Mgr. Jakub Mareček, Ph.D.

We present an online algorithm for time-varying semidefinite programs (TV-SDPs), based on the tracking of the solution trajectory of a low-rank matrix factorization, also known as the Burer–Monteiro factorization, in a path-following procedure. There, a predictor-corrector algorithm solves a sequence of linearized systems. This requires the introduction of a horizontal space constraint to ensure the local injectivity of the low-rank factorization. The method produces a sequence of approximate solutions for the original TV-SDP problem, for which we show that they stay close to the optimal solution path if properly initialized. Numerical experiments for a time-varying max-cut SDP relaxation demonstrate the computational advantages of the proposed method for tracking TV-SDPs in terms of runtime compared to off-the-shelf interior-point methods.

Monitoring of streamed data to detect abnormal behaviour (variously known as event detection, anomaly detection, change detection, or outlier detection) underlies many applications, especially within the Internet of Things. There, one often collects data from a variety of sources, with asynchronous sampling, and missing data. In this setting, one can detect abnormal behavior using low-rank techniques. In particular, we assume that normal observations come from a low-rank subspace, prior to being corrupted by a uniformly distributed noise. Correspondingly, we aim to recover a representation of the subspace, and perform event detection by running point-to-subspace distance query for incoming data. We use a variant of low-rank factorisation, which considers interval uncertainty sets around "known entries", on a suitable flattening of the input data to obtain a low-rank model. On-line, we compute the distance of incoming data to the low-rank normal subspace and update the subspace to keep it consistent with the seasonal changes present. For the distance computation, we consider subsampling. We bound the one-sided error as a function of the number of coordinates employed. In our computational experiments, we test the proposed algorithm on induction-loop data from Dublin, Ireland.

We consider the design of distributed algorithms that govern the manner in which agents contribute to a social sensing platform. Specifically, we are interested in situations where fairness among the agents contributing to the platform is needed. A notable example are platforms operated by public bodies, where fairness is a legal requirement. The design of such distributed systems is challenging due to the fact that we wish to simultaneously realise an efficient social sensing platform, but also deliver a predefined quality of service to the agents (for example, a fair opportunity to contribute to the platform). In this paper, we introduce iterated function systems (IFS) as a tool for the design and analysis of systems of this kind. We show how the IFS framework can be used to realise systems that deliver a predictable quality of service to agents, can be used to underpin contracts governing the interaction of agents with the social sensing platform, and which are efficient. To illustrate our design via a use case, we consider a large, high-density network of participating parked vehicles. When awoken by an administrative centre, this network proceeds to search for moving missing entities of interest using RFID-based techniques. We regulate which vehicles are actively searching for the moving entity of interest at any point in time. In doing so, we seek to equalise vehicular energy consumption across the network. This is illustrated through simulations of a search for a missing Alzheimer's patient in Melbourne, Australia. Experimental results are presented to illustrate the efficacy of our system and the predictability of access of agents to the platform independent of initial conditions.

In machine learning, training data often capture the behaviour of multiple subgroups of some underlying human population. When the amounts of training data for the subgroups are not controlled carefully, under-representation bias arises. We introduce two natural notions of subgroup fairness and instantaneous fairness to address such under-representation bias in time-series forecasting problems. In particular, we consider the subgroup-fair and instant-fair learning of a linear dynamical system (LDS) from multiple trajectories of varying lengths, and the associated forecasting problems. We provide globally convergent methods for the learning problems using hierarchies of convexifications of non-commutative polynomial optimisation problems. Our empirical results on a biased data set motivated by insurance applications and the well-known COMPAS data set demonstrate both the beneficial impact of fairness considerations on statistical performance and encouraging effects of exploiting sparsity on run time.

We present a brief, informal overview of the physical reality of electric power systems, its mathematical models, and some of the associated optimization problems. Many references are provided.

There is an increasing interest in quantum algorithms for problems of integer programming and combinatorial optimization. Classical solvers for such problems employ relaxations, which replace binary variables with continuous ones, for instance in the form of higher-dimensional matrix-valued problems (semidefinite programming). Under the Unique Games Conjecture, these relaxations often provide the best performance ratios available classically in polynomial time. Here, we discuss how to warm-start quantum optimization with an initial state corresponding to the solution of a relaxation of a combinatorial optimization problem and how to analyze properties of the associated quantum algorithms. In particular, this allows the quantum algorithm to inherit the performance guarantees of the classical algorithm. We illustrate this in the context of portfolio optimization, where our results indicate that warm-starting the Quantum Approximate Optimization Algorithm (QAOA) is particularly beneficial at low depth. Likewise, Recursive QAOA for MAXCUT problems shows a systematic increase in the size of the obtained cut for fully connected graphs with random weights, when Goemans-Williamson randomized rounding is utilized in a warm start. It is straightforward to apply the same ideas to other randomized-rounding schemes and optimization problems.

In semidefinite programming (SDP), a number of pre-processing techniques have been developed, including procedures based on chordal decomposition, which exploit sparsity in the semidefinite program in order to reduce the dimension of individual constraints, and procedures based on facial reduction, which reduces the dimension of the problem by removing redundant rows and columns. So far, these have been studied in isolation. We show that these techniques are, in fact, complementary. In computational experiments, we show that a two-step pre-processing followed by a standard interior-point method outperforms the interior point method, with or without either of the pre-processing techniques, by a considerable margin.