## Monday, May 10, 2021

### Clustering models

In Statistics (nowadays called Data Science or A.I. for public relations reasons), clustering is one of the most popular techniques available. Of course, nothing beats linear regression in the popularity contest. Here, I like to discuss two clustering models: $$k$$-means and $$k$$-medoids. For these models, there exist well-defined equivalent Mixed-Integer Programming models. In practice, they don't work very well except for small data sets. I think they are still useful to discuss for different reasons:

• The formulations are interesting. They have some angles that may not be obvious at first.
• They define the problem in a succinct way. Verbal descriptions are always fraught with imprecision and vagueness. A reference model can help to make things explicit. I.e. use a model as a documentation tool.
• Not all data sets are large. For small data sets, we can prove optimality where the usual heuristics only can deliver good solutions, without much information about the quality of the solution. Obviously, clustering is often used in situations where ultimate optimality may not matter much, as it is frequently used as an exploratory tool.
• We can adapt the model to special cases. Adding constraints such as a minimum and maximum number of points per cluster comes to mind [3].

#### Notation

In the description below I use the following indices:
• $$i$$: point number,
• $$k$$: cluster id,
• $$c$$: coordinate or feature. In the examples below I use $$c \in \{x,y\}$$ for the 2-dimensional data.

### K-means clustering

$$k$$-means clustering is an immensely popular technique to make some sense from highly-dimensional data. The term $$k$$-means was introduced in  1967 [2] described as a way "a process for partitioning an $$N$$-dimensional population into $$k$$ sets on the basis of a sample". The number of clusters $$K$$ is determined beforehand. The method will minimize the within-cluster sum-of-squares between the points and the centroid of the cluster. Our model has two variables:

• $$\color{darkred}x_{i,k}\in\{0,1\}$$  indicates the assignment of points $$\color{darkblue}p_i$$ to clusters $$k$$ and
• $$\color{darkred}\mu_{k,c}$$: the coordinates of the centroid of cluster $$k$$.

The centroids can be calculated by simply averaging the points in each cluster. Note that this is non-linear as the number of points in a cluster is not constant, but variable. However, we do not need to explicitly calculate the means: just by minimizing the squared distances, we obtain automatically the correct value for $$\color{darkred}\mu_k$$. The centroids are minimizers of the within-cluster sum-of-squares. This is exactly what we are optimizing. So here is a first model:

Non-convex MINLP Model
\begin{align}\min&\sum_{i,k,c}\left(\color{darkblue}p_{i,c}-\color{darkred}\mu_{k,c}\right)^2 \cdot \color{darkred}x_{i,k}\\ &\sum_k \color{darkred}x_{i,k}=1&&\forall i \\&\color{darkred}x_{i,k}\in \{0,1\} \end{align}

Here $$\color{darkblue}p_{i,c}$$ is our data matrix. This model will simultaneously determine the optimal assignments $$\color{darkred}x$$ and the centroids $$\color{darkred}\mu$$.

We can convexify this model as follows:

Convex MIQCP Model
\begin{align}\min&\sum_{i,k}\color{darkred}d_{i,k}\\ &\color{darkred}d_{i,k}\ge \sum_c\left(\color{darkblue}p_{i,c}-\color{darkred}\mu_{k,c}\right)^2-\color{darkblue}M\cdot(1- \color{darkred}x_{i,k})\\ &\sum_k \color{darkred}x_{i,k}=1&&\forall i \\&\color{darkred}x_{i,k}\in \{0,1\} \\ & \color{darkred}d_{i,k}\ge 0\end{align}

The centroid is always inside the convex hull of the points $$\color{darkblue}p_{i,c}$$. So we can add the bounds:$\color{darkred}\mu_{k,c} \in [\min_i \color{darkblue}p_{i,c},\max_i \color{darkblue}p_{i,c}]$ The big-M constant can be set to $\color{darkblue}M=\max_{i,i'}\sum_c\left(\color{darkblue}p_{i,c}-\color{darkblue}p_{i',c}\right)^2$

The big-M constraint can be interpreted as an implication: $\color{darkred}x_{i,k}=1 \Rightarrow \color{darkred}d_{i,k}\ge \sum_c\left(\color{darkblue}p_{i,c}-\color{darkred}\mu_{k,c}\right)^2$ This looks like a good task for indicator constraints. However, solvers do not support quadratic indicator constraints, only linear ones (don't ask me why). Typically, one would normalize data before applying a clustering algorithm, so big-M's should not be too big.

The model shows some symmetry: the cluster numbers can be changed without affecting the solution. So every feasible solution comes in at least $$k!$$ different versions. To prevent this we can order the clusters by one dimension. So if the coordinates are $$c\in \{x,y\}$$ we can formulate the ordering constraint as: $\color{darkred}\mu_{k,\color{darkgreen}x}\le \color{darkred}\mu_{k+1,\color{darkgreen}x}$ Other choices are: order by $$y$$ or by $$n_k$$ (the number of points in a cluster). It is difficult to say if such a constraint is really helpful. Without it may be easier to find feasible solutions, but with it may be easier to make progress on the best bound. You'll have to try it out.

#### Some results

Above I have argued that the optimal values for $$\color{darkred}\mu_{k,c}$$ are identical to the average of the points in cluster $$k$$. We can verify this easily by calculating the averages after the solve. We see:

----     84 PARAMETER clusters

points         SoS       mu(x)       mu(y)      avg(x)      avg(y)

cluster1      16.000   10273.090      68.755      51.767      68.755      51.767
cluster2      10.000    3295.207      17.628      73.893      17.628      73.893
cluster3      14.000    2955.084      25.313      18.934      25.313      18.934
total         40.000   16523.380


The optimal values for $$\color{darkred}\mu_{k,c}$$ indeed match the averages.

I generated 4 scenarios based on 2 random data sets to learn a bit about the performance of this model. The data sets are:
1. rnd: generate 50 points with $$\color{darkblue}p_{i,c}\sim U(0,100)$$
2. rclus: generate 50 points around 3 locations:$$\color{darkblue}p_{i,c}\sim N(L_{k,c},15)$$ (standard deviation of 15).
I run the models in two modes:
1. Without the ordering constraint
2. With the ordering constraint
Here are the results:

----    119 PARAMETER results

rnd     rnd+ord       rclus   rclus+ord

points          50.000      50.000      50.000      50.000
clusters         3.000       3.000       3.000       3.000
vars           310.000     310.000     310.000     310.000
discr        150.000     150.000     150.000     150.000
equs           204.000     206.000     204.000     206.000
status         Optimal     Optimal     Optimal     Optimal
obj          21104.165   21104.166   14736.059   14736.059
time          2535.578    1195.844    1581.750     254.093
nodes      1.541312E+7 6805599.000 1.008025E+7 1802528.000
iterations 8.102010E+7 4.050808E+7 5.171027E+7 1.043268E+7


What do we see?
• MIQCP models are not suited for this problem: a model with just 150 binary variables takes way too long to find optimal solutions. The performance is really pathetic. Quadratic models can be really difficult for the current crop of high-end solvers.
• These results were with Cplex. Gurobi had even more troubles with these models.
• The ordering constraint can help a bit.
• Uniform random data makes things more difficult than data organized around some clusters.
• In the plots of the optimal clustering below, we don't see immediately much difference in the two data sets, but the MIQCP model does (according to the runtimes).
• There has been more success using column generation for this type of clustering [5].

Of course, much easier and faster is just to use a standard $$k$$-means algorithm. For instance in R:

These calls don't take any time. The tot.withinss quantities are our objectives. As you can see they are identical.

The package factoextra has all kind of goodies related to clustering. Including plots such as:

Note that for data sets with more than 2 dimensions, this function will use a Principal Component Analysis first to reduce the dimensionality.

### K-medoids clustering

A variant on $$k$$-means is $$k$$-medoids [4]. Here are some differences.

• The basic idea is to use as centers an actual point. This is opposed to $$k$$-means where we used a continuous variable $$\color{darkred}\mu_{k,c}$$. In the $$k$$-medoid approach we pick as centers the point inside the cluster that minimizes the total within-cluster distances.
• As the center is a data point, we can easily interpret this point as being "representative" of a cluster.
• In the $$k$$-medoid problem we can calculate the distances in advance. This allows us to choose a distance metric. Typically one chooses the Euclidean distance or the Manhattan distance. Note that the $$k$$-means-method used the squared Euclidean distances.
• Manhattan distances (a.k.a. taxicab or L1 distances) are useful as they are more robust against outliers.
• As we will see, this model can be formulated as a MIQP or a linear MIP.
• We keep our assignment variable $$\color{darkred}x_{i,k}$$ as before. The new definition of the center is: $\color{darkred}\mu_{i,k} = \begin{cases} 1 & \text{if point i is the center of cluster k} \\ 0 & \text{otherwise} \end{cases}$

Non-convex MIQP Model
\begin{align}\min&\sum_{i,i',k}\color{darkblue}d_{i,i'}\cdot \color{darkred}x_{i,k} \cdot \color{darkred}\mu_{i',k}\\ &\sum_k \color{darkred}x_{i,k}=1&&\forall i \\& \sum_i \color{darkred}\mu_{i,k}=1&&\forall k \\ &\color{darkred}\mu_{i,k} \le\color{darkred}x_{i,k} \\&\color{darkred}x_{i,k}\in \{0,1\}\\&\color{darkred}\mu_{i,k}\in \{0,1\} \end{align}

Here $$\color{darkred}\mu$$ is no longer the average, but a single point from the cluster. The distances $$\color{darkblue}d$$ are calculated in advance. Like for $$k$$-means we may normalize the data first in case the units of the different features are different.

The first constraint in the model is the assignment constraint and is the same as in the $$k$$-means model. The second constraint says that there should be exactly one "center point" in each cluster. The third inequality constraint says that this center point has to be chosen from the points inside the cluster.

The model is easily linearized. Some solvers will do this automatically, or we can do this ourselves:

Linear MIP Model
\begin{align}\min&\sum_{i,i',k}\color{darkblue}d_{i,i'}\cdot \color{darkred}y_{i,i',k} \\ &\color{darkred}y_{i,i',k} \ge \color{darkred}x_{i,k}+ \color{darkred}\mu_{i',k}-1 \\ &\sum_k \color{darkred}x_{i,k}=1&&\forall i \\& \sum_i \color{darkred}\mu_{i,k}=1&&\forall k \\ &\color{darkred}\mu_{i,k} \le\color{darkred}x_{i,k} \\&\color{darkred}x_{i,k}\in \{0,1\}\\&\color{darkred}\mu_{i,k}\in \{0,1\} \\ &\color{darkred}y_{i,i',k} \in [0,1] \end{align}

Here $$\color{darkred}y$$ can be continuous between 0 and 1 or binary (some solvers will make it binary automatically).

As before we can add an ordering constraint. Here I ordered on the number of points in the cluster.

#### Some results

Here are some results (different solver and different machine than for the $$k$$-means results):

----    140 PARAMETER results

rnd     rnd+ord       rclus   rclus+ord

points          50.000      50.000      50.000      50.000
clusters         3.000       3.000       3.000       3.000
vars           304.000     304.000     304.000     304.000
discr        300.000     300.000     300.000     300.000
equs            57.000      59.000      57.000      59.000
status         Optimal     Optimal     Optimal     Optimal
obj            937.013     937.013     821.179     821.179
time             7.032      15.370       8.270      16.324
nodes         1220.000    1249.000    1127.000    1219.000
iterations   13539.000   35659.000   23242.000   31547.000


This linearized MIQP model solves very fast with Gurobi. Cplex had extreme problems with this model.  Incredibly, for the $$k$$-means problems, Cplex is much faster than Gurobi.

Here the ordering constraint does not really help.

In R, we can use the pam function from the cluster package. It uses a heuristic, and, similar to kmeans, we can run it several times to prevent being stuck in a bad local minimum. In case you are wondering: PAM stands for Partitioning Around Medoids.

The objective 18.74026 seems not the same as I found (937.013). The reason is that pam reports as objective the average distance. So we need to compare 50 times 18.74026 to our 937.013, which is the same.

 k-medoids results with selected medoids

#### Conclusions

The heuristics implemented in the kmeans and pam functions in R are far more efficient than using an MIQCP or MIP solver. We can use the optimization models as a "reference implementation", or for special cases.

I will probably never use these models on practical large data sets, but playing with these models (and writing things down), I have gained some useful insights and experience with clustering models. I think I know a bit more about clustering than before. So the main lesson: even useless optimization models are useful.

#### References

1. $$K$$-means clustering, https://en.wikipedia.org/wiki/K-means_clustering
2. MacQueen, J. B. (1967). Some Methods for classification and Analysis of Multivariate Observations. Proceedings of 5th Berkeley Symposium on Mathematical Statistics and Probability. 1. University of California Press. pp. 281–297.
3. Any Solution for k-means with minimum and maximum cluster size constraint?  https://or.stackexchange.com/questions/6227/any-solution-for-k-means-with-minimum-and-maximum-cluster-size-constraint
4. $$K$$-medoids, https://en.wikipedia.org/wiki/K-medoids
5. Aloise, D., Hansen, P. & Liberti, L. An improved column generation algorithm for minimum sum-of-squares clustering. Math. Program. 131, 195–220 (2012)