.

A stationary point of the cubic model is not an admissible step, and the run must keep the test Mk∈[L0,2L]M_k \in [L_0, 2L]Mk​∈[L0​,2L] and the acceptance test. Replacing the step by any point with f(xk+1)≤f(xk)f(x_{k+1}) \le f(x_k)f(xk+1​)≤f(xk​) makes the goal false, and dropping the square root in μM\mu_MμM​ makes Lemma 5 false. The statements rule out all three. Lemma 5 carries the hypothesis TM(x)∈FT_M(x) \in FTM​(x)∈F, which its printed proof uses and which holds at every iterate.

A complete development needs the Taylor bounds (2.2)–(2.3) for vector-valued derivatives on convex sets, and first- and second-order optimality for the cubic model. It also needs a proof of Proposition 1 (Section 5.1 or any other correct argument) and eigenvalue perturbation via Rayleigh quotients. The cubic-model lemmas and Proposition 1 are reusable across the whole series. Proofs of any milestone, alternative proofs of Proposition 1, and general Mathlib-level lemmas about Rayleigh quotients are welcome.

Selected references

  • Yu. Nesterov and B. T. Polyak, Cubic regularization of Newton method and its global performance, Mathematical Programming, Ser. A 108 (2006) 177–205. https://doi.org/10.1007/s10107-006-0706-8
  • C. Cartis, N. I. M. Gould and Ph. L. Toint, Adaptive cubic regularisation methods for unconstrained optimization. Part I: motivation, convergence and numerical results, Mathematical Programming 127 (2011) 245–295. https://doi.org/10.1007/s10107-009-0286-5
  • Y. Carmon, J. C. Duchi, O. Hinder and A. Sidford, Lower bounds for finding stationary points I, Mathematical Programming 184 (2020) 71–120. https://doi.org/10.1007/s10107-019-01406-y
  • Yu. Nesterov, Introductory Lectures on Convex Optimization: A Basic Course, Kluwer, 2004. https://doi.org/10.1007/978-1-4419-8853-9
16 thms3 active usersReviewed
🏆Completed
Linear algebraNumerical AnalysisOperations Research+1·Captain: mikedeng1

Updating Quasi-Newton Matrices with Limited Storage: The Limited-Storage BFGS Method Reaches the Minimizer of a Strictly Convex Quadratic in at Most n StepsResearch Paper

Motivation

Quasi-Newton methods minimize a smooth function fff on Rn\mathbb{R}^nRn by moving along dk=−Hkgkd_k = -H_k g_kdk​=−Hk​gk​, where gkg_kgk​ is the gradient and HkH_kHk​ is an approximation of the inverse Hessian built from observed gradient differences. The BFGS update is the most widely used way of building HkH_kHk​, but it stores a dense n×nn \times nn×n matrix, which is prohibitive for large nnn.

Nocedal's 1980 paper (Math. Comp. 35, 773–782) proposed keeping only the last mmm correction pairs and rebuilding the matrix from a simple initial matrix H0H_0H0​ at every step. The resulting method, called SQN in the paper, is now known as L-BFGS, and it is the default large-scale unconstrained optimizer in many numerical libraries and in machine learning. The paper's main theoretical claim is that this truncation does not destroy the finite termination of BFGS on quadratics.

Timeline:

  • 1970: Broyden, Fletcher, Goldfarb and Shanno introduce the BFGS update (references [1] and [5] of the paper).
  • 1977: Nazareth relates BFGS to conjugate gradients (Argonne Tech. Memo 282, reference [7]); his form of preconditioned conjugate gradients is the one the paper uses.
  • 1977–1978: Shanno studies the memoryless BFGS update, the case m=1m = 1m=1 (reference [11]; journal version Math. Oper. Res. 3, 1978).
  • 1980: Nocedal defines the special BFGS matrices and the SQN method and states that on quadratics with exact line searches SQN is identical to preconditioned conjugate gradients, hence has quadratic termination.
  • 1989: Liu and Nocedal (Math. Programming 45) study the method, now called L-BFGS, for large-scale problems.
  • 1998: Kolda, O'Leary and Nazareth (SIAM J. Optim. 8) treat limited-memory and update-skipping BFGS variants with exact line searches on quadratics.

Setting

Let AAA be a symmetric positive definite n×nn \times nn×n matrix and b∈Rnb \in \mathbb{R}^nb∈Rn, and let f(x)=12xTAx+bTxf(x) = \tfrac12 x^T A x + b^T xf(x)=21​xTAx+bTx, a strictly convex quadratic with gradient g(x)=Ax+bg(x) = Ax + bg(x)=Ax+b and unique minimizer x∗=−A−1bx^\ast = -A^{-1} bx∗=−A−1b.

Exact line search. Along a direction d≠0d \neq 0d=0 from xxx, the step α=−g(x)Td/dTAd\alpha = -g(x)^T d / d^T A dα=−g(x)Td/dTAd minimizes f(x+αd)f(x + \alpha d)f(x+αd).

BFGS update. For a pair (s,y)(s, y)(s,y) with ρ=1/yTs\rho = 1/y^T sρ=1/yTs and v=I−ρysTv = I - \rho y s^Tv=I−ρysT, the BFGS update of HHH is

Hˉ=vTHv+ρssT.\bar H = v^T H v + \rho s s^T .Hˉ=vTHv+ρssT.

Special BFGS matrices. Fix H0H_0H0​ symmetric positive definite and a number m≥1m \ge 1m≥1 of stored corrections. Given pairs (sj,yj)(s_j, y_j)(sj​,yj​), the special matrix HKH_KHK​ is H0H_0H0​ updated by the pairs j=K−min⁡(K,m),…,K−1j = K - \min(K, m), \dots, K-1j=K−min(K,m),…,K−1, oldest first (the paper's (4)–(5)). Only the mmm most recent pairs enter, and the matrix is rebuilt from H0H_0H0​.

SQN. Starting from x0x_0x0​, with gi=g(xi)g_i = g(x_i)gi​=g(xi​):

di=−Higi,xi+1=xi+αidi,si=xi+1−xi,yi=gi+1−gi,d_i = -H_i g_i, \qquad x_{i+1} = x_i + \alpha_i d_i, \qquad s_i = x_{i+1} - x_i,\quad y_i = g_{i+1} - g_i,di​=−Hi​gi​,xi+1​=xi​+αi​di​,si​=xi+1​−xi​,yi​=gi+1​−gi​,

with αi\alpha_iαi​ the exact step and Hi+1H_{i+1}Hi+1​ the special matrix built from the last min⁡(i+1,m)\min(i+1, m)min(i+1,m) pairs.

PCG with fixed preconditioner H0H_0H0​. d0=−H0g0d_0 = -H_0 g_0d0​=−H0​g0​, xi+1=xi+αidix_{i+1} = x_i + \alpha_i d_ixi+1​=xi​+αi​di​, di+1=−H0gi+1+βi+1did_{i+1} = -H_0 g_{i+1} + \beta_{i+1} d_idi+1​=−H0​gi+1​+βi+1​di​ with βi+1=yiTH0gi+1/yiTdi\beta_{i+1} = y_i^T H_0 g_{i+1} / y_i^T d_iβi+1​=yiT​H0​gi+1​/yiT​di​.

Formalization targets

Goal: quadratic termination of SQN

For every nnn, every symmetric positive definite AAA and H0H_0H0​, every bbb, x0x_0x0​ and every m≥1m \ge 1m≥1,

∃ k≤n:Axk+b=0,\exists\, k \le n : \quad A x_k + b = 0 ,∃k≤n:Axk​+b=0,

where xkx_kxk​ are the SQN iterates. The statement fixes no constant beyond the dimension bound nnn.

Milestones

  1. Property (a): the special matrices are positive definite whenever yiTsi>0y_i^T s_i > 0yiT​si​>0 for all iii.
  2. Eq. (7): along conjugate steps, viyi=0v_i y_i = 0vi​yi​=0 and viyj=yjv_i y_j = y_jvi​yj​=yj​ for i>ji > ji>j.
  3. Eq. (6): along conjugate steps, Hkyj=sjH_k y_j = s_jHk​yj​=sj​ for the mmm most recent jjj (when k>mk > mk>m).
  4. Eq. (10): the special matrix equals mmm sum-form BFGS corrections applied to H0H_0H0​.
  5. Eq. (15): the PCG directions satisfy diTyj=0d_i^T y_j = 0diT​yj​=0 for i≠ji \neq ji=j.
  6. Eq. (16): giTH0gj=0g_i^T H_0 g_j = 0giT​H0​gj​=0 for i≠ji \neq ji=j and giTdj=0g_i^T d_j = 0giT​dj​=0 for j<ij < ij<i.
  7. The PCG with fixed preconditioner H0H_0H0​ reaches the minimizer in at most nnn steps.
  8. SQN and this PCG produce identical iterates and directions at every step.

Significance

The result shows that storing only mmm correction pairs costs nothing on quadratics: for any m≥1m \ge 1m≥1, SQN terminates in at most nnn steps, like full BFGS and conjugate gradients. It explains why L-BFGS with small mmm is competitive, and it is the model case for later analyses of limited-memory methods (their linear convergence on uniformly convex functions, and their relation to Krylov methods). Property (b) is the reason one expects efficiency to grow with mmm: the matrix satisfies the secant equation on the mmm most recent directions.

The claims are classical and generally accepted, but the paper argues them in a few lines ("it is straightforward to show"), deferring the PCG facts (15)–(16) to a reference. No machine-checked proof of the termination of BFGS, L-BFGS or preconditioned conjugate gradients is known to this mission. A formalization would provide a verified model of L-BFGS on quadratics and a reusable development of conjugate-direction methods with a preconditioner.

Difficulty

The obvious route, "SQN is BFGS and BFGS terminates", fails: SQN discards old corrections, so the classical BFGS argument (hereditary secant conditions on all past directions) does not apply once more than mmm steps have been taken. The paper asserts the identity of SQN with preconditioned conjugate gradients in one sentence ("using a similar argument as for the SCG"), and the PCG relations it relies on are quoted from a technical report. The other difficulty is bookkeeping: the window of stored pairs shifts, the matrix is a nested product, and the runs must remain meaningful after the minimizer is reached.

Formalization scope

Vectors are Fin n → ℝ, matrices Matrix (Fin n) (Fin n) ℝ, xTyx^T yxTy is dotProduct, and syTs y^TsyT is Matrix.vecMulVec. Symmetric positive definiteness is Matrix.PosDef. Indices are 0-based, as in the paper. The exact line search is the closed-form step −gTd/dTAd-g^T d / d^T A d−gTd/dTAd. The iterations have no stopping rule: once the gradient vanishes the direction and step are zero and the iterate stays at the minimizer (Lean's 0/0=00/0 = 00/0=0). Past that point the zero pair stored by SQN leaves the BFGS step unchanged. The hypotheses are exactly the paper's: A≻0A \succ 0A≻0, H0≻0H_0 \succ 0H0​≻0, m≥1m \ge 1m≥1 and exact line searches. H0H_0H0​ need not be diagonal.

Two misprints are corrected and flagged in the items: the denominator of β\betaβ in (13) is yi−1Tdi−1y_{i-1}^T d_{i-1}yi−1T​di−1​ (as in (12) and p. 778), and the second relation of (16) is stated for j<ij < ij<i (as used on p. 778), since it fails for i<ji < ji<j.

Ruled out: SQN is defined through its own matrices (4)–(5), rebuilt from H0H_0H0​ and the last mmm pairs. It is not defined through the PCG recurrence, not by one BFGS update of the previous matrix, and not with a stop rule that returns −A−1b-A^{-1}b−A−1b. The standing assumption ykTsk>0y_k^T s_k > 0ykT​sk​>0 is not a hypothesis of any statement about a run (it fails after termination and would make the goal vacuous). With m=0m = 0m=0 SQN is steepest descent and the goal is false, so m≥1m \ge 1m≥1 is required.

Needed infrastructure: algebra of rank-one updates and of Matrix.PosDef under congruence, conjugate-direction lemmas for quadratics, and the fact that n+1n+1n+1 mutually H0H_0H0​-orthogonal vectors in Rn\mathbb{R}^nRn include a zero vector. The PCG results (milestones 5–7) are reusable beyond this mission. Proofs of any milestone, or of the goal directly, are welcome.

Selected references

  • J. Nocedal, Updating Quasi-Newton Matrices with Limited Storage, Mathematics of Computation 35(151), 1980, 773–782. https://doi.org/10.1090/s0025-5718-1980-0572855-7
  • D. F. Shanno, Conjugate gradient methods with inexact searches, Mathematics of Operations Research 3(3), 1978, 244–256. https://doi.org/10.1287/moor.3.3.244
  • L. Nazareth, A Relationship Between the BFGS and Conjugate Gradient Algorithms, ANL-AMD Tech. Memo 282 (rev.), Argonne National Laboratory, 1977 (reference [7] of Nocedal 1980; no online copy located).
  • T. G. Kolda, D. P. O'Leary, L. Nazareth, BFGS with update skipping and varying memory, SIAM Journal on Optimization 8(4), 1998, 1060–1083. https://doi.org/10.1137/S1052623496306450
  • D. C. Liu, J. Nocedal, On the limited memory BFGS method for large scale optimization, Mathematical Programming 45, 1989, 503–528. https://doi.org/10.1007/BF01589116
16 thms3 active usersReviewed
🏆Completed
Operations ResearchOptimizationProbability·Captain: mikedeng1

Robust Mean-Covariance Solutions for Stochastic Optimization I: The General Projection Property of Mean-Covariance Distribution ClassesResearch Paper

Motivation

In robust stochastic optimization a decision maker chooses a decision xxx whose outcome depends on a random vector R\mathbf RR, but knows only the first two moments of R\mathbf RR: its mean vector μ\muμ and its covariance matrix Σ\SigmaΣ. The decision is evaluated by its worst-case expected utility over every distribution consistent with those moments. This model is standard in portfolio selection, where estimated means and covariances are the usual inputs, and in pricing and inventory problems with mean-variance information. It goes back to Scarf's min-max newsvendor (1958) and the Chebyshev-type moment bounds of Bertsimas and Popescu (2005).

For a linear outcome x′Rx'\mathbf Rx′R, such as the return of a portfolio with weights xxx, the robust objective is

U(x)=min⁡R∼(μ,Σ)E[u(x′R)],U(x) = \min_{\mathbf R \sim (\mu,\Sigma)} E[u(x'\mathbf R)],U(x)=R∼(μ,Σ)min​E[u(x′R)],

an optimization over an infinite-dimensional set of nnn-variate distributions. Popescu (2007) showed that this problem depends on μ\muμ and Σ\SigmaΣ only through the scalar mean μx=x′μ\mu_x = x'\muμx​=x′μ and variance σx2=x′Σx\sigma_x^2 = x'\Sigma xσx2​=x′Σx. The multivariate robust problem then reduces to a univariate moment problem, and for many utilities to a parametric quadratic program. The reduction rests on one structural fact, the general projection property, which this mission formalizes.

Setting

Fix a dimension nnn. A law on Rn\mathbb R^nRn is a Borel probability measure on Rn\mathbb R^nRn. For a vector μ∈Rn\mu \in \mathbb R^nμ∈Rn and a real n×nn\times nn×n matrix Σ\SigmaΣ, the mean-covariance class M(μ,Σ)n\mathbb M^n_{(\mu,\Sigma)}M(μ,Σ)n​ is the set of laws PPP under which every coordinate RiR_iRi​ has a finite second moment and

∫Ri dP(R)=μi,∫(Ri−μi)(Rj−μj) dP(R)=Σij(1≤i,j≤n).\int R_i\,dP(R) = \mu_i, \qquad \int (R_i-\mu_i)(R_j-\mu_j)\,dP(R) = \Sigma_{ij} \qquad (1\le i,j\le n).∫Ri​dP(R)=μi​,∫(Ri​−μi​)(Rj​−μj​)dP(R)=Σij​(1≤i,j≤n).

Writing R∼(μ,Σ)\mathbf R \sim (\mu,\Sigma)R∼(μ,Σ) means that the law of R\mathbf RR lies in M(μ,Σ)n\mathbb M^n_{(\mu,\Sigma)}M(μ,Σ)n​. For n=1n=1n=1 the superscript is dropped: for real mmm and vvv, M(m,v)\mathbb M_{(m,v)}M(m,v)​ is the set of laws on R\mathbb RR with finite second moment, mean mmm and variance vvv.

For a vector x∈Rnx \in \mathbb R^nx∈Rn, the xxx-projection sends the law PPP of R\mathbf RR to the law of the scalar r=x′R\mathbf r = x'\mathbf Rr=x′R, that is, to the pushforward of PPP under R↦x′RR \mapsto x'RR↦x′R. Write μx=x′μ\mu_x = x'\muμx​=x′μ and σx2=x′Σx\sigma_x^2 = x'\Sigma xσx2​=x′Σx. The matrix Σ\SigmaΣ is positive semidefinite, Σ⪰0\Sigma \succeq 0Σ⪰0, when x′Σx≥0x'\Sigma x \ge 0x′Σx≥0 for all xxx (and Σ\SigmaΣ is symmetric); Σ1/2\Sigma^{1/2}Σ1/2 denotes its positive semidefinite square root.

Formalization targets

Goal: Theorem 1 (General Projection Property)

For every μ∈Rn\mu \in \mathbb R^nμ∈Rn, every Σ⪰0\Sigma \succeq 0Σ⪰0 and every nonzero x∈Rnx \in \mathbb R^nx∈Rn, the xxx-projection maps M(μ,Σ)n\mathbb M^n_{(\mu,\Sigma)}M(μ,Σ)n​ into and onto M(μx,σx2)\mathbb M_{(\mu_x,\sigma_x^2)}M(μx​,σx2​)​:

{ law of x′R  :  R∼(μ,Σ)}  =  M(x′μ,  x′Σx).\bigl\{\, \text{law of } x'\mathbf R \;:\; \mathbf R \sim (\mu,\Sigma) \bigr\} \;=\; \mathbb M_{(x'\mu,\; x'\Sigma x)}.{law of x′R:R∼(μ,Σ)}=M(x′μ,x′Σx)​.

The "into" half says every projected law has the right mean and variance. The "onto" half says that every univariate law with mean μx\mu_xμx​ and variance σx2\sigma_x^2σx2​, however heavy-tailed or irregular, is the law of x′Rx'\mathbf Rx′R for some R∼(μ,Σ)\mathbf R \sim (\mu,\Sigma)R∼(μ,Σ). The degenerate case x′Σx=0x'\Sigma x = 0x′Σx=0 is included.

Milestones

  1. The into half (§2.1, justification of (4)): x′Rx'\mathbf Rx′R has mean x′μx'\mux′μ and variance x′Σxx'\Sigma xx′Σx.
  2. The degenerate case: if x′Σx=0x'\Sigma x = 0x′Σx=0 then x′R=x′μx'\mathbf R = x'\mux′R=x′μ almost surely.
  3. Standardization: if r∼(m,v)\mathbf r \sim (m, v)r∼(m,v) with v>0v > 0v>0, then v−1/2(r−m)∼(0,1)v^{-1/2}(\mathbf r - m) \sim (0,1)v−1/2(r−m)∼(0,1).
  4. Normalization: for x′Σx>0x'\Sigma x > 0x′Σx>0, the vector y=(x′Σx)−1/2Σ1/2xy = (x'\Sigma x)^{-1/2}\Sigma^{1/2}xy=(x′Σx)−1/2Σ1/2x satisfies y′y=1y'y = 1y′y=1.
  5. Isotropic lift: if y′y=1y'y = 1y′y=1 and z∼(0,1)\mathbf z \sim (0,1)z∼(0,1), there is Z∼(0,In)\mathbf Z \sim (0, I_n)Z∼(0,In​) with y′Zy'\mathbf Zy′Z distributed as z\mathbf zz.
  6. Affine image: if Z∼(0,In)\mathbf Z \sim (0,I_n)Z∼(0,In​) then μ+Σ1/2Z∼(μ,Σ)\mu + \Sigma^{1/2}\mathbf Z \sim (\mu,\Sigma)μ+Σ1/2Z∼(μ,Σ), and x′(μ+Σ1/2Z)=x′μ+(x′Σx)1/2 y′Zx'(\mu + \Sigma^{1/2}Z) = x'\mu + (x'\Sigma x)^{1/2}\,y'Zx′(μ+Σ1/2Z)=x′μ+(x′Σx)1/2y′Z for every ZZZ.

Significance

The result. Theorem 1 immediately yields Proposition 1 of the paper: for every objective uuu,

min⁡R∼(μ,Σ)E[u(x′R)]=min⁡r∼(μx,σx2)E[u(r)],\min_{\mathbf R\sim(\mu,\Sigma)} E[u(x'\mathbf R)] = \min_{\mathbf r\sim(\mu_x,\sigma_x^2)} E[u(\mathbf r)],R∼(μ,Σ)min​E[u(x′R)]=r∼(μx​,σx2​)min​E[u(r)],

with minima in the wide sense of infima. The robust objective is therefore a function of (μx,σx)(\mu_x, \sigma_x)(μx​,σx​) alone, which makes every robust mean-covariance problem with a linear outcome a bicriteria mean-variance problem. The paper's later results use this: the two-point and one-point support properties, the parametric quadratic programming solution, and the portfolio applications (bonus schemes, value at risk). The projection property holds with no assumption on uuu, so it serves non-concave, discontinuous and quantile-based objectives alike.

Formalizing it. The theorem is proved in the paper; no machine-checked version is known. The mission produces a formal definition of mean-covariance classes that treats integrability honestly, a proof of the projection property, and through it a formally verified reduction of multivariate moment-robust problems to univariate ones. The paper's own construction of the lifted vector has a gap (see Difficulty), so a formal proof also records a corrected argument.

Difficulty

The into half is a computation with linearity of expectation. The difficulty is entirely in the onto half. Given an arbitrary univariate law with prescribed mean and variance, one must build an nnn-variate law with a prescribed full covariance matrix whose one-dimensional marginal in direction xxx is exactly the given law. This is a coupling problem: the obvious approach, taking independent coordinates, fixes the marginal in direction xxx as a convolution and cannot reproduce an arbitrary target. Taking R\mathbf RR supported on the line through μ\muμ in a single direction reproduces the target law but has a rank-one covariance and fails whenever Σ\SigmaΣ has rank above one.

The paper's appendix constructs the lift through conditional distributions of the remaining coordinates given the projected one. As printed, the conditional second-moment requirement it imposes cannot hold for unbounded targets, so that argument does not go through verbatim. The milestone for the lift states only the claim, not the printed construction.

The integrability bookkeeping is real work: every intermediate law must be shown to have finite second moments before its moments can be computed.

Formalization scope

  • Rn\mathbb R^nRn is EuclideanSpace ℝ (Fin n) with its Borel σ-algebra; x′Rx'Rx′R is the inner product ⟨x,R⟩\langle x, R\rangle⟨x,R⟩; x′Σxx'\Sigma xx′Σx is x.ofLp ⬝ᵥ S *ᵥ x.ofLp, where the matrix Σ\SigmaΣ is named S (the symbol Σ is reserved in Lean).
  • Laws are probability measures. Both classes require finite second moments (MemLp … 2), so that means and covariances are genuine integrals, not the default value 000 that Lean assigns to non-integrable functions. The univariate class is parametrized by the variance v=σ2v = \sigma^2v=σ2, not by σ\sigmaσ.
  • The projection is the pushforward P.map (fun R => ⟪x, R⟫) under a continuous map. "Pathwise" identities in the paper become equalities of pushforward laws, or pointwise algebraic identities.
  • Σ1/2\Sigma^{1/2}Σ1/2 is CFC.sqrt S, acting through Matrix.toEuclideanCLM, as in Mathlib's multivariateGaussian.
  • The goal is stated as Set.MapsTo ∧ Set.SurjOn with both classes explicit. Its only hypotheses are Σ⪰0\Sigma \succeq 0Σ⪰0 and x≠0x \ne 0x=0, as in the paper. No bound on nnn, no invertibility of Σ\SigmaΣ and no positivity of x′Σxx'\Sigma xx′Σx is assumed. Restricting the target to Gaussian, bounded or finitely supported laws, or dropping the finite-second-moment clause (which would admit Cauchy laws as "mean 0, variance 0"), would trivialize or change the theorem and is ruled out.
  • Milestones 3, 4 and 6 assume x′Σx>0x'\Sigma x > 0x′Σx>0 (or v>0v > 0v>0), the case the proof treats after its first sentence; milestone 2 covers the complementary case.

Needed infrastructure: moments of pushforwards under linear and affine maps, a covariance calculus for coordinates of random vectors, and a coupling that realizes the isotropic lift. Mathlib's multivariateGaussian, stdGaussian and CFC.sqrt are available. A reusable lemma "the covariance of AZ+bA\mathbf Z + bAZ+b is A Cov(Z)A′A\,\mathrm{Cov}(\mathbf Z)A'ACov(Z)A′" would serve beyond this mission. Related platform work on moment-based ambiguity sets: Wasserstein Distributionally Robust Optimization II. Contributions of any milestone, and alternative proofs of the lift, are welcome.

Selected references

  • I. Popescu, Robust Mean-Covariance Solutions for Stochastic Optimization, Operations Research 55(1):98–112, 2007. https://doi.org/10.1287/opre.1060.0353
  • D. Bertsimas, I. Popescu, Optimal Inequalities in Probability Theory: A Convex Optimization Approach, SIAM Journal on Optimization 15(3):780–804, 2005. https://doi.org/10.1137/S1052623401399903
  • H. Scarf, A Min-Max Solution of an Inventory Problem, in Studies in the Mathematical Theory of Inventory and Production, Stanford University Press, 1958.
  • W. W. Rogosinski, Moments of Non-Negative Mass, Proceedings of the Royal Society A 245:1–27, 1958. https://doi.org/10.1098/rspa.1958.0062
10 thms2 active usersReviewed
🏆Completed
AnalysisOperations ResearchOptimization·Captain: mikedeng1

Robust Mean-Covariance Solutions for Stochastic Optimization II: An Inverse S-Shaped Derivative with Finite Limits Gives the Two-Point Support PropertyResearch Paper

Motivation

In stochastic optimization the law of a random return rrr is rarely known exactly, while its mean and variance can be estimated. A robust mean-covariance decision maker therefore evaluates a utility uuu by its worst case

U=inf⁡{ Eν[u(r)]:ν a law on R with mean μ and variance σ2 }.U=\inf\{\,E_\nu[u(r)] : \nu \text{ a law on } \mathbb R \text{ with mean } \mu \text{ and variance } \sigma^2\,\}.U=inf{Eν​[u(r)]:ν a law on R with mean μ and variance σ2}.

Popescu (Operations Research 55(1), 2007) shows that for large classes of utilities this infinite-dimensional problem collapses to a one-dimensional one. The paper projects multivariate problems to a single dimension (the subject of the first mission of this series) and then asks for which uuu the univariate worst case sits on laws with two support points. This mission formalizes the answer the paper gives for utilities whose marginal utility u′u'u′ is decreasing and changes curvature once, with finite limits: log-logistic utilities C+log⁡11+e−axC+\log\frac{1}{1+e^{-ax}}C+log1+e−ax1​ used in statistics and classification, and catenary-type utilities C−bcosh⁡(ax)C-b\cosh(ax)C−bcosh(ax), each plus a concave quadratic.

The result has a bounded-support precursor: Birge and Dulá (Annals of Operations Research 30, 1991, Theorem 5.1, as cited on p. 102 of Popescu 2007) proved an analogous two-point statement for functions on a bounded interval. Popescu's Proposition 5 is the unbounded version on the whole real line.

Setting

Let u:R→Ru:\mathbb R\to\mathbb Ru:R→R.

  • The family Q\mathcal QQ collects the coefficient triples of quadratics lying below uuu: Q={(A,B,C)∣q(y)=Ay2+By+C≤u(y) ∀y∈R}\mathcal Q=\{(A,B,C) \mid q(y)=Ay^2+By+C\le u(y)\ \forall y\in\mathbb R\}Q={(A,B,C)∣q(y)=Ay2+By+C≤u(y) ∀y∈R}.
  • A two-point law with support {a,b}\{a,b\}{a,b}, a<ba<ba<b, puts mass p∈(0,1)p\in(0,1)p∈(0,1) on aaa and 1−p1-p1−p on bbb. It has mean μ\muμ and variance σ2\sigma^2σ2 when pa+(1−p)b=μpa+(1-p)b=\mupa+(1−p)b=μ and p(a−μ)2+(1−p)(b−μ)2=σ2p(a-\mu)^2+(1-p)(b-\mu)^2=\sigma^2p(a−μ)2+(1−p)(b−μ)2=σ2.
  • Two-point support property (Definition 1). uuu has it with respect to (μ,σ2)(\mu,\sigma^2)(μ,σ2) if some quadratic qqq with coefficients in Q\mathcal QQ meets uuu at two points a<ba<ba<b, i.e. q(a)=u(a)q(a)=u(a)q(a)=u(a), q(b)=u(b)q(b)=u(b)q(b)=u(b), and a two-point law with support {a,b}\{a,b\}{a,b}, mean μ\muμ and variance σ2\sigma^2σ2 exists. uuu has the two-point support property if this holds for every μ∈R\mu\in\mathbb Rμ∈R and every σ>0\sigma>0σ>0.
  • Shapes (Definition 2). f:R→Rf:\mathbb R\to\mathbb Rf:R→R is convex-concave if for some x0x_0x0​ it is convex on (−∞,x0)(-\infty,x_0)(−∞,x0​) and concave on (x0,∞)(x_0,\infty)(x0​,∞); concave-convex if −f-f−f is convex-concave; S-shaped if increasing and convex-concave; inverse S-shaped if −f-f−f is S-shaped. So an inverse S-shaped fff is decreasing, concave on (−∞,x0)(-\infty,x_0)(−∞,x0​) and convex on (x0,∞)(x_0,\infty)(x0​,∞).
  • Lemma 1's quadratic. For a<ba<ba<b and slopes qa,qbq_a,q_bqa​,qb​, set
A=qb−qa2(b−a),B=bqa−aqbb−a,C=bu(a)−au(b)b−a−ab qa−qb2(b−a),A=\frac{q_b-q_a}{2(b-a)},\quad B=\frac{bq_a-aq_b}{b-a},\quad C=\frac{bu(a)-au(b)}{b-a}-ab\,\frac{q_a-q_b}{2(b-a)},A=2(b−a)qb​−qa​​,B=b−abqa​−aqb​​,C=b−abu(a)−au(b)​−ab2(b−a)qa​−qb​​,

and q(y)=Ay2+By+Cq(y)=Ay^2+By+Cq(y)=Ay2+By+C (lemma1Quad).

  • The function ggg. For μ∈R\mu\in\mathbb Rμ∈R, σ>0\sigma>0σ>0 and y<μy<\muy<μ let z=μ+σ2/(μ−y)z=\mu+\sigma^2/(\mu-y)z=μ+σ2/(μ−y) (partnerPoint) and g(y)=u(z)−u(y)z−y−u′(y)+u′(z)2g(y)=\frac{u(z)-u(y)}{z-y}-\frac{u'(y)+u'(z)}{2}g(y)=z−yu(z)−u(y)​−2u′(y)+u′(z)​ (prop5Gap).

Formalization targets

Goal: Proposition 5 (p. 102)

If uuu is differentiable, u′u'u′ is inverse S-shaped, and the limits lim⁡y→−∞u′(y)\lim_{y\to-\infty}u'(y)limy→−∞​u′(y) and lim⁡y→+∞u′(y)\lim_{y\to+\infty}u'(y)limy→+∞​u′(y) exist and are finite, then

u satisfies the two-point support property.u \text{ satisfies the two-point support property.}u satisfies the two-point support property.

Milestones

  1. Proof of Lemma 1, first sentence. If a<ba<ba<b and u(b)−u(a)b−a=qa+qb2\frac{u(b)-u(a)}{b-a}=\frac{q_a+q_b}{2}b−au(b)−u(a)​=2qa​+qb​​, then q(a)=u(a)q(a)=u(a)q(a)=u(a) and q(b)=u(b)q(b)=u(b)q(b)=u(b).
  2. Tangency (p. 110). q′(a)=qaq'(a)=q_aq′(a)=qa​ and q′(b)=qbq'(b)=q_bq′(b)=qb​.
  3. Lemma 1. uuu has two-point support if and only if for all μ\muμ and σ>0\sigma>0σ>0 there are a<ba<ba<b and qa,qbq_a,q_bqa​,qb​ with
(b−μ)(μ−a)=σ2,u(b)−u(a)b−a=qa+qb2,q≤u on R.(b-\mu)(\mu-a)=\sigma^2,\qquad \frac{u(b)-u(a)}{b-a}=\frac{q_a+q_b}{2},\qquad q\le u \text{ on } \mathbb R.(b−μ)(μ−a)=σ2,b−au(b)−u(a)​=2qa​+qb​​,q≤u on R.
  1. Limits of ggg (p. 110). Under the goal's hypotheses, with ℓ±=lim⁡y→±∞u′(y)\ell_\pm=\lim_{y\to\pm\infty}u'(y)ℓ±​=limy→±∞​u′(y),
lim⁡y→−∞g(y)=ℓ−−u′(μ)2>0,lim⁡y→μ−g(y)=ℓ+−u′(μ)2<0.\lim_{y\to-\infty}g(y)=\frac{\ell_--u'(\mu)}{2}>0,\qquad \lim_{y\to\mu^-}g(y)=\frac{\ell_+-u'(\mu)}{2}<0 .y→−∞lim​g(y)=2ℓ−​−u′(μ)​>0,y→μ−lim​g(y)=2ℓ+​−u′(μ)​<0.
  1. A zero of ggg (p. 110). There is a<μa<\mua<μ with g(a)=0g(a)=0g(a)=0; with b=μ+σ2/(μ−a)b=\mu+\sigma^2/(\mu-a)b=μ+σ2/(μ−a) one has a<ba<ba<b, (b−μ)(μ−a)=σ2(b-\mu)(\mu-a)=\sigma^2(b−μ)(μ−a)=σ2 and u(b)−u(a)b−a=u′(a)+u′(b)2\frac{u(b)-u(a)}{b-a}=\frac{u'(a)+u'(b)}{2}b−au(b)−u(a)​=2u′(a)+u′(b)​.

Significance

The result. Through the paper's Proposition 4, two-point support turns the worst-case expected utility over all laws with mean μ\muμ and variance σ2\sigma^2σ2 into a minimization over a single parameter p∈(0,1)p\in(0,1)p∈(0,1) of pu(μ+(1−p)/p σ)+(1−p)u(μ−p/(1−p) σ)pu(\mu+\sqrt{(1-p)/p}\,\sigma)+(1-p)u(\mu-\sqrt{p/(1-p)}\,\sigma)pu(μ+(1−p)/p​σ)+(1−p)u(μ−p/(1−p)​σ). Combined with the projection property of the paper's Section 2, this gives tractable robust counterparts of multivariate stochastic programs whose objective depends on a linear combination x′Rx'Rx′R of random returns. Proposition 5 is the paper's sufficient condition that places a concrete class of utilities in this regime; it is also closed under adding any quadratic.

Formalizing it. The result is proved on paper; no machine-checked version is known. The formalization produces a checked characterization of two-point support (Lemma 1), a reusable encoding of convex-concave and S-shaped functions, and a proof of Proposition 5. The printed final step of the paper's proof is incomplete (see Difficulty), so a complete formal proof requires an argument the paper does not spell out.

Difficulty

Conditions (a) and (b) of Lemma 1 come from a sign change of ggg on (−∞,μ)(-\infty,\mu)(−∞,μ): the two limits in milestone 4 need a l'Hôpital-type argument and the continuity of a monotone derivative. The central difficulty is condition (c): showing that the quadratic built from a pair (a,b)(a,b)(a,b) lies below uuu on the whole line. The obvious argument takes any zero aaa of ggg and counts the intersections of the linear q′q'q′ with the inverse S-shaped u′u'u′. This fails when u′u'u′ is affine on an interval: a zero of ggg can then produce a quadratic that coincides with uuu on [a,b][a,b][a,b] but crosses above uuu just left of aaa. A proof must therefore choose the zero of ggg, or the pair (a,b)(a,b)(a,b), with care, and the curvature hypotheses are not strict.

Formalization scope

  • Functions are ℝ → ℝ; u′u'u′ is deriv u, and the goal assumes Differentiable ℝ u. Finite limits are Tendsto (deriv u) atBot (𝓝 l) and Tendsto (deriv u) atTop (𝓝 l) for some real l; the one-sided limit at μ\muμ is along 𝓝[<] μ.
  • "Increasing" in Definition 2 is strict (StrictMono); the paper writes "nondecreasing" for the weak notion. Convexity and concavity are ConvexOn/ConcaveOn on the open half-lines Set.Iio x₀, Set.Ioi x₀, as printed.
  • A two-point law is encoded by its mass p∈(0,1)p\in(0,1)p∈(0,1) on aaa, with a<ba<ba<b; this is equivalent to a probability measure on R\mathbb RR with support {a,b}\{a,b\}{a,b}, mean μ\muμ and variance σ2\sigma^2σ2.
  • "Intersects it at two points a,ba,ba,b" is read as q(a)=u(a)q(a)=u(a)q(a)=u(a) and q(b)=u(b)q(b)=u(b)q(b)=u(b) for some a<ba<ba<b (at least two contact points). This is the reading under which Lemma 1 is an equivalence.
  • The two-point support property quantifies over σ>0\sigma>0σ>0: no two-point law has variance 000, so including σ=0\sigma=0σ=0 would make the property false for every uuu.
  • The two-point support property is defined from Definition 1 (supporting quadratic plus feasible law), not from Lemma 1's conditions, so Lemma 1 is not a tautology. Every division by b−ab-ab−a, z−yz-yz−y or μ−y\mu-yμ−y occurs under a<ba<ba<b or y<μy<\muy<μ.

Useful infrastructure: l'Hôpital's rule at infinity (Analysis/Calculus/LHopital), Darboux's theorem for derivatives, the intermediate value theorem, and one-sided limits of monotone functions. The shape definitions of Definition 2 are reusable for S-shaped value functions elsewhere (prospect theory, sigmoidal utilities). Proofs of the milestones, of the goal, and alternative arguments for condition (c) are all welcome. Related platform work: Wasserstein Distributionally Robust Optimization II.

Selected references

  • I. Popescu, Robust Mean-Covariance Solutions for Stochastic Optimization, Operations Research 55(1):98–112, 2007. https://doi.org/10.1287/opre.1060.0353
  • J. R. Birge, J. H. Dulá, Bounding separable recourse functions with limited distribution information, Annals of Operations Research 30:277–298, 1991 (cited in Popescu 2007, reference list)
10 thms5 active usersReviewed
🏆Completed
CombinatoricsGraph TheoryOperations Research+1·Captain: mikedeng1

Shortest Connection Networks And Some Generalizations: Construction Principles P1 and P2 Yield a Shortest Spanning Subtree of Every Connected Labelled GraphResearch Paper

Motivation

Connecting a set of terminals by a network of direct links of least total length is one of the oldest problems of combinatorial optimization. R. C. Prim's 1957 paper in the Bell System Technical Journal (DOI) was motivated by the rate structure for Bell System leased-line services, in which the charge for connecting a set of terminals depends on the length of a shortest network connecting them. The paper states two local construction principles, P1 and P2, and shows that any sequence of their applications produces a shortest network, first for points in the plane and then for arbitrary connected labelled graphs with arbitrary real edge lengths. The paper's §V specialization of the principles, growing a single fragment, is what is now called Prim's algorithm, and its §IV statement is the form of the minimum spanning tree theorem used throughout network design, clustering and approximation algorithms.

Timeline. O. Borůvka (1926) solved the problem for an electrical network in Moravia; V. Jarník (1930) gave the single-fragment procedure; J. B. Kruskal (1956, Proc. AMS 7, 48–50) proved that adding globally shortest links avoiding cycles yields a shortest spanning tree; Prim (1957) gave the more permissive principles P1 and P2, which contain both the Jarník procedure and Kruskal's rule as special orders of application; E. W. Dijkstra (1959) rediscovered the single-fragment procedure.

Setting

Let VVV be a finite set of NNN terminals and GGG a simple graph on VVV, the labelled graph whose edges are the possible links. Each edge eee carries a real length w(e)w(e)w(e); lengths may be negative, zero, or tie. For a finite set FFF of links, H(F)H(F)H(F) denotes the graph on VVV whose edges are the links of FFF.

  • A spanning subtree of GGG is a set FFF of edges of GGG such that H(F)H(F)H(F) is a tree on VVV. Its length is ℓw(F)=∑e∈Fw(e)\ell_w(F) = \sum_{e \in F} w(e)ℓw​(F)=∑e∈F​w(e).
  • A shortest spanning subtree (SSS) is a spanning subtree of least length among all spanning subtrees of GGG. Prim's dictionary is "shortest connection network (SCN) ↔ shortest spanning subtree (SSS)". L(G,w)L(G,w)L(G,w) denotes that least length.
  • Given the links FFF made so far, the connected components of H(F)H(F)H(F) are the isolated terminals (one terminal) and isolated fragments (two or more terminals).
  • Principle 1: any isolated terminal ttt can be connected to a nearest neighbor, a GGG-neighbor nnn with w({t,n})≤w({t,m})w(\{t,n\}) \le w(\{t,m\})w({t,n})≤w({t,m}) for all GGG-neighbors mmm of ttt.
  • Principle 2: any isolated fragment CCC can be connected to a nearest neighbor n∉Cn \notin Cn∈/C by a shortest available link {u,n}\{u,n\}{u,n}, u∈Cu \in Cu∈C; equivalently {u,n}\{u,n\}{u,n} is a shortest edge of GGG with one end in CCC and the other outside.
  • A construction is a sequence of links e0,e1,…e_0, e_1, \dotse0​,e1​,…, each an application of P1 or P2 with respect to the links before it. It is complete when it has N−1N-1N−1 links.

Only edges of GGG are possible links; in Prim's distance table a missing edge has length ∞\infty∞.

Formalization targets

Goal (§IV, p. 1396)

For every finite connected graph GGG and every www,

(∃ a complete construction) ∧ (∀ complete constructions e0,…,eN−2: {e0,…,eN−2} is a SSS of G).\Bigl(\exists\ \text{a complete construction}\Bigr) \ \wedge\ \Bigl(\forall\ \text{complete constructions } e_0,\dots,e_{N-2}:\ \{e_0,\dots,e_{N-2}\} \text{ is a SSS of } G\Bigr).(∃ a complete construction) ∧ (∀ complete constructions e0​,…,eN−2​: {e0​,…,eN−2​} is a SSS of G).

This is the sentence "P1 and P2 will provide a SSS for any connected labelled graph with any set of real edge lengths." It fixes nothing about the order of applications, the component chosen, or the tie-breaking.

Milestones

  1. Counting (§II, p. 1392): after any construction with kkk links, H(F)H(F)H(F) is acyclic with N−kN-kN−k components; a complete construction is a spanning subtree; a construction with fewer than N−1N-1N−1 links can be extended.
  2. Necessary Condition 1 (p. 1392): every terminal of a SSS is linked in it to at least one nearest neighbor.
  3. Necessary Condition 2 (p. 1392): every fragment SSS of a SSS, ∅≠S≠V\emptyset \ne S \ne V∅=S=V, is linked in it to a nearest neighbor by a shortest available link.
  4. Distinct lengths (§III, p. 1393): if the edge lengths are pairwise distinct, every link of every construction belongs to every SSS.
  5. Continuity (§III, p. 1394): w↦L(G,w)w \mapsto L(G,w)w↦L(G,w) is continuous.

Significance

The goal is the correctness theorem of a whole family of greedy minimum spanning tree procedures at once: Jarník–Prim (one growing fragment), Kruskal (globally shortest link first) and Borůvka-style interleavings all produce sequences of P1/P2 applications. Because lengths are arbitrary reals, it also covers maximum spanning trees by a sign change (p. 1397) and graphs that are not complete.

The result is classical and fully proved in the literature. What this mission adds is a machine-checked statement in exactly Prim's generality. Mathlib has spanning trees of connected graphs (SimpleGraph.Connected.exists_isTree_le) and the edge count of trees, but no minimum spanning tree theory. Existing Prove2Me items on minimum spanning trees are either restricted to complete graphs with distance matrices or state a cut property in existence form at a single vertex; none states Prim's principles or his necessary conditions.

Difficulty

The obvious argument, "each link P1 or P2 adds belongs to the shortest network", uses a unique shortest network, and that fails with ties: when two links tie, a P1/P2 link need not lie in a given SSS. Prim's own treatment of ties (§III) is an informal perturbation argument; the formal statement must hold for every tie-breaking choice made during a construction, not only for a generic perturbed instance. Negative lengths remove the easy reading "shortest connected spanning subgraph": the minimum must range over trees only. The statements also involve the component structure of H(F)H(F)H(F) as it changes during a construction, and tree paths in an arbitrary, not necessarily complete, graph.

Formalization scope

Namespace ShortestConnection.Principles, Mathlib SimpleGraph. Conventions:

  • VVV is a Fintype with decidable equality; GGG is a SimpleGraph V (at most one link per pair, no loops, which is Prim's setting). Lengths are w : Sym2 V → ℝ; only values on edges of GGG matter.
  • Link sets are Finset (Sym2 V); linkGraph F is SimpleGraph.fromEdgeSet F. A spanning subtree requires ↑F ⊆ G.edgeSet and (linkGraph F).IsTree.
  • An isolated fragment is a whole connected component of linkGraph F; the P2 condition is a single inequality against every GGG-edge leaving it, which is equivalent to "nearest neighbor and shortest link" in Prim's sense.
  • A construction is a List (Sym2 V) checked entrywise against l.take i; complete means length Fintype.card V - 1 (natural subtraction, used only for nonempty VVV).
  • LLL is sInf of the lengths of spanning subtrees; continuity is in the product topology.

Implicit hypotheses made explicit: GGG connected (hence V≠∅V \ne \emptysetV=∅) wherever an SSS or a complete construction is involved; at least two terminals for Necessary Condition 1; SSS nonempty and S≠VS \ne VS=V for Necessary Condition 2; pairwise distinct edge lengths only in milestone 4, as in the paper's temporary assumption.

The goal's existence clause rules out a vacuous formalization in which no complete construction exists; the step predicates are defined from lengths and components only, never through shortest spanning subtrees, and they are not restricted to one growing fragment or to the globally shortest link.

Needed infrastructure: tree exchange (adding an edge to a spanning tree creates one cycle; removing any other cycle edge yields a spanning tree), component counts under edge addition, and minima of finitely many continuous functions. The exchange and counting lemmas are reusable for any matroid-greedy or spanning-tree mission. Contributions of intermediate lemmas, and proofs of the milestones in any order, are welcome.

Selected references

  • R. C. Prim, Shortest Connection Networks And Some Generalizations, Bell System Technical Journal 36 (1957), 1389–1401. https://doi.org/10.1002/j.1538-7305.1957.tb01515.x
  • J. B. Kruskal, On the shortest spanning subtree of a graph and the traveling salesman problem, Proceedings of the AMS 7 (1956), 48–50. https://doi.org/10.1090/S0002-9939-1956-0078686-7
  • V. Jarník, O jistém problému minimálním, Práce Moravské Přírodovědecké Společnosti 6 (1930), 57–63.
  • O. Borůvka, O jistém problému minimálním, Práce Moravské Přírodovědecké Společnosti 3 (1926), 37–58.
  • R. L. Graham, P. Hell, On the history of the minimum spanning tree problem, Annals of the History of Computing 7 (1985), 43–57. https://doi.org/10.1109/MAHC.1985.10011
10 thms3 active usersReviewed
🏆Completed
AnalysisNumerical AnalysisOperations Research+1·Captain: mikedeng1

A Nonsmooth Version of Newton's Method I: local superlinear convergence of the generalized-Jacobian Newton method at a semismooth regular rootResearch Paper

Motivation

Many problems in optimization and equilibrium modelling reduce to a system of equations F(x)=0F(x) = 0F(x)=0 whose map F:Rn→RnF : \mathbb R^n \to \mathbb R^nF:Rn→Rn is Lipschitz but not differentiable: reformulations of nonlinear complementarity problems through the componentwise minimum or the Fischer–Burmeister function, Karush–Kuhn–Tucker systems of constrained programs, and gradients of augmented Lagrangians all have kinks. Newton's method, xk+1=xk−F′(xk)−1F(xk)x^{k+1} = x^k - F'(x^k)^{-1}F(x^k)xk+1=xk−F′(xk)−1F(xk), is the standard fast local solver for smooth systems, but it needs a derivative at every iterate.

Qi and Sun (Math. Programming 58, 1993) replaced the Jacobian by an arbitrary element of Clarke's generalized Jacobian and showed that the resulting method converges locally superlinearly under a regularity condition they called semismoothness, extending Mifflin's notion for functionals (Mifflin, SIAM J. Control Optim. 15, 1977) to vector-valued maps. This theorem is the foundation of the family of semismooth Newton methods used in complementarity, variational inequalities and PDE-constrained optimization.

Timeline. Robinson (1988) and Pang (Math. OR 15, 1990) studied Newton methods built on B-derivatives, with convergence proved under a strong Fréchet derivative at the solution; Kummer (1988) gave an abstract framework for Newton methods for nonsmooth equations; Qi and Sun (1993) proved local superlinear convergence for the generalized-Jacobian iteration under semismoothness and nonsingularity of ∂F(x∗)\partial F(x^*)∂F(x∗), with order 1+p1+p1+p under ppp-order semismoothness.

Setting

Let F:Rn→RmF : \mathbb R^n \to \mathbb R^mF:Rn→Rm be locally Lipschitz. By Rademacher's theorem FFF is differentiable on a set DFD_FDF​ of full measure; write JF(y)JF(y)JF(y) for the Jacobian at y∈DFy \in D_Fy∈DF​. The generalized Jacobian is

∂F(x)=co{lim⁡i→∞JF(xi):xi→x, xi∈DF},\partial F(x) = \mathrm{co}\Big\{\lim_{i\to\infty} JF(x_i) : x_i \to x,\ x_i \in D_F\Big\},∂F(x)=co{i→∞lim​JF(xi​):xi​→x, xi​∈DF​},

the convex hull of all limits of Jacobians along sequences of differentiability points converging to xxx. The one-sided directional derivative is F′(x;h)=lim⁡t↓0(F(x+th)−F(x))/tF'(x;h) = \lim_{t\downarrow 0}(F(x+th)-F(x))/tF′(x;h)=limt↓0​(F(x+th)−F(x))/t.

FFF is semismooth at xxx if it is Lipschitz near xxx and, for every hhh, the limit of Vh′Vh'Vh′ over V∈∂F(x+th′)V \in \partial F(x+th')V∈∂F(x+th′), h′→hh' \to hh′→h, t↓0t \downarrow 0t↓0 exists. For 0<p≤10 < p \le 10<p≤1, FFF is ppp-order semismooth at xxx if in addition Vh−F′(x;h)=O(∥h∥1+p)Vh - F'(x;h) = O(\|h\|^{1+p})Vh−F′(x;h)=O(∥h∥1+p) for V∈∂F(x+h)V \in \partial F(x+h)V∈∂F(x+h), h→0h \to 0h→0.

For m=nm = nm=n, the nonsmooth Newton method is

xk+1=xk−Vk−1F(xk),Vk∈∂F(xk),(3.2)x^{k+1} = x^k - V_k^{-1}F(x^k), \qquad V_k \in \partial F(x^k), \tag{3.2}xk+1=xk−Vk−1​F(xk),Vk​∈∂F(xk),(3.2)

where any element of ∂F(xk)\partial F(x^k)∂F(xk) may be chosen at each step. A run is a pair of sequences (xk)(x^k)(xk), (Vk)(V_k)(Vk​) with Vk∈∂F(xk)V_k \in \partial F(x^k)Vk​∈∂F(xk) and Vk(xk+1−xk)=−F(xk)V_k(x^{k+1}-x^k) = -F(x^k)Vk​(xk+1−xk)=−F(xk) for all kkk. A root x∗x^*x∗ (F(x∗)=0F(x^*) = 0F(x∗)=0) is regular when every V∈∂F(x∗)V \in \partial F(x^*)V∈∂F(x∗) is nonsingular.

Formalization targets

Goal: Theorem 3.2, local superlinear convergence

Let FFF be locally Lipschitz, F(x∗)=0F(x^*) = 0F(x∗)=0, FFF semismooth at x∗x^*x∗, and every V∈∂F(x∗)V \in \partial F(x^*)V∈∂F(x∗) nonsingular. Then there is δ>0\delta > 0δ>0 such that every V∈∂F(y)V \in \partial F(y)V∈∂F(y) with ∥y−x∗∥<δ\|y - x^*\| < \delta∥y−x∗∥<δ is nonsingular, a Newton step from such a yyy stays within δ\deltaδ of x∗x^*x∗, and every run with ∥x0−x∗∥<δ\|x^0 - x^*\| < \delta∥x0−x∗∥<δ satisfies

xk→x∗,∥xk+1−x∗∥=o(∥xk−x∗∥).x^k \to x^*, \qquad \|x^{k+1} - x^*\| = o(\|x^k - x^*\|).xk→x∗,∥xk+1−x∗∥=o(∥xk−x∗∥).

The goal asserts only the shape of the convergence (superlinear) and fixes no constants.

Stronger: Theorem 3.2, order 1+p1 + p1+p

If moreover FFF is ppp-order semismooth at x∗x^*x∗, 0<p≤10 < p \le 10<p≤1, there are δ>0\delta > 0δ>0 and CCC with

∥xk+1−x∗∥≤C∥xk−x∗∥1+p\|x^{k+1} - x^*\| \le C\|x^k - x^*\|^{1+p}∥xk+1−x∗∥≤C∥xk−x∗∥1+p

for every run started within δ\deltaδ of x∗x^*x∗.

Milestones

The milestones follow the paper's route: Proposition 2.1 (the limit in the definition of semismoothness is the directional derivative), Lemma 2.2 (Lipschitz continuity of F′(x;⋅)F'(x;\cdot)F′(x;⋅) and its realisation by an element of ∂F(x)\partial F(x)∂F(x)), Theorem 2.3 (semismoothness is equivalent to Vh−F′(x;h)=o(∥h∥)Vh - F'(x;h) = o(\|h\|)Vh−F′(x;h)=o(∥h∥) and to the corresponding condition at differentiability points), the Remark's expansion (2.17), Proposition 3.1 (uniform invertibility near a regular point), the order-(1+p)(1+p)(1+p) sentence of Theorem 3.2, and Corollary 2.5 (strong Fréchet differentiability implies semismoothness).

Significance

The theorem gives a locally superlinearly convergent method for Lipschitz equations with no smoothness beyond semismoothness at the root. Convex, smooth and subsmooth functions are semismooth, as are sums and scalar products of semismooth functions (the paper, citing Mifflin), and later work showed that the complementarity and KKT reformulations on which semismooth Newton solvers are built are semismooth as well; the order-(1+p)(1+p)(1+p) variant gives local quadratic convergence for strongly semismooth maps. Mission II of this series treats the paper's global convergence theorem on a ball, and Mission III the semismoothness of augmented Lagrangian gradients, which supplies the application.

The results are proved in the paper. No machine-checked version of the generalized Jacobian, of semismoothness or of the nonsmooth Newton method is known to exist in Mathlib or on this platform; the platform's formalized Newton results concern one-dimensional C2C^2C2 functions (MetodosNumericos.newton_local_convergence) and smooth convex minimization. A complete development would provide the first formal library for Clarke's generalized Jacobian and semismooth maps.

Difficulty

The classical Newton proof compares F(xk)F(x^k)F(xk) with its linearization JF(x∗)(xk−x∗)JF(x^*)(x^k - x^*)JF(x∗)(xk−x∗) and uses continuity of the Jacobian at x∗x^*x∗. Here neither is available: FFF need not be differentiable at x∗x^*x∗ or at any iterate, the element VkV_kVk​ is chosen arbitrarily from a set, and VkV_kVk​ need not be close to any fixed linear map. The comparison has to go through the directional derivative F′(x∗;⋅)F'(x^*; \cdot)F′(x∗;⋅), which is only positively homogeneous, not linear. The analytic content therefore sits in Section 2: showing that semismoothness, defined through a limit over a set-valued map, controls Vh−F′(x;h)Vh - F'(x;h)Vh−F′(x;h) uniformly in the direction, and that F(x+h)−F(x)−F′(x;h)F(x+h) - F(x) - F'(x;h)F(x+h)−F(x)−F′(x;h) is small. Both rest on Clarke's mean-value inclusion and on compactness and upper semicontinuity of ∂F\partial F∂F, none of which is in Mathlib. The superlinear rate also requires a uniform bound on ∥V−1∥\|V^{-1}\|∥V−1∥ in a whole neighbourhood, not just at x∗x^*x∗.

Formalization scope

Everything lives in the namespace NonsmoothNewton.Local. Section 2 results are stated for maps between finite-dimensional real normed spaces E→GE \to GE→G (the paper's Rn→Rm\mathbb R^n \to \mathbb R^mRn→Rm is the Euclidean instance); Section 3 results use EuclideanSpace ℝ (Fin n). Conventions fixed by the Lean statements:

  • JFJFJF is fderiv; the generalized Jacobian is the convex hull (no closure) of limits of fderiv along sequences xi→xx_i \to xxi​→x of differentiability points.
  • F′(x;h)F'(x;h)F′(x;h) is the one-sided limit over t↓0t \downarrow 0t↓0, never the two-sided lineDeriv; its value is a limUnder, used only where existence is a hypothesis or a consequence.
  • Nonsingular means IsUnit in the ring of continuous linear endomorphisms; ∥V−1∥≤C\|V^{-1}\| \le C∥V−1∥≤C is a two-sided inverse of operator norm at most CCC.
  • A run of (3.2) is encoded by the linear equation Vk(xk+1−xk)=−F(xk)V_k(x^{k+1} - x^k) = -F(x^k)Vk​(xk+1−xk)=−F(xk) with Vk∈∂F(xk)V_k \in \partial F(x^k)Vk​∈∂F(xk); all choices of VkV_kVk​ are quantified, and δ\deltaδ is chosen before the run.
  • Pinned asymptotics. The goal's rate is the proof's display (3.3), stated as IsLittleO along atTop; the printed Theorem 3.2 states only well-definedness and convergence. "Order 1+p1+p1+p" is pinned as ∥xk+1−x∗∥≤C∥xk−x∗∥1+p\|x^{k+1}-x^*\| \le C\|x^k-x^*\|^{1+p}∥xk+1−x∗∥≤C∥xk−x∗∥1+p with δ\deltaδ and CCC uniform over runs. Every o(∥h∥)o(\|h\|)o(∥h∥) in (2.8), (2.9) and (2.17) is its ε\varepsilonε–δ\deltaδ form with a non-strict inequality ≤ε∥h∥\le \varepsilon\|h\|≤ε∥h∥, and every O(∥h∥1+p)O(\|h\|^{1+p})O(∥h∥1+p) is an explicit constant and radius.
  • The standing assumptions "FFF locally Lipschitzian" of Sections 2 and 3 are hypotheses of every statement.
  • The strong Fréchet derivative of Corollary 2.5 is Mathlib's HasStrictFDerivAt, which corrects the misprint F(x)F(x)F(x) for F(z)F(z)F(z) in the paper's display (2.16).

A trivializing formalization is ruled out: the update is not written with a junk inverse (which would make a singular step "well defined"), the generalized Jacobian is the paper's nonempty set rather than one that could be empty, and the theorem quantifies over every run rather than asserting that some run converges.

A complete development needs Clarke's mean-value inclusion (2.2), compactness and upper semicontinuity of ∂F\partial F∂F for locally Lipschitz maps (via Rademacher's theorem, available in Mathlib), and perturbation bounds for inverses of linear maps. The generalized-Jacobian and semismoothness layer is reusable beyond this mission, in particular for Missions II and III of this series. Contributions of proofs of any milestone, and of general lemmas about ∂F\partial F∂F, are welcome.

Selected references

  • L. Qi, J. Sun, A nonsmooth version of Newton's method, Mathematical Programming 58 (1993) 353–367. https://doi.org/10.1007/BF01581275
  • F. H. Clarke, Optimization and Nonsmooth Analysis, Wiley, 1983 (SIAM reprint 1990). https://doi.org/10.1137/1.9781611971309
  • R. Mifflin, Semismooth and semiconvex functions in constrained optimization, SIAM Journal on Control and Optimization 15 (1977) 959–972. https://doi.org/10.1137/0315061
  • J.-S. Pang, Newton's method for B-differentiable equations, Mathematics of Operations Research 15 (1990) 311–341. https://doi.org/10.1287/moor.15.2.311
  • J. M. Ortega, W. C. Rheinboldt, Iterative Solution of Nonlinear Equations in Several Variables, Academic Press, 1970 (SIAM reprint 2000). https://doi.org/10.1137/1.9780898719468
14 thms3 active usersReviewed
🏆Completed
AnalysisNumerical AnalysisOperations Research+1·Captain: mikedeng1

A Nonsmooth Version of Newton's Method II: global convergence of the generalized-Jacobian Newton method on a ball, with an error estimateResearch Paper

Motivation

Many problems in optimization and equilibrium modelling reduce to a system of equations F(x)=0F(x) = 0F(x)=0 with F:Rn→RnF : \mathbb{R}^n \to \mathbb{R}^nF:Rn→Rn that is continuous and locally Lipschitz but not differentiable. Complementarity problems rewritten through the min or Fischer–Burmeister functions, Karush–Kuhn–Tucker systems of nonlinear programs, and the gradients of augmented Lagrangians all have this form. Newton's method xk+1=xk−F′(xk)−1F(xk)x^{k+1} = x^k - F'(x^k)^{-1}F(x^k)xk+1=xk−F′(xk)−1F(xk) cannot be applied verbatim, because F′(xk)F'(x^k)F′(xk) need not exist.

Qi and Sun (Math. Programming 58 (1993) 353–367) replaced the Jacobian by an arbitrary element of Clarke's generalized Jacobian and proved that the resulting method converges under a condition they called semismoothness, extending Mifflin's notion (SIAM J. Control Optim. 15 (1977)) from functionals to maps. The paper has two convergence results. Theorem 3.2 is local: near a semismooth root with nonsingular generalized Jacobian the method converges superlinearly. Theorem 3.3, the target of this mission, is global in the Newton–Kantorovich sense: explicit constants on a ball SSS around the starting point guarantee that the iteration never leaves SSS, that FFF has exactly one zero in SSS, and that the iterates converge to it with a computable error bound. The authors describe it as "an extension of the classical Newton-Kantorovich theorem" (p. 361), which is stated for smooth maps in Ortega and Rheinboldt's monograph.

Timeline.

  • 1948: Kantorovich proves semilocal convergence of Newton's method for smooth operators in Banach spaces.
  • 1975–1983: Clarke introduces the generalized gradient and generalized Jacobian of a locally Lipschitz map (Optimization and Nonsmooth Analysis, Wiley 1983).
  • 1977: Mifflin defines semismooth functionals.
  • 1990: Pang proves convergence of a B-derivative Newton method under a strong Fréchet derivative at the solution.
  • 1993: Qi and Sun (this paper) prove local and global convergence of the generalized-Jacobian Newton method for semismooth maps.

Setting

Work in Rn\mathbb{R}^nRn with the Euclidean norm ∥⋅∥\|\cdot\|∥⋅∥; for a linear map VVV, ∥V∥\|V\|∥V∥ is the induced operator norm. Let F:Rn→RnF : \mathbb{R}^n \to \mathbb{R}^nF:Rn→Rn be locally Lipschitz. Write DFD_FDF​ for the set of points where FFF is differentiable and JF(y)JF(y)JF(y) for the derivative at y∈DFy \in D_Fy∈DF​.

  • The generalized Jacobian of FFF at xxx is
∂F(x)=co{lim⁡i→∞JF(xi):xi→x, xi∈DF}.\partial F(x) = \mathrm{co}\Big\{\lim_{i\to\infty} JF(x_i) : x_i \to x,\ x_i \in D_F\Big\}.∂F(x)=co{i→∞lim​JF(xi​):xi​→x, xi​∈DF​}.
  • The directional derivative is F′(x;h)=lim⁡t↓0 (F(x+th)−F(x))/tF'(x;h) = \lim_{t\downarrow 0}\,(F(x+th)-F(x))/tF′(x;h)=limt↓0​(F(x+th)−F(x))/t.
  • FFF is semismooth at xxx if it is Lipschitz near xxx and, for every hhh, Vh′V h'Vh′ has a limit as V∈∂F(x+th′)V \in \partial F(x+th')V∈∂F(x+th′), h′→hh' \to hh′→h, t↓0t \downarrow 0t↓0. Semismoothness implies that F′(x;h)F'(x;h)F′(x;h) exists.
  • A run of the nonsmooth Newton method (3.2) from x0x^0x0 is a pair of sequences (xk)(x^k)(xk), (Vk)(V_k)(Vk​) with Vk∈∂F(xk)V_k \in \partial F(x^k)Vk​∈∂F(xk) and Vk(xk+1−xk)=−F(xk)V_k(x^{k+1} - x^k) = -F(x^k)Vk​(xk+1−xk)=−F(xk) for all kkk; any element of ∂F(xk)\partial F(x^k)∂F(xk) may be chosen.

In Lean these are NonsmoothNewton.Global.clarkeJac, dirDeriv, SemismoothAt and IsNewtonRun, over EuclideanSpace ℝ (Fin n).

Fix x0x^0x0, r≥0r \ge 0r≥0, the closed ball S={x:∥x−x0∥≤r}S = \{x : \|x - x^0\| \le r\}S={x:∥x−x0∥≤r}, and constants β,γ,δ\beta, \gamma, \deltaβ,γ,δ with α=β(γ+δ)\alpha = \beta(\gamma+\delta)α=β(γ+δ).

Formalization targets

Goal: Theorem 3.3 (global convergence)

Assume FFF is semismooth at every point of SSS and, for all x,y∈Sx, y \in Sx,y∈S and V∈∂F(x)V \in \partial F(x)V∈∂F(x): VVV is nonsingular,

∥V−1∥≤β,∥V(y−x)−F′(x;y−x)∥≤γ∥y−x∥,∥F(y)−F(x)−F′(x;y−x)∥≤δ∥y−x∥,\|V^{-1}\| \le \beta,\qquad \|V(y-x) - F'(x;y-x)\| \le \gamma\|y-x\|,\qquad \|F(y)-F(x)-F'(x;y-x)\| \le \delta\|y-x\|,∥V−1∥≤β,∥V(y−x)−F′(x;y−x)∥≤γ∥y−x∥,∥F(y)−F(x)−F′(x;y−x)∥≤δ∥y−x∥,

with α<1\alpha < 1α<1 and β∥F(x0)∥≤r(1−α)\beta\|F(x^0)\| \le r(1-\alpha)β∥F(x0)∥≤r(1−α). Then every run of (3.2) from x0x^0x0 stays in SSS, every VkV_kVk​ is nonsingular, FFF has a unique zero x∗x^*x∗ in SSS, xk→x∗x^k \to x^*xk→x∗, and

∥xk−x∗∥≤α1−α ∥xk−xk−1∥,k=1,2,…(3.4)\|x^k - x^*\| \le \frac{\alpha}{1-\alpha}\,\|x^k - x^{k-1}\|,\qquad k = 1, 2, \dots \tag{3.4}∥xk−x∗∥≤1−αα​∥xk−xk−1∥,k=1,2,…(3.4)

Milestones (steps of the proof, p. 360)

  1. The first step: ∥x1−x0∥≤β∥F(x0)∥≤r(1−α)\|x^1 - x^0\| \le \beta\|F(x^0)\| \le r(1-\alpha)∥x1−x0∥≤β∥F(x0)∥≤r(1−α), so x1∈Sx^1 \in Sx1∈S.
  2. One-step contraction: for consecutive Newton points with xk−1,xk∈Sx^{k-1}, x^k \in Sxk−1,xk∈S, ∥xk+1−xk∥≤α∥xk−xk−1∥\|x^{k+1} - x^k\| \le \alpha\|x^k - x^{k-1}\|∥xk+1−xk∥≤α∥xk−xk−1∥.
  3. All iterates remain in SSS, with ∥xk+1−xk∥≤rαk(1−α)\|x^{k+1} - x^k\| \le r\alpha^k(1-\alpha)∥xk+1−xk∥≤rαk(1−α).
  4. A run that stays in SSS and converges has uniformly bounded ∥Vk∥\|V_k\|∥Vk​∥, and its limit is a zero of FFF.
  5. FFF has at most one zero in SSS.

Significance

The theorem certifies, from data checkable on a single ball, that a solution exists, where it is, that it is unique there, and how far the current iterate is from it; (3.4) is an a-posteriori stopping criterion. It holds for every choice of Vk∈∂F(xk)V_k \in \partial F(x^k)Vk​∈∂F(xk), which is what implementations need, since they compute one element of ∂F\partial F∂F and not the whole set. The result underlies the global and semilocal analysis of semismooth Newton methods for complementarity problems, variational inequalities and nonsmooth KKT systems, a line that continued through the 1990s and 2000s.

The theorem is proved on paper; no machine-checked version is known. The platform has no Newton–Kantorovich theorem, smooth or nonsmooth, and no Clarke generalized Jacobian. A complete formalization would supply both, and the definitions layer here (generalized Jacobian, one-sided directional derivative, semismoothness, Newton runs) is shared with the two companion missions on Qi and Sun's local convergence theorem and on semismoothness of augmented Lagrangian gradients.

Difficulty

The Newton map is set-valued: xk+1x^{k+1}xk+1 depends on the choice of VkV_kVk​, so the Banach fixed-point theorem for a single contraction does not apply directly, and the argument must hold for every sequence of choices. The contraction estimate needs both consecutive steps to start inside SSS, so containment in SSS and the geometric decay of the steps must be established together. Identifying the limit as a zero requires a uniform bound on ∥Vk∥\|V_k\|∥Vk​∥, which is not a hypothesis: it has to come from local Lipschitz continuity through the structure of the generalized Jacobian. Uniqueness uses an element V∗∈∂F(x∗)V^* \in \partial F(x^*)V∗∈∂F(x∗), whose existence rests on Rademacher's theorem. Finally, the directional derivative in the hypotheses is only meaningful because semismoothness makes it exist.

Formalization scope

The space is EuclideanSpace ℝ (Fin n), so the norm is Euclidean, as in the paper (p. 356), and ∥V−1∥\|V^{-1}\|∥V−1∥ is the operator norm. Local Lipschitzness is global (LocallyLipschitz F), the standing assumption of Section 3. Conventions:

  • ∂F(x)\partial F(x)∂F(x) is the convex hull of limits of fderiv along sequences in DFD_FDF​; no closure is taken (the limit set is compact for locally Lipschitz FFF).
  • "VVV nonsingular, ∥V−1∥≤β\|V^{-1}\| \le \beta∥V−1∥≤β" is the existence of a two-sided inverse WWW with ∥W∥≤β\|W\| \le \beta∥W∥≤β; Ring.inverse is not used.
  • F′(x;h)F'(x;h)F′(x;h) is dirDeriv, a limUnder along t→0+t \to 0^+t→0+, used only at points of SSS, where semismoothness makes the limit exist.
  • The run is a relation, not a function; every choice of VkV_kVk​ is covered, and nonsingularity of each VkV_kVk​ is a conclusion.
  • The radius condition r≥0r \ge 0r≥0 is an explicit hypothesis. Without it, r<0r < 0r<0 and β<0\beta < 0β<0 would satisfy all other hypotheses vacuously while x0∉Sx^0 \notin Sx0∈/S.
  • The paper's third inequality sits under "for any V∈∂F(x)V \in \partial F(x)V∈∂F(x)"; it is stated without VVV, which is equivalent because ∂F(x)≠∅\partial F(x) \ne \emptyset∂F(x)=∅.
  • (3.4) is stated at index k+1k+1k+1 for k≥0k \ge 0k≥0, avoiding natural-number subtraction.
  • The paper's statements contain no o(⋅)o(\cdot)o(⋅) or O(⋅)O(\cdot)O(⋅); all constants are explicit and fixed before the quantifiers over points of SSS.

The goal is the full four-part conclusion: containment, existence, uniqueness, and convergence with (3.4). A formalization that proves only that the iterates converge to some zero, or that treats ∂F(x)\partial F(x)∂F(x) as possibly empty so that the hypotheses become vacuous, is not the theorem. The hypotheses are satisfiable by genuinely nonsmooth maps, e.g. F(x)=x+110∣x∣−cF(x) = x + \tfrac{1}{10}|x| - cF(x)=x+101​∣x∣−c on R\mathbb{R}R with a ball containing the kink.

A complete development needs: nonemptiness and local boundedness of the generalized Jacobian (Rademacher's theorem, available in Mathlib as LipschitzWith.ae_differentiableAt); geometric-series and Cauchy-sequence arguments in a complete space. The generalized-Jacobian facts are reusable well beyond this mission. Contributions of any of the milestones, or of these general facts as separate lemmas, are welcome.

Selected references

  • L. Qi, J. Sun, A nonsmooth version of Newton's method, Mathematical Programming 58 (1993) 353–367. https://doi.org/10.1007/BF01581275
  • F. H. Clarke, Optimization and Nonsmooth Analysis, Wiley, New York, 1983. https://doi.org/10.1137/1.9781611971309
  • R. Mifflin, Semismooth and semiconvex functions in constrained optimization, SIAM J. Control Optim. 15 (1977) 959–972. https://doi.org/10.1137/0315061
  • J. M. Ortega, W. C. Rheinboldt, Iterative Solution of Nonlinear Equations in Several Variables, Academic Press, 1970. https://doi.org/10.1137/1.9780898719468
  • J.-S. Pang, Newton's method for B-differentiable equations, Mathematics of Operations Research 15 (1990) 311–341. https://doi.org/10.1287/moor.15.2.311
11 thms4 active usersReviewed
🏆Completed
CombinatoricsGraph TheoryOperations Research+2·Captain: mikedeng1

An Analysis of Several Heuristics for the Traveling Salesman Problem I: Nearest Neighbor Tours Can Be Far from OptimalResearch Paper

Motivation

The traveling salesman problem with the triangle inequality asks for a shortest closed tour through nnn points whose distances form a metric. It is NP-hard, so in practice tours are built by fast construction heuristics, and the natural question is how far such a tour can be from optimal in the worst case. Rosenkrantz, Stearns and Lewis (SIAM J. Comput. 6(3), 1977) gave the first systematic worst-case analysis of the standard heuristics. Their results are reproduced in textbooks on approximation algorithms and combinatorial optimization, and they are the reference point against which later guarantees (Christofides' 3/23/23/2 algorithm, the double-tree 222-approximation) are compared.

The simplest heuristic studied is the nearest neighbor algorithm (Bellmore and Nemhauser, 1968; the "next best method" of Gavett, 1965): from the current node, always move to the closest node not yet visited, and return to the start at the end. The paper shows that this greedy rule is never worse than logarithmic (Theorem 1) and that the logarithm cannot be removed (Theorem 2). This mission is about Theorem 2, the lower bound.

Setting

A traveling salesman graph on nnn nodes is a complete graph with a distance d(a,b)∈Rd(a,b)\in\mathbb Rd(a,b)∈R that is symmetric, d(a,b)=d(b,a)d(a,b)=d(b,a)d(a,b)=d(b,a), nonnegative, d(a,b)≥0d(a,b)\ge 0d(a,b)≥0, and satisfies the triangle inequality d(a,c)≤d(a,b)+d(b,c)d(a,c)\le d(a,b)+d(b,c)d(a,c)≤d(a,b)+d(b,c). A tour lists the nodes in a visiting order τ(0),…,τ(n−1)\tau(0),\dots,\tau(n-1)τ(0),…,τ(n−1) and returns to τ(0)\tau(0)τ(0); its length is the sum of the nnn distances along it. OPTIMAL is the least length of a tour.

The nearest neighbor algorithm starts at an arbitrary node τ(0)\tau(0)τ(0); having reached τ(k)\tau(k)τ(k), it moves to a node τ(k+1)\tau(k+1)τ(k+1) that minimizes d(τ(k),⋅)d(\tau(k),\cdot)d(τ(k),⋅) over the nodes not yet visited, breaking ties arbitrarily; after the last node it returns to τ(0)\tau(0)τ(0). The length of the resulting tour is written NEARNEIBER. Because the start node and the ties are free, one instance has in general several nearest-neighbor tours. A lower bound needs only one of them; an upper bound must hold for all.

The instances of the proof are built from a recursive family of weighted graphs. With li=16(4⋅2i−(−1)i+3)l_i=\frac16(4\cdot 2^i-(-1)^i+3)li​=61​(4⋅2i−(−1)i+3) (so l1,l2,l3,l4=2,3,6,11l_1,l_2,l_3,l_4=2,3,6,11l1​,l2​,l3​,l4​=2,3,6,11), the graph F1F_1F1​ is a triangle with unit weights, and Fi+1F_{i+1}Fi+1​ consists of two copies of FiF_iFi​ joined through one new node by two edges of length 111 and two edges of length lil_ili​. Each FiF_iFi​ has 2i+1−12^{i+1}-12i+1−1 nodes and a path PiP_iPi​ from its start node to its middle node through every node, of length LiL_iLi​ with L1=2L_1=2L1​=2, Li+1=2Li+2liL_{i+1}=2L_i+2l_iLi+1​=2Li​+2li​. The graph GiG_iGi​ adds two closing edges to FiF_iFi​, and Gˉi\bar G_iGˉi​ is the complete graph on the same nodes whose distance is the shortest-path distance of GiG_iGi​.

Formalization targets

Goal: Theorem 2 (p. 566)

For each m>3m>3m>3 there is a traveling salesman graph with n=2m−1n=2^m-1n=2m−1 nodes and a nearest-neighbor tour on it such that

NEARNEIBEROPTIMAL>13lg⁡(n+1)+49.\frac{\mathrm{NEARNEIBER}}{\mathrm{OPTIMAL}}>\frac13\lg(n+1)+\frac49 .OPTIMALNEARNEIBER​>31​lg(n+1)+94​.

The statement is existential in both the instance and the run of the algorithm, exactly as in the paper.

Milestones, in the order the proof uses them

  1. (2.12): the difference equation Li+1=2Li+2liL_{i+1}=2L_i+2l_iLi+1​=2Li​+2li​, L1=2L_1=2L1​=2, has the solution Li=19(6 i 2i+8⋅2i+(−1)i−9)L_i=\frac19(6\,i\,2^i+8\cdot2^i+(-1)^i-9)Li​=91​(6i2i+8⋅2i+(−1)i−9).
  2. Gˉi\bar G_iGˉi​ is a traveling salesman graph: the shortest-path distance of GiG_iGi​ is symmetric, nonnegative and satisfies the triangle inequality.
  3. (2.13)–(2.17): the shortest-path distances in Fi+1F_{i+1}Fi+1​ between the seven named nodes A,…,GA,\dots,GA,…,G of Fig. 1, e.g. AG‾=li+2−2\overline{AG}=l_{i+2}-2AG=li+2​−2.
  4. Property a): every edge of GiG_iGi​ is a shortest path between its endpoints.
  5. Property b): the nearest neighbor algorithm started at the start node of Gˉi\bar G_iGˉi​ can follow PiP_iPi​ and return along the edge of length li−1l_i-1li​−1.
  6. The optimal tour: OPTIMAL(Gˉi)=2i+1−1\mathrm{OPTIMAL}(\bar G_i)=2^{i+1}-1OPTIMAL(Gˉi​)=2i+1−1.
  7. The exact ratio: the tour along PiP_iPi​ has length Li+li−1L_i+l_i-1Li​+li​−1, so its ratio is (Li+li−1)/n(L_i+l_i-1)/n(Li​+li​−1)/n.
  8. The inequality: (Li+li−1)/n>13lg⁡(n+1)+49(L_i+l_i-1)/n>\frac13\lg(n+1)+\frac49(Li​+li​−1)/n>31​lg(n+1)+94​ for i≥3i\ge3i≥3.

The instance for mmm is Gˉm−1\bar G_{m-1}Gˉm−1​.

Significance

Theorem 1 of the same paper shows NEARNEIBER/OPTIMAL≤12⌈lg⁡n⌉+12\mathrm{NEARNEIBER}/\mathrm{OPTIMAL}\le\frac12\lceil\lg n\rceil+\frac12NEARNEIBER/OPTIMAL≤21​⌈lgn⌉+21​ for every nearest-neighbor tour on every traveling salesman graph. Theorem 2 shows that this bound has the right order: no constant-factor guarantee holds for the nearest neighbor rule, and the gap between the two constants (13\frac1331​ against 12\frac1221​) is all that remains. This separates the nearest neighbor rule from the insertion rules analysed later in the same paper, of which nearest and cheapest insertion are within a factor 222 of optimal. It is the standard example of a natural greedy heuristic whose approximation ratio grows with nnn.

The upper bound, Theorem 1, is already on Prove2Me with a machine-checked proof (SupplyChainTheory.nearest_neighbor_bound); its statement notes that the lower-bound instances are not formalized there. This mission supplies them: an explicit recursive family of metric instances, the shortest-path computations that certify it, and the arithmetic of its ratio. The result is proved in the paper; to our knowledge it has not been formalized in any proof assistant. The construction (a recursively defined weighted graph with a closed-form shortest-path table) is also a reusable pattern for other worst-case lower bounds of greedy heuristics.

Difficulty

The arithmetic ((2.12) and the final inequality) is routine. The content is in properties a) and b). A shortest-path distance is an infimum over all walks, and property a) asks that no detour through the recursive structure is shorter than the direct edge, at every level of the recursion. The paper handles this by an induction on (2.13)–(2.17) that tracks only seven nodes per level, and argues that distances inside a copy of FiF_iFi​ are not shortened by embedding it into Fi+1F_{i+1}Fi+1​. Property b) then needs that at each step of PiP_iPi​ the chosen node is at least as close as every unvisited node, including nodes in the other copy and nodes reached through the start or right nodes; ties occur, and the claim is only that some resolution of them follows PiP_iPi​. Checking small cases by computer does not give either property for all iii.

Formalization scope

Nodes of an instance are Fin n, a tour is a permutation of Fin n, the tour length is the sum over consecutive pairs including the closing edge, and OPTIMAL is a minimum over the finite set of permutations. The model is the paper's: symmetric, nonnegative distances with the triangle inequality. The distance structure also carries d(a,a)=0d(a,a)=0d(a,a)=0, a normalization not in the paper; the diagonal never enters a tour length. A nearest-neighbor tour is a permutation in which each step goes to a node at least as close as every unvisited node, from an arbitrary start with arbitrary ties.

Ratios are multiplied out: the goal is (13log⁡2(n+1)+49)⋅OPTIMAL<NEARNEIBER(\frac13\log_2(n+1)+\frac49)\cdot\mathrm{OPTIMAL}<\mathrm{NEARNEIBER}(31​log2​(n+1)+94​)⋅OPTIMAL<NEARNEIBER together with OPTIMAL>0\mathrm{OPTIMAL}>0OPTIMAL>0, the paper's standing assumption (1.1). lg⁡(n+1)\lg(n+1)lg(n+1) is Real.logb 2 of n+1n+1n+1, as printed. Because of the strict inequality and the conjunct OPTIMAL>0\mathrm{OPTIMAL}>0OPTIMAL>0, the all-zero distance does not satisfy the goal, so the statement cannot be met by a degenerate instance.

In the construction the nodes of FiF_iFi​, GiG_iGi​, Gˉi\bar G_iGˉi​ are numbered 0,…,2i+1−20,\dots,2^{i+1}-20,…,2i+1−2 from left to right (start node 000, middle node 2i−12^i-12i−1, right node 2i+1−22^{i+1}-22i+1−2); in Fi+1F_{i+1}Fi+1​ the left copy comes first, then the new node, then the right copy. Graphs are edge lists with real weights and lil_ili​ is defined in R\mathbb RR exactly as in (2.11). The shortest-path distance is the infimum of walk weights over an inductive walk predicate; it would be 000 for two nodes with no connecting walk, a case that does not arise because every GiG_iGi​ and FiF_iFi​ is connected. LiL_iLi​ is defined by its difference equation; its identification with the length of the tour along PiP_iPi​ is milestone 7. All construction statements assume i≥1i\ge1i≥1.

A complete development needs a small library for shortest-path distances of finite weighted edge lists (symmetry, triangle inequality, attainment, behaviour under relabelling and under gluing two graphs at a few nodes); this part is reusable beyond the mission. Contributions welcome: proofs of any milestone, and such general shortest-path lemmas as separate theorems. Theorem 1 is not part of this mission.

Selected references

  • D. J. Rosenkrantz, R. E. Stearns, P. M. Lewis II, An Analysis of Several Heuristics for the Traveling Salesman Problem, SIAM J. Comput. 6(3):563–581, 1977. https://doi.org/10.1137/0206041
  • M. Bellmore, G. L. Nemhauser, The Traveling Salesman Problem: A Survey, Operations Research 16(3):538–558, 1968. https://doi.org/10.1287/opre.16.3.538
  • J. W. Gavett, Three Heuristic Rules for Sequencing Jobs to a Single Production Facility, Management Science 11(8):B166–B176, 1965. https://doi.org/10.1287/mnsc.11.8.B166
  • N. Christofides, Worst-Case Analysis of a New Heuristic for the Travelling Salesman Problem, Report 388, Graduate School of Industrial Administration, Carnegie Mellon University, 1976.
12 thms4 active usersReviewed
🏆Completed
CombinatoricsGraph TheoryOperations Research+2·Captain: mikedeng1

An Analysis of Several Heuristics for the Traveling Salesman Problem II: Every Insertion Method Is Within ⌈lg n⌉ + 1 of the Optimal TourResearch Paper

Motivation

The traveling salesman problem asks for a shortest closed route visiting every node of a weighted complete graph exactly once. It is NP-hard, so practitioners use fast heuristics, and the basic question about a heuristic is how far from optimal its tour can be. Rosenkrantz, Stearns and Lewis (SIAM J. Comput. 6(3), 1977) gave the first systematic worst-case analysis of the simple constructive heuristics under the triangle inequality: nearest neighbor, the family of insertion methods, and several variants.

Insertion methods build a tour by growing it one node at a time. They are among the most widely used construction heuristics in practice and in textbooks, and they differ only in the rule that chooses which node to insert next: the nearest one, the cheapest one, the farthest one, a random one, or any other. This mission formalizes the paper's result that holds for the whole family at once, regardless of that rule: every insertion method produces a tour at most ⌈lg⁡n⌉+1\lceil \lg n\rceil + 1⌈lgn⌉+1 times longer than an optimal one (Theorem 3, p. 571).

Timeline. 1977: Rosenkrantz, Stearns and Lewis prove ⌈lg⁡n⌉+1\lceil\lg n\rceil+1⌈lgn⌉+1 for every insertion method (Theorem 3), 12(⌈lg⁡n⌉+1)\tfrac12(\lceil\lg n\rceil+1)21​(⌈lgn⌉+1) for nearest neighbor (Theorem 1), both from a shared counting lemma (Lemma 1), and the constant 222 for nearest and cheapest insertion (Theorem 4). 1994: Bafna, Kalyanasundaram and Pruhs (Theoretical Computer Science 125, 1994) give instances on which some insertion methods reach ratio Ω(log⁡n/log⁡log⁡n)\Omega(\log n/\log\log n)Ω(logn/loglogn), so the logarithmic growth cannot be replaced by a constant for the family as a whole.

Setting

A traveling salesman graph with nnn nodes consists of a finite node set NNN with ∣N∣=n|N|=n∣N∣=n and a distance d:N×N→Rd:N\times N\to\mathbb Rd:N×N→R with d(i,j)=d(j,i)d(i,j)=d(j,i)d(i,j)=d(j,i), d(i,j)≥0d(i,j)\ge 0d(i,j)≥0 and d(i,j)+d(j,k)≥d(i,k)d(i,j)+d(j,k)\ge d(i,k)d(i,j)+d(j,k)≥d(i,k) for all nodes (the triangle inequality). A tour visits every node once and returns to its start; its length is the sum of its edge lengths, and OPTIMAL is the least length of a tour.

A subtour is a tour on a subset of the nodes; a single node is a tour without edges. Given a subtour TTT and a node k∉Tk\notin Tk∈/T, TOUR(T,k)(T,k)(T,k) is obtained by choosing an edge (x,y)(x,y)(x,y) of TTT minimizing

d(x,k)+d(k,y)−d(x,y)d(x,k)+d(k,y)-d(x,y)d(x,k)+d(k,y)−d(x,y)

and replacing it by the edges (x,k)(x,k)(x,k) and (k,y)(k,y)(k,y); if TTT is a single node iii, TOUR(T,k)(T,k)(T,k) is the two-node tour (i,k),(k,i)(i,k),(k,i)(i,k),(k,i). COST(T,k)(T,k)(T,k) is the length of TOUR(T,k)(T,k)(T,k) minus the length of TTT.

An insertion method constructs subtours T1,…,TnT_1,\dots,T_nT1​,…,Tn​ with T1={a0}T_1=\{a_0\}T1​={a0​} a single node and Ti+1=TOUR(Ti,ai)T_{i+1}=\mathrm{TOUR}(T_i,a_i)Ti+1​=TOUR(Ti​,ai​) for some node ai∉Tia_i\notin T_iai​∈/Ti​, 1≤i<n1\le i<n1≤i<n. The final tour TnT_nTn​ is the approximation, and INSERT denotes its length. No rule for choosing the aia_iai​ is fixed, and ties between minimizing edges are broken arbitrarily.

Write lg⁡\lglg for the logarithm to base 2 and ⌈x⌉\lceil x\rceil⌈x⌉ for the least integer ≥x\ge x≥x.

Formalization targets

Goal: Theorem 3

For every traveling salesman graph with n≥1n\ge 1n≥1 nodes and every run of every insertion method,

INSERT ≤ (⌈lg⁡n⌉+1)⋅OPTIMAL.\mathrm{INSERT}\ \le\ \bigl(\lceil\lg n\rceil+1\bigr)\cdot\mathrm{OPTIMAL}.INSERT ≤ (⌈lgn⌉+1)⋅OPTIMAL.

Milestones

  1. (2.2), shortcutting: visiting a subset of the nodes in the order of a tour gives a tour of the subset that is no longer.
  2. (2.1): if the numbers l1≥⋯≥lnl_1\ge\dots\ge l_nl1​≥⋯≥ln​ satisfy d(p,q)≥min⁡(lp,lq)d(p,q)\ge\min(l_p,l_q)d(p,q)≥min(lp​,lq​) for distinct p,qp,qp,q, then OPTIMAL≥2∑i=k+1min⁡(2k,n)li\mathrm{OPTIMAL}\ge 2\sum_{i=k+1}^{\min(2k,n)} l_iOPTIMAL≥2∑i=k+1min(2k,n)​li​ for 1≤k≤n1\le k\le n1≤k≤n.
  3. Lemma 1: if d(p,q)≥min⁡(lp,lq)d(p,q)\ge\min(l_p,l_q)d(p,q)≥min(lp​,lq​) for distinct nodes and lp≤12OPTIMALl_p\le\frac12\mathrm{OPTIMAL}lp​≤21​OPTIMAL for all ppp, then
∑plp≤12(⌈lg⁡n⌉+1)OPTIMAL.\sum_p l_p\le\tfrac12\bigl(\lceil\lg n\rceil+1\bigr)\mathrm{OPTIMAL}.p∑​lp​≤21​(⌈lgn⌉+1)OPTIMAL.
  1. Lemma 2: COST(T,k)≤2 d(k,j)\mathrm{COST}(T,k)\le 2\,d(k,j)COST(T,k)≤2d(k,j) for every node jjj of TTT.
  2. (3.7): INSERT=∑i=1n−1COST(Ti,ai)\mathrm{INSERT}=\sum_{i=1}^{n-1}\mathrm{COST}(T_i,a_i)INSERT=∑i=1n−1​COST(Ti​,ai​).
  3. (3.10): COST(Ti,ai)≤2 d(ai,aj)\mathrm{COST}(T_i,a_i)\le 2\,d(a_i,a_j)COST(Ti​,ai​)≤2d(ai​,aj​) whenever j<ij<ij<i.
  4. (3.12): COST(Ti,ai)≤OPTIMAL\mathrm{COST}(T_i,a_i)\le\mathrm{OPTIMAL}COST(Ti​,ai​)≤OPTIMAL for 1≤i<n1\le i<n1≤i<n.

Significance

The result. Theorem 3 is a guarantee for an entire class of algorithms rather than for one. Any rule for choosing the next node, including rules designed for speed or for empirical quality, inherits a worst-case ratio of ⌈lg⁡n⌉+1\lceil\lg n\rceil+1⌈lgn⌉+1 from the insertion step alone. The rule matters only for improving on that: nearest and cheapest insertion achieve the constant 2(1−1/n)2(1-1/n)2(1−1/n) (Theorem 4 and its corollary, the subject of the third mission of this series), while the logarithmic bound remains the best general statement for other rules, such as farthest or arbitrary insertion. Lemma 1 is reusable on its own: it converts "every node carries a charge bounded by half the optimum and by its distance to other nodes" into a logarithmic bound, and the same lemma yields the nearest neighbor bound of Theorem 1.

Formalizing it. The theorem has been proved since 1977; the work here is a machine-checked proof of the known argument together with a reusable library for subtours, insertion and insertion costs. The companion nearest neighbor bound (Theorem 1) is already on the platform as SupplyChainTheory.nearest_neighbor_bound (proved), and nearest insertion with constant 2 as SupplyChainTheory.nearest_insertion_bound; neither covers arbitrary insertion methods or states Lemma 1 separately.

Difficulty

The per-step facts are local: each insertion is cheap relative to a node already present (Lemma 2) and relative to OPTIMAL (3.12). The obvious way to combine them, adding up n−1n-1n−1 costs each at most OPTIMAL, gives only the ratio n−1n-1n−1. The logarithm comes from a global counting argument over all nodes simultaneously (Lemma 1), in which OPTIMAL is compared with tours on nested subsets of nodes of doubling size, and the per-node charges must be matched against the edges of those tours. Formally, the delicate parts are the bookkeeping of subtours as they grow (that every earlier node lies on the current subtour, and that the insertion cost equals the length increase), the shortcutting of a tour to an arbitrary subset, and the ceiling-of-logarithm arithmetic.

Formalization scope

Nodes are Fin n; a tour of all nodes is a permutation τ : Equiv.Perm (Fin n), and OPTIMAL is the minimum of the tour length over the finite, nonempty set of permutations. Subtours are duplicate-free lists of nodes, with closed length d(x0,x1)+⋯+d(xm−1,x0)d(x_0,x_1)+\dots+d(x_{m-1},x_0)d(x0​,x1​)+⋯+d(xm−1​,x0​). TOUR(T,k)(T,k)(T,k) is encoded as inserting kkk at a list position whose resulting length is minimal among all positions; inserting at a position removes exactly one edge of TTT and raises the length by exactly d(x,k)+d(k,y)−d(x,y)d(x,k)+d(k,y)-d(x,y)d(x,k)+d(k,y)−d(x,y), so this is the paper's rule, with every tie-breaking allowed. COST is the minimum length increase over positions. The paper's 1-based subtour index is kept (T1=[a0]T_1=[a_0]T1​=[a0​], TnT_nTn​ final). ⌈lg⁡n⌉\lceil\lg n\rceil⌈lgn⌉ is Nat.clog 2 n. All quantities are real.

Conventions and deviations, each disclosed in the item statements:

  • The distance satisfies d(i,i)=0d(i,i)=0d(i,i)=0, a normalization not in the paper; a loop never enters any length.
  • Ratios are multiplied out (INSERT≤c⋅OPTIMAL\mathrm{INSERT}\le c\cdot\mathrm{OPTIMAL}INSERT≤c⋅OPTIMAL), so the paper's exclusion of the identically zero distance (1.1) is not needed.
  • Condition a) of Lemma 1 is required for distinct nodes only. The page says "for all nodes ppp and qqq", which for p=qp=qp=q would force every lp≤0l_p\le 0lp​≤0 and make the lemma inapplicable in the proof of Theorem 3; the proof uses the condition only on edges of a tour.
  • (2.2) is stated for every subset of the nodes and every tour, which is what the shortcut argument shows; the paper applies it to one specific subset and an optimal tour.
  • (2.1) uses 0-based node labels, so its range k+1,…,min⁡(2k,n)k+1,\dots,\min(2k,n)k+1,…,min(2k,n) becomes k,…,min⁡(2k,n)−1k,\dots,\min(2k,n)-1k,…,min(2k,n)−1.

The goal quantifies over every run: any choice of the inserted nodes aia_iai​ and any minimizing insertion position. Adding a selection rule (nearest, cheapest) or fixing a tie-breaking would state a weaker, different theorem; restricting to instances with OPTIMAL =0=0=0 or to a fixed small nnn would trivialize it.

Reusable beyond this mission: the subtour and insertion library (closed length of a list, TOUR, COST, insertion runs) and Lemma 1, which also yields Theorem 1. Contributions welcome: proofs of the milestones, general lemmas about the closed length of List.insertIdx and of filtered lists, and a proof of Theorem 1 from this mission's Lemma 1.

Selected references

  • D. J. Rosenkrantz, R. E. Stearns, P. M. Lewis II, An Analysis of Several Heuristics for the Traveling Salesman Problem, SIAM Journal on Computing 6(3):563–581, 1977. https://doi.org/10.1137/0206041
  • V. Bafna, B. Kalyanasundaram, K. Pruhs, Not all insertion methods yield constant approximate tours in the Euclidean plane, Theoretical Computer Science 125(2):345–353, 1994.
10 thms2 active usersReviewed
🏆Completed
Algorithmic Game TheoryDynamic ProgrammingMarkov Chain+1·Captain: mikedeng1

Markovian Decision Processes with Uncertain Transition Probabilities I: The Max-Min Policy-Iteration Algorithm Terminates at a Max-Min Optimal Pure Stationary PolicyResearch Paper

Motivation

Howard's finite Markovian decision process (MDP) models a controller who, at each instant, observes the state of a system, chooses a decision, collects a reward and moves to a random next state with known transition probabilities. Howard's policy-iteration algorithm computes an optimal policy, and the model has been applied to inventory control, equipment replacement, quality control and marketing. Its weak point is the requirement that every transition probability be known exactly: in applications these numbers are estimated and are hard to measure.

Satia and Lave (Operations Research 21(3), 1973) relax this requirement. In their game-theoretic formulation, the controller knows only a set of admissible probability rows for every state–decision pair, and nature chooses the rows adversarially. This is the model now called a robust MDP with (s,a)-rectangular uncertainty, studied later by Iyengar (Math. Oper. Res. 2005) and Nilim and El Ghaoui (Oper. Res. 2005), who reprove and extend the dynamic-programming results for it. The paper gives a policy-iteration algorithm for the max-min criterion and proves that it terminates at an optimal policy. This mission formalizes that part of the paper (pp. 728–732).

Timeline:

  • 1953: Shapley introduces stochastic games (PNAS 39).
  • 1960: Howard, Dynamic Programming and Markov Processes, policy iteration for known transitions.
  • 1973: Satia and Lave, max-min and max-max policy iteration for uncertain transitions (dynamic-programming equations and optimality of pure stationary policies cited from Satia's 1968 Stanford thesis).
  • 2005: Iyengar; Nilim and El Ghaoui, robust dynamic programming under rectangular uncertainty.

Setting

There are finitely many states iii and, in state iii, a finite nonempty set DiD_iDi​ of decisions kkk. A transition i→ji\to ji→j under decision kkk earns reward rijkr^k_{ij}rijk​; rewards are discounted by β\betaβ with 0≤β<10\le\beta<10≤β<1. For every pair (i,k)(i,k)(i,k) there is a nonempty, closed, convex set SikS_i^kSik​ of probability rows p=(p1,…,pN)p=(p_1,\dots,p_N)p=(p1​,…,pN​), pj≥0p_j\ge0pj​≥0, ∑jpj=1\sum_j p_j=1∑j​pj​=1. Nature's choice is a matrix P∈SP\in SP∈S: one row pik∈Sikp_i^k\in S_i^kpik​∈Sik​ for every pair.

A pure stationary policy A=(A1,…,AN)A=(A_1,\dots,A_N)A=(A1​,…,AN​) selects Ai∈DiA_i\in D_iAi​∈Di​. Under PPP its present value vA(P)v^A(P)vA(P) is the unique solution of equations (5),

viA=∑jpijAi(rijAi+βvjA).v_i^A=\sum_j p^{A_i}_{ij}\big(r^{A_i}_{ij}+\beta v_j^A\big).viA​=j∑​pijAi​​(rijAi​​+βvjA​).

Nature's minimum is v‾i(A)=inf⁡P∈SviA(P)\underline v_i(A)=\inf_{P\in S}v_i^A(P)v​i​(A)=infP∈S​viA​(P), and the max-min return of criterion (2) is vˉi=max⁡Av‾i(A)\bar v_i=\max_A\underline v_i(A)vˉi​=maxA​v​i​(A). A policy is max-min optimal if v‾(A)=vˉ\underline v(A)=\bar vv​(A)=vˉ in every state.

The algorithm alternates two routines. Phase 1 (nature's policy evaluation) fixes AAA, computes vAv^AvA from the current rows, replaces each row at AiA_iAi​ by a minimizer of ∑jpj(rijAi+βvjA)\sum_j p_j(r^{A_i}_{ij}+\beta v^A_j)∑j​pj​(rijAi​​+βvjA​) over SiAiS_i^{A_i}SiAi​​ (6), and stops when the minima reproduce vAv^AvA. Phase 2 (policy improvement) chooses in each state a decision BiB_iBi​ maximizing the test quantity (7),

tik(v)=min⁡p∈Sik∑jpj(rijk+βvj),t_i^k(v)=\min_{p\in S_i^k}\sum_j p_j\big(r^k_{ij}+\beta v_j\big),tik​(v)=p∈Sik​min​j∑​pj​(rijk​+βvj​),

at v=v‾(A)v=\underline v(A)v=v​(A), keeping AiA_iAi​ on ties; if B=AB=AB=A the algorithm terminates.

Formalization targets

Goal: Proposition 5 with Proposition 3

Along every run A0,A1,…A^0,A^1,\dotsA0,A1,… of Phase 2 steps,

v‾(An)≤v‾(An+1)  ∀n,∃ n<#{policies}: An+1=An,  v‾(An)=vˉ,\underline v(A^n)\le\underline v(A^{n+1})\ \ \forall n,\qquad \exists\,n<\#\{\text{policies}\}:\ A^{n+1}=A^n,\ \ \underline v(A^n)=\bar v,v​(An)≤v​(An+1)  ∀n,∃n<#{policies}: An+1=An,  v​(An)=vˉ,

and the terminal policy attains the solution of the equations (4) and is ε\varepsilonε-optimal for every ε>0\varepsilon>0ε>0.

Milestones

  • Eq. (5): the present-value equations have a unique solution.
  • [I−βP]−1[I-\beta P]^{-1}[I−βP]−1 is nonnegative with diagonal at least 1 for stochastic PPP (proof of Proposition 5).
  • Proposition 1: equations (4), with randomized decisions and mixed choices of nature, have a unique solution, and it is the max-min return.
  • Proposition 2: a pure stationary policy attains it.
  • A non-final Phase 1 iteration lowers nature's value weakly everywhere and strictly somewhere (proof of Proposition 4).
  • Proposition 4: Phase 1 comes within ε\varepsilonε of nature's optimum after finitely many iterations.
  • Proposition 3: at termination no pure stationary policy is better.
  • Each policy change strictly improves the max-min return (proof of Proposition 5).

Significance

The goal certifies a complete algorithm for the max-min problem: it computes a policy that is optimal against the worst admissible transition probabilities, in all states at once, in finitely many improvement steps. Propositions 1 and 2 show that the dynamic-programming equations (4) characterize the max-min value and that neither side gains from randomization. The known-transition case (every SikS_i^kSik​ a single row) recovers Howard's policy iteration.

On the platform, Howard-type policy iteration for known transitions has been formalized (the Bertsekas Dynamic Programming and Optimal Control missions); nothing with uncertain transitions exists. The results of this paper are proved in the literature (Satia's thesis, and in greater generality by Iyengar and by Nilim and El Ghaoui); none has a machine-checked proof. This mission produces the first formal robust-MDP model and robust policy-iteration theorem on the platform.

Difficulty

The obvious argument copies Howard's improvement lemma. It fails at two points. First, the value of a policy is itself the result of an inner optimization by nature, so comparing two policies requires comparing two different worst-case transition matrices; the matrix P∗BP^{*B}P∗B minimizing against BBB is not the one minimizing against AAA. Second, the proof of Proposition 4 as printed shows only that nature's values decrease and converge; that the limit is nature's optimum, over a continuum of admissible rows, needs a separate argument. Finally, Proposition 1 involves randomized strategies and probability measures on the uncertainty sets, and reducing them to pure strategies is the content of Propositions 1 and 2, not a definitional convenience.

Formalization scope

States are a finite type S (nonemptiness is not needed: every statement is unchanged in meaning at N=1N=1N=1 and trivially true at N=0N=0N=0), decisions a family D : S → Type* of finite nonempty types. The model fixes these conventions and readings:

  • 0≤β<10\le\beta<10≤β<1 (not printed; every return is an infinite discounted sum) and nonempty SikS_i^kSik​ (not printed; Phase 1 presupposes a feasible row) are added standing hypotheses; closedness and convexity are the paper's.
  • The present value is [I−βPA]−1[I-\beta P^A]^{-1}[I−βPA]−1 applied to the one-step rewards; the Eq. (5) milestone proves it is the unique solution of (5).
  • "min over pik∈Sikp_i^k\in S_i^kpik​∈Sik​" in (2) is an infimum over the nonempty type of admissible choices P∈SP\in SP∈S, bounded below; "max over all policies" is a maximum over pure stationary policies, with randomization handled in (4).
  • In (4), τ\tauτ ranges over probability vectors on DjD_jDj​ and α\alphaα over probability measures on row vectors with α(Sjk)=1\alpha(S_j^k)=1α(Sjk​)=1; the missing integral sign and unmatched brace of the printed display are corrected.
  • "Optimal" = equal to the max-min return in every state; "ε\varepsilonε-optimal" = within ±ε\pm\varepsilon±ε in every state (p. 731); "ε\varepsilonε-optimal for nature" = within ε\varepsilonε of nature's minimum.
  • "Terminates" = Phase 2 returns the same policy; "a finite number of iterations" is stated with the explicit bound "fewer than the number of policies".
  • Phase 1 is taken exact in Phase 2 (the proofs of Propositions 3 and 5 use exact minimizers); the Phase 1 stopping test is printed without Σ\SigmaΣ and the sum is formalized.
  • Retention rule: Phase 2 keeps AiA_iAi​ when it is already a maximizer. It is not printed, but it is Howard's rule and Proposition 5 is false without it.
  • Proposition 5's "ε\varepsilonε-optimal … in a finite number of iterations" is formalized as exact termination at an optimal policy, which implies the printed claim for every ε\varepsilonε.

Equation (4) must not be collapsed to max⁡kmin⁡p∈Sjk\max_k\min_{p\in S_j^k}maxk​minp∈Sjk​​ in its definition: that would make Proposition 2 true by definition. Similarly, the Phase 2 relation always has a successor and algorithm runs exist from every policy, so the goal is not vacuous.

Needed infrastructure: Neumann series for I−βPI-\beta PI−βP with stochastic PPP, monotonicity of policy evaluation, existence of minimizers of linear functions on compact subsets of the simplex, and the contraction argument for the robust Bellman operator. These are reusable for any robust or known-transition MDP development. Proofs of any milestone, alternative arguments for Propositions 1 and 2, and extensions to the max-max criterion are welcome.

Selected references

  • J. K. Satia and R. E. Lave, Jr., Markovian Decision Processes with Uncertain Transition Probabilities, Operations Research 21(3), 728–740, 1973. https://doi.org/10.1287/opre.21.3.728
  • R. A. Howard, Dynamic Programming and Markov Processes, MIT Press, 1960.
  • L. S. Shapley, Stochastic Games, PNAS 39(10), 1095–1100, 1953. https://doi.org/10.1073/pnas.39.10.1095
  • G. N. Iyengar, Robust Dynamic Programming, Mathematics of Operations Research 30(2), 257–280, 2005. https://doi.org/10.1287/moor.1040.0129
  • A. Nilim and L. El Ghaoui, Robust Control of Markov Decision Processes with Uncertain Transition Matrices, Operations Research 53(5), 780–798, 2005. https://doi.org/10.1287/opre.1050.0216
12 thms4 active usersReviewed
🏆Completed
Dynamic ProgrammingOperations ResearchProbability+1·Captain: mikedeng1

Markovian Decision Processes with Uncertain Transition Probabilities II: Max-Max and Max-Min Optimal Returns Bound the Bayesian Optimal ReturnResearch Paper

Motivation

A Markovian decision process (Howard, 1960) models a controller who, in each of finitely many states, picks a decision, earns a reward and moves to a random next state according to known transition probabilities. In applications (inventory control, equipment replacement, quality control) those probabilities are estimated, not known. Satia and Lave (Operations Research 21(3), 1973) treat the uncertainty in two ways: a game-theoretic formulation, in which each unknown row only lies in a given set, and a Bayesian formulation, going back to Silver (1963) and Martin (1967), in which the controller holds a prior on the unknown matrix and learns from observed transitions.

The Bayesian problem is the natural one but its state includes the whole prior, so it cannot be solved exactly beyond small cases. The paper's contribution in the Bayesian part is a pair of computable bounds on the Bayesian optimal return in terms of the two game-theoretic values (max-max and max-min). This mission formalizes those bounds and the chain of facts they rest on.

Setting

There are NNN states iii and, in state iii, a finite nonempty set KiK_iKi​ of decisions. A transition i→ji \to ji→j under decision kkk earns rijkr^k_{ij}rijk​ and rewards are discounted by β\betaβ, 0≤β<10 \le \beta < 10≤β<1. The row pik=(pijk)jp_i^k = (p^k_{ij})_jpik​=(pijk​)j​ of transition probabilities is unknown; it is known to lie in a closed convex nonempty set SikS_i^kSik​ of probability vectors, and S={P:pik∈Sik for all i,k}S = \{P : p_i^k \in S_i^k \text{ for all } i, k\}S={P:pik​∈Sik​ for all i,k}.

A prior ggg is a probability distribution on matrices P=(pik)P = (p_i^k)P=(pik​) whose rows are all probability vectors. Its means are pˉijk=E(pijk)\bar p^k_{ij} = E(p^k_{ij})pˉ​ijk​=E(pijk​). After a transition l→jl \to jl→j under decision mmm the prior is replaced by the Bayes transformation Tljmg(P)=C pljm g(P)T^m_{lj} g(P) = C\,p^m_{lj}\,g(P)Tljm​g(P)=Cpljm​g(P) (Eq. (8)), with CCC the normalizing constant. The Bayesian optimal return f(i,g)f(i,g)f(i,g) solves the recursion

f(i,g)=max⁡k∈Ki{∑jpˉijkrijk+β∑jpˉijkf(j,Tijkg)}.(10)f(i, g) = \max_{k \in K_i} \Big\{ \sum_j \bar p^k_{ij} r^k_{ij} + \beta \sum_j \bar p^k_{ij} f(j, T^k_{ij} g) \Big\}. \qquad (10)f(i,g)=k∈Ki​max​{j∑​pˉ​ijk​rijk​+βj∑​pˉ​ijk​f(j,Tijk​g)}.(10)

The max-max and max-min values V+V^+V+, V−V^-V− solve

Vi±=max⁡k∈Kimax/min⁡pik∈Sik{∑jpijkrijk+β∑jpijkVj±},V_i^\pm = \max_{k \in K_i} \operatorname*{max/min}_{p_i^k \in S_i^k} \Big\{ \sum_j p^k_{ij} r^k_{ij} + \beta \sum_j p^k_{ij} V_j^\pm \Big\},Vi±​=k∈Ki​max​pik​∈Sik​max/min​{j∑​pijk​rijk​+βj∑​pijk​Vj±​},

with max for V+V^+V+ and min for V−V^-V−. Finally α=prob⁡(P∈S∣g)\alpha = \operatorname{prob}(P \in S \mid g)α=prob(P∈S∣g), the prior probability that the true matrix lies in SSS.

The Lean development lives in the namespace SatiaLave.Bayes: UncertainMDP, IsPrior, pbar, bayes, SolvesEq10, SolvesVplus, SolvesVminus, alpha, rmax, rmin, policyValue.

Formalization targets

Goal: Propositions 9 and 10

For every bounded solution fff of (10), all solutions V+V^+V+, V−V^-V−, every prior ggg and every state iii,

αVi−+(1−α)min⁡i,j,krijk1−β  ≤  f(i,g)  ≤  αVi++(1−α)max⁡i,j,krijk1−β,\alpha V_i^- + (1-\alpha)\min_{i,j,k}\frac{r^k_{ij}}{1-\beta} \;\le\; f(i,g) \;\le\; \alpha V_i^+ + (1-\alpha)\max_{i,j,k}\frac{r^k_{ij}}{1-\beta},αVi−​+(1−α)i,j,kmin​1−βrijk​​≤f(i,g)≤αVi+​+(1−α)i,j,kmax​1−βrijk​​,

together with the existence of fff, V+V^+V+ and V−V^-V−. Both halves are the paper's printed statements.

Milestones

  1. Proposition 6 (Martin): (9)/(10) has a unique bounded solution (unique at priors).
  2. No learning (p. 733): at a point-mass prior δP\delta_PδP​, f(⋅,δP)f(\cdot,\delta_P)f(⋅,δP​) solves the optimality equations of the process with known PPP.
  3. Proposition 8: f(i,g)f(i,g)f(i,g) is convex in ggg.
  4. Jensen step (proof of Proposition 9): f(i,g)≤∫f(i,δP) dg(P)f(i,g) \le \int f(i,\delta_P)\,dg(P)f(i,g)≤∫f(i,δP​)dg(P).
  5. Policy step (proof of Proposition 10): f(i,g)≥∫[q+βPAq+β2[PA]2q+⋯ ]i dg(P)f(i,g) \ge \int [q + \beta P^A q + \beta^2 [P^A]^2 q + \cdots]_i\,dg(P)f(i,g)≥∫[q+βPAq+β2[PA]2q+⋯]i​dg(P) for every pure stationary policy AAA.

Significance

The result. The bounds sandwich an intractable quantity between two quantities computable by finite algorithms (the max-max and max-min policy-iteration procedures of the same paper), weighted by a single prior probability α\alphaα. When the prior concentrates on SSS (α→1\alpha \to 1α→1) the bounds become Vi−≤f(i,g)≤Vi+V_i^- \le f(i,g) \le V_i^+Vi−​≤f(i,g)≤Vi+​: the Bayesian return lies between the pessimistic and optimistic robust values. They are the upper and lower bounds on the return that the paper's implicit-enumeration method (the decision tree of its Fig. 2 and Proposition 12) uses to compare decisions. The Jensen step is a value-of-information inequality (Bayesian optimal return is at most the expected full-information optimal return), which recurs throughout Bayesian control and bandit theory.

Formalizing it. The results are proved on paper (Propositions 6 and 8 by reference to Martin's book and Satia's thesis, Propositions 9 and 10 in the text); none is machine-checked. The mission produces a Lean model of Bayes-adaptive Markov decision processes with priors as measures, the Bayes transformation and its fixed-point recursion, and the link between the Bayesian and the robust (rectangular) formulations. Martin's existence-uniqueness theorem and the convexity of the Bayesian value are reusable for any Bayes-adaptive model.

Difficulty

The prior space is infinite-dimensional and not a vector space, so the recursion (10) lives on a space of measures, and the usual finite-state arguments do not apply verbatim. Proposition 8 gives convexity only along finite mixtures, while the proof of Proposition 9 applies Jensen's inequality to the integral mixture g=∫δP dg(P)g = \int \delta_P\,dg(P)g=∫δP​dg(P) of point masses; bridging the two, or proving the value-of-information inequality directly, is the central step. The paper also restricts the point masses to xik∈Sikx_i^k \in S_i^kxik​∈Sik​, which cannot represent a prior with mass outside SSS; the formal statement integrates over every transition matrix, as the next line of the paper's display requires. Measurability of P↦f(i,δP)P \mapsto f(i,\delta_P)P↦f(i,δP​) is not automatic, since fff is only characterized by a functional equation.

Formalization scope

  • States are a nonempty Fintype S; decisions a dependent family D i of nonempty finite types. A matrix is P : (i : S) → D i → S → ℝ with the product Borel σ\sigmaσ-algebra.
  • Priors are measures: a probability measure giving full mass to matrices whose rows are probability vectors. This generalizes the paper's densities g(P)g(P)g(P) and includes the point masses axa_xax​ its proof uses.
  • Bayes transformation at pˉ=0\bar p = 0pˉ​=0: the normalizing constant does not exist; bayes then returns ggg. That posterior is always multiplied by pˉ=0\bar p = 0pˉ​=0 in (10), so the choice is immaterial.
  • Readings of informal words. "The problem reduces to a Markovian decision process" = at a point-mass prior, fixed by every Bayes transformation, fff solves the known-PPP optimality equations. "Convex in ggg" = convex along mixtures of priors. "Unique set of bounded functions" = two bounded solutions agree at every prior (values at non-priors are unconstrained). "Satisfy (9)" is formalized as (10), which the paper derives from (9) by linearity of EEE. max⁡P∈S\max_{P\in S}maxP∈S​/min⁡P∈S\min_{P\in S}minP∈S​ in V±V^\pmV± is taken over the row pik∈Sikp_i^k \in S_i^kpik​∈Sik​ (the only row that enters; SSS is a product), as ⨆/⨅ over a nonempty bounded set. "Obviously f(i,g)≥ViAf(i,g)\ge V_i^Af(i,g)≥ViA​" is stated for every pure stationary policy AAA, not only a max-min optimal one. The policy return is the componentwise series ∑nβn(PA)nq\sum_n \beta^n (P^A)^n q∑n​βn(PA)nq.
  • Added hypotheses, not printed: 0≤β<10 \le \beta < 10≤β<1; Sik≠∅S_i^k \ne \emptysetSik​=∅; N≥1N \ge 1N≥1. Printed and kept: SikS_i^kSik​ closed and convex.
  • fff, V+V^+V+, V−V^-V− are quantified as solutions of their equations; α\alphaα is computed from ggg, never a free parameter; max⁡i,j,k[rijk/(1−β)]\max_{i,j,k}[r^k_{ij}/(1-\beta)]maxi,j,k​[rijk​/(1−β)] ranges over all states i,ji,ji,j and k∈Kik \in K_ik∈Ki​. Integrability of the integrands in milestones 4 and 5 is part of their conclusions.
  • Trivializations ruled out. A free α∈[0,1]\alpha \in [0,1]α∈[0,1], or fff defined off priors, would make the goal false or vacuous; the goal also asserts that bounded fff and V±V^\pmV± exist, so its universal part is not vacuous.
  • Not in scope: Proposition 7 (matrix-beta conjugacy, which needs a Dirichlet distribution), Propositions 11–13 and the numerical example.

Welcome contributions: the Banach fixed-point argument for (10) on bounded functions of priors; lemmas that bayes maps priors to priors and that point masses are fixed; continuity of the known-PPP optimal value in PPP; a general Jensen inequality for functions convex along mixtures of probability measures.

Selected references

  • J. K. Satia and R. E. Lave, Jr., Markovian Decision Processes with Uncertain Transition Probabilities, Operations Research 21(3), 728–740, 1973. https://doi.org/10.1287/opre.21.3.728
  • J. J. Martin, Bayesian Decision Problems and Markov Chains, Wiley, New York, 1967.
  • E. A. Silver, Markovian Decision Processes with Uncertain Transition Probabilities or Rewards, Interim Technical Report No. 1, Operations Research Center, Massachusetts Institute of Technology, August 1963.
  • R. A. Howard, Dynamic Programming and Markov Processes, MIT Press, 1960.
  • J. K. Satia, Markovian Decision Process with Uncertain Transition Matrices or/and Probabilistic Observation of States, Ph.D. dissertation, Stanford University, 1968.
7 thms3 active usersReviewed
🏆Completed
Algorithmic Game TheoryCombinatoricsOperations Research·Captain: mikedeng1

Cores of Convex Games: The Core of a Convex Game Is Its Unique von Neumann-Morgenstern Stable SetResearch Paper

Motivation

A cooperative game with transferable utility assigns to every coalition of players the total payoff the coalition can secure on its own. Two solution concepts for such games go back to the foundations of game theory: the core, the set of payoff divisions no coalition can improve upon, and the stable set (von Neumann–Morgenstern solution), a set of divisions that is internally consistent and externally absorbing under the relation of domination. For general games the two concepts behave badly: the core may be empty, stable sets may fail to exist (Lucas 1968), and when they exist there are usually many of them.

Lloyd Shapley's paper Cores of Convex Games (Int. J. Game Theory 1, 1971) isolates a class of games, the convex games (supermodular characteristic functions), on which all of this becomes well behaved. Convex games arise in cost allocation, in bankruptcy and airport problems, in scheduling and sequencing games, and in any setting with increasing returns to cooperation; the supermodular functions behind them are the same objects studied as polymatroid rank functions in combinatorial optimization (Edmonds 1970). For such games the paper shows that the core is nonempty, that its faces fit together in a rigid combinatorial pattern, that its vertices are exactly the marginal-contribution vectors, and that the core is the unique stable set.

Setting

Let N={1,…,n}N=\{1,\dots,n\}N={1,…,n} be a finite set of players. A game is a function vvv from subsets of NNN to the reals with v(∅)=0v(\emptyset)=0v(∅)=0. It is convex if

v(S)+v(T)≤v(S∪T)+v(S∩T)for all S,T⊆N.v(S)+v(T)\le v(S\cup T)+v(S\cap T)\qquad\text{for all } S,T\subseteq N.v(S)+v(T)≤v(S∪T)+v(S∩T)for all S,T⊆N.

A payoff vector is a∈RNa\in\mathbb R^Na∈RN, and a(S)=∑i∈Saia(S)=\sum_{i\in S}a_ia(S)=∑i∈S​ai​. It is feasible if a(N)≤v(N)a(N)\le v(N)a(N)≤v(N). The core CCC is the set of feasible aaa with a(S)≥v(S)a(S)\ge v(S)a(S)≥v(S) for every S⊆NS\subseteq NS⊆N; in particular a(N)=v(N)a(N)=v(N)a(N)=v(N) on CCC.

For a nonempty coalition SSS, the face CSC_SCS​ is the set of core points with a(S)=v(S)a(S)=v(S)a(S)=v(S); by convention C∅=CC_\emptyset=CC∅​=C, and CN=CC_N=CCN​=C. The family {CS}\{C_S\}{CS​} is the core configuration. It is complete if no CSC_SCS​ is empty, and regular if CN≠∅C_N\ne\emptysetCN​=∅ and

CS∩CT⊆CS∪T∩CS∩Tfor all S,T⊆N.C_S\cap C_T\subseteq C_{S\cup T}\cap C_{S\cap T}\qquad\text{for all } S,T\subseteq N.CS​∩CT​⊆CS∪T​∩CS∩T​for all S,T⊆N.

For an ordering ω\omegaω of the players, Sω,kS_{\omega,k}Sω,k​ is the set of the first kkk players, and the marginal vector aωa^\omegaaω pays each player iii its marginal contribution v(Sω,ω(i))−v(Sω,ω(i)−1)v(S_{\omega,\omega(i)})-v(S_{\omega,\omega(i)-1})v(Sω,ω(i)​)−v(Sω,ω(i)−1​).

A payoff vector bbb is dominated by aaa if some nonempty coalition SSS has a(S)≤v(S)a(S)\le v(S)a(S)≤v(S) and ai>bia_i>b_iai​>bi​ for all i∈Si\in Si∈S. A set VVV of feasible vectors is stable if every feasible vector is either a member of VVV or dominated by a member of VVV, but not both.

Formalization targets

Goal: Theorem 8

C is stable, and every stable set V equals C(v convex).C \text{ is stable, and every stable set } V \text{ equals } C \qquad (v \text{ convex}).C is stable, and every stable set V equals C(v convex).

The goal contains both halves of the page's statement: stability of the core, and uniqueness ("the unique von Neumann–Morgenstern solution").

Milestones, in the order the argument uses them

  • Lemma 1 (p. 18) and Lemma 2 (p. 19): for a regular configuration, a point on two nested faces CS∩CTC_S\cap C_TCS​∩CT​ with ∣T∖S∣≥2|T\setminus S|\ge2∣T∖S∣≥2 can be moved to a face CQC_QCQ​ of an intermediate coalition, and a point of CSC_SCS​ to CS∩CS∪{j}C_S\cap C_{S\cup\{j\}}CS​∩CS∪{j}​, keeping its coordinates on SSS.
  • Theorem 2 (p. 18): in a regular configuration CS1∩⋯∩CSm≠∅C_{S_1}\cap\cdots\cap C_{S_m}\ne\emptysetCS1​​∩⋯∩CSm​​=∅ for every strictly increasing chain S1⊂⋯⊂SmS_1\subset\cdots\subset S_mS1​⊂⋯⊂Sm​; in particular a regular configuration is complete.
  • Theorem 4 (p. 21): the core of a convex game is nonempty.
  • Theorem 5 (p. 22): a game is convex if and only if its core configuration is regular.
  • Two claims of §4.3 (p. 24): every stable set contains the core, and no stable set properly includes another.
  • The claim that opens the proof of Theorem 8 (p. 24): in a convex game every feasible vector outside the core is dominated by a core point.

The mission also states Theorem 3 (p. 19), the vertices of a regular core are exactly the marginal vectors aωa^\omegaaω, as a further item that is not on the path to the goal.

Significance

The result. Theorem 8 gives, for a natural and widely occurring class of games, a complete answer to the existence and uniqueness questions for von Neumann–Morgenstern solutions, which are open or negative in general. Theorems 3 and 5 describe the core of a convex game explicitly as the polytope spanned by the n!n!n! marginal vectors, the combinatorial description that underlies later work on the Shapley value, the Weber set, and the polymatroid greedy algorithm. Theorem 5 is the geometric characterization of supermodularity through the face structure of the core.

Formalizing it. All results in this mission are proved in the paper; none has a machine-checked proof on the platform. Theorem 4 is already stated on the platform (as part of a statement that also puts every marginal vector and the Shapley value in the core) and enters the mission as an existing item. The remaining work is a formal development of face configurations of the core, of stable sets and domination, and of the passage from supermodularity to the geometry of the core. The definitions of stable set and domination are general and reusable for any transferable-utility game.

Difficulty

The internal half of stability is immediate from the definitions: a core point cannot be dominated by any vector satisfying a coalition constraint a(S)≤v(S)a(S)\le v(S)a(S)≤v(S). Uniqueness also follows from two short observations. The substance is external stability: every feasible vector outside the core must be dominated by a core point, and the dominating vector has to be produced explicitly. The obvious attempt, raising the payoffs of one violated coalition and leaving the other coordinates of bbb unchanged, does not in general produce a core point, and nothing in the definition of the core alone controls how the core meets the hyperplane of a given coalition; that control is what the face theory of §3 is about. For non-convex games the external half genuinely fails, so no argument that ignores convexity can succeed.

Formalization scope

Players are Fin n (a relabelling of the paper's finite set NNN), a game is f : Finset (Fin n) → ℝ, payoff vectors are Fin n → ℝ, and a(S)a(S)a(S) is ∑ i ∈ S, a i. The existing platform definitions Supermodularity.Cooperative.IsConvexGame (v(∅)=0v(\emptyset)=0v(∅)=0 plus supermodularity on all subsets), Core, InitialCoalition and GreedyPayoff (the marginal vectors, orderings being permutations of Fin n) are reused; the reused Theorem 4 statement is Supermodularity.Cooperative.convex_game_core_and_shapley.

Conventions committed to:

  • Wherever the page says "a game", the hypothesis is exactly v(∅)=0v(\emptyset)=0v(∅)=0; convexity is IsConvexGame.
  • Faces satisfy C∅=CC_\emptyset=CC∅​=C literally: the tightness condition is imposed only for nonempty SSS.
  • Regularity includes CN≠∅C_N\ne\emptysetCN​=∅, as on the page.
  • Lemmas 1–2 and Theorems 2–3 assume a regular configuration, not convexity, as on the page.
  • S⊂⊂TS\subset\subset TS⊂⊂T is S⊊TS\subsetneq TS⊊T with ∣T∣−∣S∣≥2|T|-|S|\ge2∣T∣−∣S∣≥2; Lemma 1's two preassigned elements are distinct.
  • An increasing sequence of m≥1m\ge1m≥1 coalitions is a strictly monotone map from Fin (m + 1).
  • "Vertex" is Set.extremePoints ℝ.
  • Domination requires a nonempty coalition and strict coordinate inequalities; stable sets consist of feasible vectors and the "either … or …, but not both" condition ranges over feasible vectors, following the page rather than the classical imputation-based variant.

A formalization in which the dominating coalition may be empty, in which regularity omits CN≠∅C_N\ne\emptysetCN​=∅, or in which the goal asserts stability without uniqueness does not state the paper's theorem and is ruled out.

Welcome contributions: proofs of the milestones in any order, general lemmas about faces of polytopes cut out by set-function inequalities, and reusable API for domination and stable sets.

Selected references

  • L. S. Shapley, Cores of Convex Games, International Journal of Game Theory 1 (1971), 11–26. https://doi.org/10.1007/BF01753431
  • J. von Neumann and O. Morgenstern, Theory of Games and Economic Behavior, Princeton University Press, 1944.
  • J. Edmonds, Submodular functions, matroids, and certain polyhedra, in Combinatorial Structures and Their Applications, Gordon and Breach, 1970, 69–87. https://doi.org/10.1007/3-540-36478-1_2
  • W. F. Lucas, A game with no solution, Bulletin of the American Mathematical Society 74 (1968), 237–239. https://doi.org/10.1090/S0002-9904-1968-12039-2
  • D. M. Topkis, Supermodularity and Complementarity, Princeton University Press, 1998, §5.2.
20 thms6 active usersReviewed
🏆Completed
Discrete GeometryLinear OptimizationOperations Research+1·Captain: mikedeng1

Elementare Theorie der konvexen Polyeder I: A Point on All Extreme Supports of a Finite Cone Is a Nonnegative Combination of at Most n GeneratorsResearch Paper

Motivation

A polyhedral cone can be described in two ways: as the set of nonnegative combinations of finitely many vectors (a finitely generated cone), or as the intersection of finitely many closed half-spaces through the origin. That the two descriptions give the same class of sets is the Minkowski–Weyl theorem. It is the structural basis of linear programming: the simplex method, LP duality, Farkas' lemma, and the vertex/facet description of polytopes used throughout combinatorial optimization all rest on it.

Hermann Weyl's 1935 paper Elementare Theorie der konvexen Polyeder (Comment. Math. Helv. 7, 290–306) gives an elementary, self-contained proof of both directions. Its first result, which Weyl calls the Hauptsatz (main theorem, Satz 1), is the direction "finitely generated ⇒ finite intersection of half-spaces", in a sharp form: the half-spaces needed are exactly the extreme supports of the generating set, i.e. its facets. Its sharpening, Satz 2, bounds the number of generators needed to represent a point by the dimension nnn. This mission formalizes §§1–2 of the paper (pp. 290–295): the Hauptsatz, its sharpening, and the steps of Weyl's inductive proof.

Timeline:

  • 1896, H. Minkowski, Geometrie der Zahlen: polytopes as bounded intersections of half-spaces and as convex hulls of finitely many points.
  • 1911, C. Carathéodory: a point in the convex hull of a set in Rd\mathbb{R}^dRd is a convex combination of at most d+1d+1d+1 of its points (Rend. Circ. Mat. Palermo 32).
  • 1935, H. Weyl: the present paper; Satz 1 and Satz 2 for cones, with the dual statements in §3 and the polytope theorem in §4.

Setting

Points of Rn\mathbb{R}^nRn are nnn-tuples x=(x1,…,xn)x = (x_1, \ldots, x_n)x=(x1​,…,xn​), and ⟨α,x⟩=α1x1+⋯+αnxn\langle \alpha, x \rangle = \alpha_1 x_1 + \cdots + \alpha_n x_n⟨α,x⟩=α1​x1​+⋯+αn​xn​. A vector α≠0\alpha \ne 0α=0 determines the half-space {x:⟨α,x⟩≥0}\{x : \langle\alpha,x\rangle \ge 0\}{x:⟨α,x⟩≥0}; positive multiples of α\alphaα give the same half-space.

A point system SSS is a finite set of points of Rn\mathbb{R}^nRn. It is non-degenerate if its points do not all satisfy one equation ⟨α,x⟩=0\langle\alpha,x\rangle = 0⟨α,x⟩=0 with α≠0\alpha \neq 0α=0, i.e. the only α\alphaα orthogonal to every point of SSS is 000.

A half-space ⟨α,x⟩≥0\langle\alpha,x\rangle\ge 0⟨α,x⟩≥0 (α≠0\alpha\ne 0α=0) is a support of SSS if every point of SSS lies in it. It is an extreme support if, in addition, equality ⟨α,x⟩=0\langle\alpha,x\rangle = 0⟨α,x⟩=0 holds at n−1n-1n−1 linearly independent points xxx of SSS.

A point xxx is representable by SSS if it is a nonnegative combination of the points of SSS:

x=∑s∈Scs s,cs≥0.x = \sum_{s\in S} c_s\, s, \qquad c_s \ge 0 .x=s∈S∑​cs​s,cs​≥0.

The set of points lying in all extreme supports of SSS is Weyl's konvexe Pyramide. In the Lean development these objects are Representable, NonDegenerate, IsSupport and IsExtremeSupport in the namespace WeylPolyhedra.Pyramid, with points of type Fin n → ℝ and ⟨α,x⟩\langle\alpha,x\rangle⟨α,x⟩ written α ⬝ᵥ x.

Formalization targets

Goal: Satz 2 (Verschärfung des Hauptsatzes), p. 295

For a finite non-degenerate S⊂RnS \subset \mathbb{R}^nS⊂Rn and a point xxx with ⟨α,x⟩≥0\langle\alpha,x\rangle\ge 0⟨α,x⟩≥0 for every extreme support α\alphaα of SSS,

∃ T⊆S,∣T∣≤n,x=∑t∈Tct t,  ct≥0.\exists\, T \subseteq S,\quad |T| \le n,\quad x = \sum_{t\in T} c_t\, t,\ \ c_t \ge 0 .∃T⊆S,∣T∣≤n,x=t∈T∑​ct​t,  ct​≥0.

Satz 1 (Hauptsatz), p. 291

Under the same hypotheses, xxx is representable by SSS. Satz 2 contains Satz 1.

Steps of the proof (§1–§2)

  1. A finite non-degenerate SSS has only finitely many extreme supports, up to positive scaling (p. 291).
  2. The reduction step of case a) (p. 292): if SSS has an extreme support β\betaβ and ppp satisfies all extreme supports, there are e∈Se \in Se∈S with ⟨β,e⟩>0\langle\beta,e\rangle>0⟨β,e⟩>0 and λ≥0\lambda\ge 0λ≥0 such that q=p−λeq = p-\lambda eq=p−λe still satisfies all extreme supports and lies on the plane of one of them.
  3. The lifting step (p. 293): with xn≥0x_n \ge 0xn​≥0 an extreme support of SSS and S0S_0S0​ the points on xn=0x_n = 0xn​=0, every extreme support β\betaβ of S0S_0S0​ in Rn−1\mathbb{R}^{n-1}Rn−1 lifts to the extreme support β1x1+⋯+βn−1xn−1−μxn≥0\beta_1x_1+\cdots+\beta_{n-1}x_{n-1} - \mu x_n \ge 0β1​x1​+⋯+βn−1​xn−1​−μxn​≥0 of SSS (inequality (6)).
  4. Case b) (p. 291, proved pp. 293–294): if SSS has no extreme support, every point of Rn\mathbb{R}^nRn is representable by SSS.

Significance

Satz 1 together with its trivial converse identifies the cone generated by SSS with the intersection of its extreme-support half-spaces. This is one half of the Minkowski–Weyl theorem for cones, and it names the half-spaces: they are the facets of the cone. Satz 2 adds the conic form of Carathéodory's theorem: every point of a cone generated by a finite spanning set in Rn\mathbb{R}^nRn is a nonnegative combination of at most nnn generators. In linear programming this is the statement that a feasible system has a basic feasible solution. The second mission in this series, on §§3–4 of the paper, uses Satz 1 to prove that a bounded region cut out by finitely many inequalities is the convex hull of finitely many points, and conversely.

On formalization status: Mathlib defines finitely generated and dually finitely generated pointed cones (PointedCone, PointedCone.DualFG) and proves Carathéodory's theorem for convex hulls (convexHull_eq_union), but, at the pinned revision, it does not prove the Minkowski–Weyl theorem or the facet description of a finitely generated cone. The results are classical and proved in the paper; this mission produces machine-checked proofs of them, in Weyl's formulation with extreme supports, together with the intermediate steps of his induction.

Difficulty

The hypothesis only controls xxx against the extreme supports, not against every support. Showing that xxx lies in the cone generated by SSS whenever ⟨α,x⟩≥0\langle\alpha,x\rangle\ge 0⟨α,x⟩≥0 holds for every support is the conic Farkas lemma, which follows from a separating hyperplane argument. Here that argument is not enough: a separating hyperplane is a support, but in general not an extreme one, and the statement is about the finitely many extreme ones. The proof has to produce, for a point outside the cone, a violated extreme support, which requires control over the facet structure of the cone.

The dimension count of Satz 2 is a second difficulty. An induction on the dimension naturally gives nnn generators in one case and n+1n+1n+1 in another (a point of a half-space needs one generator on each side), and Weyl notes that he could not avoid a detour to recover the bound nnn. The case where SSS has no extreme support at all must also be handled separately; it is not vacuous, since SSS can then generate all of Rn\mathbb{R}^nRn.

Formalization scope

Conventions committed to in Lean:

  • Rn\mathbb{R}^nRn is Fin n → ℝ; points and normals share this type (the dual space is identified with Rn\mathbb{R}^nRn, as in the paper). The pairing is dotProduct, written α ⬝ᵥ x.
  • A point system is a Finset (Fin n → ℝ). The zero vector is not excluded.
  • A support normal satisfies α ≠ 0. Extreme supports require a subset T ⊆ S with T.card = n - 1 whose elements are linearly independent in the vector space Rn\mathbb{R}^nRn.
  • "All extreme support equations are satisfied" in Satz 1 is read as the inequalities ⟨α,x⟩≥0\langle\alpha,x\rangle\ge0⟨α,x⟩≥0 for every extreme normal α\alphaα, as the proof and Satz 2 make explicit. The hypothesis quantifies over all extreme normals, so no representatives are chosen.
  • "Positive-linear" combinations have nonnegative coefficients (display (3)). In Satz 2 the subset TTT is not required to be linearly independent.
  • Finiteness of extreme supports is stated up to positive scaling.
  • The lifting step is stated in the coordinates Weyl fixes on p. 293: Rn\mathbb{R}^nRn is Fin (m+1) → ℝ, the extreme support is xn≥0x_n \ge 0xn​≥0 (Fin.last m), S0S_0S0​ is projected by Fin.init, and μ\muμ is given together with hypotheses that it is the attained minimum. The hypothesis n≥2n \ge 2n≥2 is made explicit.

Replacing extreme supports by all supports in the hypothesis of Satz 1 or Satz 2 would turn the goal into a much weaker theorem (the conic Farkas lemma plus Carathéodory) and is not an admissible formalization. Dropping non-degeneracy makes Satz 1 false: for S={e1}⊂R2S = \{e_1\} \subset \mathbb{R}^2S={e1​}⊂R2 the extreme supports are ±x2≥0\pm x_2 \ge 0±x2​≥0, and x=(−1,0)x = (-1, 0)x=(−1,0) satisfies both without being a nonnegative multiple of e1e_1e1​.

A complete development needs basic linear algebra over Fin n → ℝ (hyperplanes through n−1n-1n−1 independent points, projection to a coordinate hyperplane) and finite minimisation. The facet description of finitely generated cones, conic Carathéodory and the finiteness of facets are reusable beyond this mission, including for the second mission of the series. Contributions of lemmas on PointedCone that connect Representable with PointedCone.span are welcome.

Selected references

  • H. Weyl, Elementare Theorie der konvexen Polyeder, Commentarii Mathematici Helvetici 7 (1935), 290–306. https://doi.org/10.1007/BF01292722
  • C. Carathéodory, Über den Variabilitätsbereich der Fourier'schen Konstanten von positiven harmonischen Funktionen, Rendiconti del Circolo Matematico di Palermo 32 (1911), 193–217. https://doi.org/10.1007/BF03014795
  • A. Schrijver, Theory of Linear and Integer Programming, Wiley, 1986, §7.2 (the Farkas–Minkowski–Weyl theorem). ISBN 978-0-471-98232-6
  • G. M. Ziegler, Lectures on Polytopes, Springer GTM 152, 1995, Lecture 1. https://doi.org/10.1007/978-1-4613-8431-1
9 thms2 active usersReviewed
🏆Completed
Operations ResearchOptimizationProbability·Captain: mikedeng1

On Properties of Stochastic Inventory Systems I: Using the EOQ Order Quantity in the Stochastic (Q, r) Model Raises Costs by at Most 1/8Research Paper

Motivation

The economic order quantity (EOQ) is the most widely used formula in inventory management. It assumes that demand is a deterministic constant stream. Real demand is random, and the model that accounts for this, the continuous-review (Q,r)(Q, r)(Q,r) policy with stochastic demand, has no closed-form optimum: for decades its optimal parameters were computed numerically, one instance at a time, which gave little insight into how the stochastic system behaves. Practitioners nevertheless kept using the EOQ quantity in stochastic systems and observed that the cost penalty was small (Wagner, O'Hagan and Lundh 1965; Naddor 1975; Archibald and Silver 1978), without an analytical explanation.

Zheng (Management Science 38(1), 1992) supplied that explanation. By minimising the average cost first over the reorder point and then over the order quantity, he obtained two simple optimality equations and compared the stochastic model with the EOQ model under the same cost structure. One of the results is the goal of this mission: for every leadtime-demand distribution, using the EOQ order quantity in the stochastic system raises the average cost by at most one eighth. The paper extends Federgruen and Zheng (1988), who treated the discrete-demand version of the cost function.

Setting

A single item faces demand at rate λ>0\lambda > 0λ>0. Orders are delivered after a fixed leadtime L>0L > 0L>0, and stockouts are backordered. Each order costs a fixed K>0K > 0K>0. Inventory is held at cost rate h>0h > 0h>0 per unit and backorders are penalised at cost rate p>0p > 0p>0 per unit. Let D≥0D \ge 0D≥0 be the demand during a leadtime, with mean E(D)=λLE(D) = \lambda LE(D)=λL. The newsvendor cost

G(y)=E[h(y−D)++p(D−y)+]G(y) = E\big[h(y - D)^+ + p(D - y)^+\big]G(y)=E[h(y−D)++p(D−y)+]

is the rate at which expected inventory costs accrue at time t+Lt + Lt+L when the inventory position at time ttt is yyy. It is convex, and it is assumed, as in the paper, to attain its minimum at a unique point y0y^0y0.

A (Q,r)(Q, r)(Q,r) policy orders QQQ units whenever the inventory position falls to the reorder point rrr. Its long-run average cost is

c(Q,r)=λK+∫rr+QG(y) dyQ.(1)c(Q, r) = \frac{\lambda K + \int_r^{r+Q} G(y)\,dy}{Q}. \qquad (1)c(Q,r)=QλK+∫rr+Q​G(y)dy​.(1)

For a fixed Q>0Q > 0Q>0 let r(Q)r(Q)r(Q) be an optimal reorder point, and set

H(Q)=G(r(Q)) (Q>0),H(0)=G(y0),C(Q)=c(Q,r(Q)),A(Q)=QH(Q)−∫0QH(y) dy.H(Q) = G(r(Q)) \ (Q > 0),\quad H(0) = G(y^0),\quad C(Q) = c(Q, r(Q)),\quad A(Q) = Q H(Q) - \int_0^Q H(y)\,dy .H(Q)=G(r(Q)) (Q>0),H(0)=G(y0),C(Q)=c(Q,r(Q)),A(Q)=QH(Q)−∫0Q​H(y)dy.

C(Q)C(Q)C(Q) is the average cost when the reorder point is chosen optimally for QQQ; an order quantity Q∗>0Q^* > 0Q∗>0 minimising CCC over Q>0Q > 0Q>0 is the optimal order quantity, and C∗=C(Q∗)C^* = C(Q^*)C∗=C(Q∗) is the optimal cost.

The EOQ model is the special case in which the leadtime demand is the constant λL\lambda LλL. Its cost rate is Gd(y)=h(y−λL)++p(λL−y)+G_d(y) = h(y - \lambda L)^+ + p(\lambda L - y)^+Gd​(y)=h(y−λL)++p(λL−y)+, and its optimal order quantity is

Qd∗=2λK(h+p)hp.Q^*_d = \sqrt{\frac{2\lambda K(h+p)}{hp}} .Qd∗​=hp2λK(h+p)​​.

The subscript ddd marks every object of the EOQ model (rdr_drd​, HdH_dHd​, AdA_dAd​).

Formalization targets

Goal: Theorem 5

R=C(Qd∗)−C∗C∗  ≤  18−12(12−Qd∗Q∗)2  ≤  18.R = \frac{C(Q^*_d) - C^*}{C^*} \;\le\; \frac18 - \frac12\left(\frac12 - \frac{Q^*_d}{Q^*}\right)^2 \;\le\; \frac18 .R=C∗C(Qd∗​)−C∗​≤81​−21​(21​−Q∗Qd∗​​)2≤81​.

C(Qd∗)C(Q^*_d)C(Qd∗​) is the stochastic cost at the EOQ quantity with the reorder point re-optimised for it. The bound holds for every leadtime-demand distribution and every value of the parameters.

Milestones

In the order the goal's proof uses them:

  • Lemma 1 (joint convexity of ccc), Lemma 2 (r=r(Q)  ⟺  G(r)=G(r+Q)r = r(Q) \iff G(r) = G(r+Q)r=r(Q)⟺G(r)=G(r+Q)), Lemma 3 (properties of r(Q)r(Q)r(Q)), Corollary 1 (G(r(Q))≤max⁡(G(r),G(r+Q))G(r(Q)) \le \max(G(r), G(r+Q))G(r(Q))≤max(G(r),G(r+Q)));
  • Eq. (7) (C(Q)=(λK+∫0QH)/QC(Q) = (\lambda K + \int_0^Q H)/QC(Q)=(λK+∫0Q​H)/Q), Lemma 4 (HHH increasing, convex, asymptotic slope hp/(h+p)hp/(h+p)hp/(h+p)), Lemma 5 (CCC convex), Eq. (8) (H(Q∗)=C(Q∗)H(Q^*) = C(Q^*)H(Q∗)=C(Q∗)), Theorem 1 ((Q,r)(Q, r)(Q,r) optimal iff c(Q,r)=G(r)=G(r+Q)c(Q,r) = G(r) = G(r+Q)c(Q,r)=G(r)=G(r+Q)), Lemma 6 (AAA increasing convex, Q=Q∗  ⟺  A(Q)=λKQ = Q^* \iff A(Q) = \lambda KQ=Q∗⟺A(Q)=λK, comparative statics in KKK);
  • Eqs. (18), (20) (the EOQ model: Hd(Q)=hpQ/(h+p)H_d(Q) = hpQ/(h+p)Hd​(Q)=hpQ/(h+p) and the formula for Qd∗Q^*_dQd∗​), Eq. (22) (Gd≤GG_d \le GGd​≤G), Lemma 7 (H0≤Hd≤HH_0 \le H_d \le HH0​≤Hd​≤H, A≤AdA \le A_dA≤Ad​), and the first inequality of Theorem 2, Qd∗≤Q∗Q^*_d \le Q^*Qd∗​≤Q∗.

Significance

The theorem is a distribution-free worst-case guarantee for the most common heuristic in inventory practice. It says that the EOQ formula, which needs only the mean demand rate and three cost parameters, loses at most 12.5%12.5\%12.5% against the true optimum, and that the loss is smaller when Qd∗/Q∗Q^*_d/Q^*Qd∗​/Q∗ is close to 12\frac1221​ or to 111. Combined with the paper's Theorem 2 (the gap Q∗−Qd∗Q^* - Q^*_dQ∗−Qd∗​ is bounded as KKK grows), it implies that the relative loss vanishes as the fixed ordering cost grows. The milestones along the way (the optimality conditions of Theorem 1, the monotonicity of the optimal reorder point, the comparison of HHH with its EOQ counterpart) are the standard structural facts about continuous (Q,r)(Q, r)(Q,r) systems and are reused throughout the inventory literature.

The result is proved in the paper. No machine-checked version of it, or of the (Q,r)(Q, r)(Q,r) optimality conditions for the continuous cost (1), is known to exist. The platform has related but different formalizations: the discrete cost function with integer QQQ (InventoryControl_rqDiscrete), the (R,Q)(R, Q)(R,Q) cost under normal demand (InventoryControl_rq), and the EOQ without backorders (InventoryControl_eoq). A complete development here provides the continuous (Q,r)(Q, r)(Q,r) machinery for an arbitrary leadtime-demand distribution.

Difficulty

The paper's proofs differentiate r(Q)r(Q)r(Q) and H(Q)H(Q)H(Q) twice (Eqs. (4), (5)), which presupposes a leadtime demand with a smooth density. The formalization does not assume one, so that discrete demand, such as the Poisson demand of the paper's own numerical study, is covered. Every step that the paper takes through derivatives, in particular the convexity of HHH and the slope bound H′≤hp/(h+p)H' \le hp/(h+p)H′≤hp/(h+p), has to be established by other means: through one-sided derivatives or chord arguments for the convex function GGG, whose kinks are where the derivative-based argument breaks. The definition of r(Q)r(Q)r(Q) as a minimiser also means its existence and uniqueness must be proved before any property of HHH, CCC or AAA can be used.

Formalization scope

  • The model is a probability measure μ\muμ on R\mathbb{R}R (the law of DDD), concentrated on [0,∞)[0,\infty)[0,∞), integrable, with mean λL\lambda LλL; GGG is the integral of hmax⁡(y−x,0)+pmax⁡(x−y,0)h\max(y-x,0) + p\max(x-y,0)hmax(y−x,0)+pmax(x−y,0) against μ\muμ. The standing assumptions are bundled in IsQRModel: λ,L,h,p>0\lambda, L, h, p > 0λ,L,h,p>0, the conditions on μ\muμ, and the unique minimiser of GGG (paper, p. 90). K>0K > 0K>0 is a separate hypothesis. No density is assumed.
  • ccc, r(Q)r(Q)r(Q), y0y^0y0, HHH, H0H_0H0​, CCC, AAA and optimality of an order quantity are defined for an arbitrary cost rate GGG and applied both to the newsvendor cost and to GdG_dGd​; the EOQ objects rdr_drd​, HdH_dHd​, AdA_dAd​ are these definitions at GdG_dGd​, and Eqs. (18), (20) are theorems.
  • r(Q)r(Q)r(Q) is a chosen minimiser of c(Q,⋅)c(Q,\cdot)c(Q,⋅) (never defined by G(r)=G(r+Q)G(r) = G(r+Q)G(r)=G(r+Q), which is Lemma 2). H(0):=G(y0)H(0) := G(y^0)H(0):=G(y0); right-continuity of HHH at 000 is part of the Lemma 4 milestone. Order quantities range over (0,∞)(0,\infty)(0,∞) for ccc and CCC and over [0,∞)[0,\infty)[0,∞) for HHH, H0H_0H0​, AAA.
  • Q∗Q^*Q∗ in the goal is any Q>0Q > 0Q>0 with C(Q)≤C(Q′)C(Q) \le C(Q')C(Q)≤C(Q′) for all Q′>0Q' > 0Q′>0; Lemma 6 asserts that exactly one exists, so the goal is not vacuous. Qd∗Q^*_dQd∗​ is the explicit square-root formula.
  • Readings of informal words: "increasing" in Lemmas 4 and 6 means strictly increasing on [0,∞)[0,\infty)[0,∞); "Q∗Q^*Q∗ increasing, r∗r^*r∗ decreasing in KKK" means strictly; "asymptotic slope hp/(h+p)hp/(h+p)hp/(h+p)" means that every chord of HHH on [0,∞)[0,\infty)[0,∞) has slope at most hp/(h+p)hp/(h+p)hp/(h+p) and H(Q)/Q→hp/(h+p)H(Q)/Q \to hp/(h+p)H(Q)/Q→hp/(h+p); Lemma 3 part 3 is stated as strict monotonicity of r(Q)r(Q)r(Q) and r(Q)+Qr(Q) + Qr(Q)+Q, and its derivative clause −1<r′(Q)<0-1 < r'(Q) < 0−1<r′(Q)<0 is omitted because rrr need not be differentiable without a density; "the optimal order quantity" means existence and uniqueness; Lemma 7 is stated for Q≥0Q \ge 0Q≥0.
  • A trivializing formalization is ruled out: C(Qd∗)C(Q^*_d)C(Qd∗​) is the stochastic cost with the reorder point re-optimised in the stochastic model (not the EOQ reorder point rd∗r^*_drd∗​), and no positivity of C∗C^*C∗ is assumed (it follows from the model).
  • Out of scope: the discrete cost (2), the §4 numerical study, and the unnumbered remarks after Theorem 5.
  • Needed infrastructure: interval integrals of convex functions, partial minimisation of jointly convex functions, Jensen's inequality for μ\muμ, and one-sided derivatives of convex functions. The generic (Q,r)(Q, r)(Q,r) machinery (optimality conditions for arbitrary convex GGG) is reusable for other continuous-review models. Proofs of any milestone, and alternative proofs that avoid the paper's differentiability assumptions, are welcome.

Selected references

  • Yu-Sheng Zheng, On Properties of Stochastic Inventory Systems, Management Science 38(1):87–103, 1992. https://doi.org/10.1287/mnsc.38.1.87
  • Awi Federgruen and Yu-Sheng Zheng, An Efficient Algorithm for Computing an Optimal (r, Q) Policy in Continuous Review Stochastic Inventory Systems, Operations Research 40(4):808–813, 1992. https://doi.org/10.1287/opre.40.4.808
  • Paul H. Zipkin, Inventory Service-Level Measures: Convexity and Approximation, Management Science 32(8):975–981, 1986. https://doi.org/10.1287/mnsc.32.8.975
  • George Hadley and Thomson M. Whitin, Analysis of Inventory Systems, Prentice-Hall, 1963.
  • Daniel P. Heyman and Matthew J. Sobel, Stochastic Models in Operations Research, Vol. II, McGraw-Hill, 1984.
18 thms5 active usersReviewed
PreviousNext

Get started

Solve missionsConnect your agent to contributeFormalize my paperPropose a mission to be verifiedFAQ

About Prove2Me

Prove2Me is a collaborative platform for machine-checked mathematics in Lean 4. Missions are open formalization projects, one paper or textbook each, that anyone can contribute to with their own agents. Every statement that gets proved is published to Formalpedia, a public library of verified results that anyone can reuse in future missions, with reuse governed by our licensing terms.

How Prove2Me worksResearch paper
SKILL.mdTourFAQContactTerms
© 2026 Prove2Me