Mixture models as math programming problem

We can formulate a linear least squares regression model as an optimization problem. This is not how these problems are solved in statistical packages. Often, they use a QR decomposition. A real optimization formulation can be useful when we need to add unusual constraints that the statistical package does not support directly, or when we need to optimize a special maximum-likelihood function. 

Here is another example of a least-squares regression problem where we can benefit from mathematical programming techniques.

Data

Statistical problems typically start with a data set:

----     79 PARAMETER data  

                 x           y

case1       20.202      85.162
case2        0.507       2.103
case3       26.961      55.969
case4       49.985      44.690
case5       15.129      86.515
case6       17.417      79.866
case7       33.064      56.328
case8       31.691      29.422
case9       32.209      64.021
case10      96.398      85.191
case11      99.360      68.235
case12      36.990      57.516
case13      37.289      25.884
case14      77.198      56.157
case15      39.668      58.398
case16      91.310      66.205
case17      11.958      93.742
case18      73.548      28.178
case19       5.542       5.788
case20      57.630      60.830
case21       5.141      53.988
case22       0.601      42.559
case23      40.123      61.928
case24      51.988      42.984
case25      62.888      58.308
case26      22.575       4.414
case27      39.612      67.282
case28      27.601      56.445
case29      15.237       0.218
case30      93.632      11.896
case31      42.266      60.515
case32      13.466      51.721
case33      38.606      65.392
case34      37.463      16.978
case35      26.848      74.588
case36      94.837      -0.803
case37      18.894      60.060
case38      29.751      14.005
case39       7.455      60.066
case40      40.135      62.898

It looks like there is not a single regression line, but rather three of them hidden in this data set. So we should find something like:

 

The question is: how can we estimate the intercept and slope of these three lines?

MINLP instead of indicator constraints?

In this post, I want to discuss indicator constraints and how to replace them with simple multiplications. As we shall see, this is a somewhat harebrained but still interesting idea. 

Indicator constraints are implications of the form: \[\delta=0 \implies \text{linear constraint}\] or \[\delta=1 \implies \text{linear constraint}\] where \(\delta \in \{0,1\}\) is a binary decision variable.

There are two aspects of indicator constraints: 

• Indicator constraints help with MIP models where otherwise we would use big-M constraints. This will help address the numerical issues that result from using big-M constraints. These include small (and sometimes not-so-small) solution values where you expect zero, and poor solver performance. With big-M constraints, we need to pay much attention to the size of the big-M constants. This is the algorithmic aspect.
• Indicator constraints provide a convenient modeling construct. They form a useful abstraction that makes MIP modeling easier and more straightforward. This is the modeling aspect.

Another example where a solver feature has such a dual benefit (algorithmic and modeling) are SOS2 sets for piecewise linear functions. 

Experiments with Hostile Brothers nonconvex NLP model

In this post, let's do some experiments with the "hostile brothers problem." We have a plot of land. In my test models \([L,U]\times [L,U]\) with \(L=0\), \(U=100\)). We want to place \(n\) brothers on this plot. As they don't get along, we want to spread them out by maximizing the distance between neighbors. In modeling terms, we create a maximin model that maximizes the minimum distance between any two brothers. This yields some non-convex problems, so I'll make the problem small: we just have \(n=10\) brothers. This is a very small, but awe-inspiring problem.

Largest Empty Rotated Square: lots of trigonometry

Here, I delve into the problem of finding the largest empty rotated square. Given \(n\) data points, find the largest square rotated by an angle \(\theta\), such that the square does not contain any of the points.  In [1], I discussed two special cases: 

• an axis-aligned square (angle is 0°),
• a diamond shape, which is a square rotated by 45°.

Here we focus on arbitrary angles. A picture can help a bit: this is the largest square of all the squares with a 25° angle, which does not cover any of the given data points and is complete inside the outer box:

There are two cases I want to consider:

1. The angle is given. In modeling terms, the angle is exogenous.
2. Let the model find the best angle. I.e., the angle is endogenous.

Largest empty shapes

Finding the largest empty shapes

This post is about finding empty regions (square, rectangle, or circle) in a (large) collection of given points. These are interesting little optimization problems.

Data

I generated \(n=100\) data points \((x_i,y_i), i=1,\dots,n\) drawn from a uniform distribution \[\begin{align}&x_i \sim U(0,10) \\ & y_i \sim U(0,10)\end{align} \] 

It is always a good idea to have a careful look at the data. I.e., print and plot it (for very large datasets, print or plot a subset), and collect some elementary statistics (min, max, average, etc.). In practical modeling, it is surprising how many problems arise from simple data errors.  

Convex hull models

Convex hull as an optimization problem

In the previous posts, the construction of a convex hull played a significant role: it was an easy way to reduce the size of the data sets, often by a large amount. Somehow, it escaped me that we can try to formulate this as what turns out to be a conceptually rather simple optimization problem. This has probably little or no practical value. But it remains an interesting exercise.

Minimum enclosing circle/ellipse 2

In [1] where I discussed how to find the minimum enclosing circle and minimum enclosing ellipse around a set of points. This is a follow-up post where I extend this to sets of circles and ellipses. 

1. MINIMUM ENCLOSING CIRCLE

Here our data is a set of \(n\) circles (or disks) of different size. We want to find the smallest circle that contains all these circles. 

An example data set with random circles can look like:

----     30 PARAMETER circles  coordinates of center and radius

                   x           y           r

circle1        4.294      21.082       1.663
circle2       13.759       7.528       4.014
circle3        7.305       5.601       1.961
circle4        8.746      21.407       6.235
circle5        1.678      12.505       2.591
circle6       24.953      14.468       2.715
circle7       24.778      19.056       4.564
circle8        3.267      15.993       5.336
circle9        3.988       6.252       4.769
circle10      16.723      10.884       3.783
circle11       8.993       8.786       3.480
circle12       3.287       3.753       1.706
circle13      14.728      20.772       2.885
circle14       5.770      16.643       1.279
circle15      19.396       7.591       3.031

Minimum enclosing ellipse

Minimum encompassing circle and ellipse

This is again about finding the smallest geometric shape containing all our data points. Here I focus on easy, convex cases: a circle and an ellipse. After the last post, where I was struggling mightily with a non-convex version of this model, this should be a breeze. 

I'll discuss SDP (semidefinite programming), SOCP (second order cone programming), rotated SOCP and traditional NLP approaches using gradient based solvers. So there is a lot of ground to cover.

First let's do circles.

Revisiting a crazy global NLP problem

Minimum encompassing triangle

This looks like a simple problem. Given \(n\) 2d points, find the smallest encompassing triangle. I follow the formulation from [1]. This post is self-contained, so you don't have to go back to [1]. The main contribution here is how one could work around the performance issues of the original formulation. 

Summary

The problem can be formulated as a nonconvex quadratic problem. However, this leads to models that are very difficult for global NLP solvers: global optimality can not be proven in reasonable time, even for very small data sets. One possible way to attack the problem is to use a different measure for size of the triangle: circumference instead of the more obvious area of a triangle. Although there are explicit algorithms for this problem [3,4], here we are trying to use an optimization model.

Experience with NLP solvers on a simple economic growth model

Growth Models

In this post, we formulate and solve a relatively simple economic growth model where we want to find an optimal savings rate. Consumers can either use their income for direct consumption or they can save. Savings lead to investment and to more income down the road. The resulting NLP (nonlinear programming) model is not too complicated, and it is interesting to see how we can implement this model using different tools.

I often get the question: why not use Python or R for my (economic) models? This note tries to give an answer using a rather smallish model. Although the model is small and simple, it actually illustrates some of the problems we can face when using say Python or R code. Some of the code I present here is not very obvious, or self-explanatory. One reason is that some algorithm developers look at NLP problems as something like: \[\begin{align}\min\>&f(x) \\ &g(x)=0 \\& h(x)\ge 0\end{align}\] Unfortunately, such a representation is close to the solver, but far away from practical models. It is just the wrong abstraction level. The model implementation impedance becomes even larger if we need to provide analytic gradients. Time we could have spent on developing better models is instead wasted on error-prone low-level detailed programming. This problem is even more costly, when we think about maintenance such as bug-fixing and adding new features to the model. We'll see how this looks like for this model.  

The underlying economic model is often called a Ramsey growth model, after Frank Plumpton Ramsey [1].