decomposable optimisation methods

Decomposable Optimisation Methods

LCA Reading Group, 12/04/2011Dan-Cristian Tomozei

• Convex function

• Unique minimum over convex domain

Convexity

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Roadmap• (Sub)Gradient Method• Convex Optimisation crash course• NUM• Basic Decomposition Methods• Implicit Signalling

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Roadmap• (Sub)Gradient Method• Convex Optimisation crash course• NUM• Basic Decomposition Methods• Implicit Signalling

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• Unconstrained convex optimisation problem

• If objective is differentiable,

• Else,

• Gain sequence – Constant– Diminishing

(Sub)gradient method

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Roadmap• (Sub)Gradient Method• Convex Optimisation crash course• NUM• Basic Decomposition Methods• Implicit Signalling

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• “Primal” formulation

• Convex constraints unique solution• Lagrangian

• “Dual” function – For all “feasible” points – lower bound

– Slater’s condition zero duality gap

Constrained Convex Optimisation

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• “Primal” and “dual” formulations

• Karush-Kuhn-Tucker (KKT)

Optimality conditions

Primal variables Dual variables (i.e., Lagrange multipliers)

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Optimum

Roadmap• (Sub)Gradient Method• Convex Optimisation crash course• NUM• Basic Decomposition Methods• Implicit Signalling

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• Population of users • Concave utility functions (e.g., rates)• Typical formulation (e.g., [Kelly97]):– Network flows of rates– Physical links of max capacity– Routing matrix

– Dual variables = congestion shadow prices

Network Utility Maximisation

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Roadmap• (Sub)Gradient Method• Convex Optimisation crash course• NUM• Basic Decomposition Methods• Implicit Signalling

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• Coupling constraint

• To decouple – simply write the dual objective

• Iterative dual algorithm:– Each user computes – Use a gradient method to update dual variables, e.g.,

Dual Decomposition

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• Coupling variable

• To decouple – consider fixed coupling variable• Iterative primal algorithm:– Solve individual problems and get partial optima

– Update primal coupling variable using gradient method

Primal Decomposition

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Implementation issues• Certain problems can be decoupled• Dual decomposition dual algorithm– Primal vars (rates) depend directly on dual vars (prices) – Price adaptation relies on current rates– Always closed form?

• Primal decomposition– The other way around…

• Do we really need to keep track of both primal and dual variables? Can duals be “measured” instead?

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Roadmap• (Sub)Gradient Method• Convex Optimisation crash course• NUM• Basic Decomposition Methods• Implicit Signalling

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• Graph• Supported rate region • Network cost function – Unsupported rate allocation – Marginal cost positive and strictly increasing

• Source s wants to send data to receiver r at rate at minimum cost– Supported min-cut is at least

Multipath unicast min-cost live streaming

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Optimisation formulation

• Write Lagrangian

• Primal-dual provably converges to optimum

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Is it that hard?• Recall

• Dual variables have queue-like evolution!• We already queue packets!

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Implicit Primal-Dual• Rate control via

• Rate on link (i,j)– Increase prop to backlog difference– Decrease prop to marginal cost (measurable – RTT, …)

• Influence of parameter s– Small closer optimal allocation, huge queue sizes– Large manageable queue sizes, optimality trade-off

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Conclusion• Finding a fit-all recipe is hard• We can handle some cases• Specific formulations may lead to nice protocols

• See also– R. Srikant’s “Mathematics of Internet Congestion Control”– Kelly, Mauloo, Tan - ***– Palomar, Chiang - ***

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Questions

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