We present O(log logn)-round algorithms in the Massively Parallel Computation (MPC) model, with ˜O(n) memory per machine, that compute a maximal independent set, a 1 + ε approximation of maximum matching, and a 2 + ε approximation of minimum vertex cover, for any n-vertex graph and any constant ε > 0. These improve the state of the art as follows: • Our MIS algorithm leads to a simple O(log log Δ)-round MIS algorithm in the CONGESTED-CLIQUE model of distributed computing, which improves on the ˜O (plog Δ)-round algorithm of Ghaffari [PODC’17]. • OurO(log logn)-round (1+ε)-approximate maximum matching algorithm simplifies or improves on the following prior work: O(log2 logn)-round (1 + ε)-approximation algorithm of Czumaj et al. [STOC’18] and O(log logn)-round (1 + ε)- approximation algorithm of Assadi et al. [arXiv’17]. • Our O(log logn)-round (2+ε)-approximate minimum vertex cover algorithm improves on an O(log logn)-round O(1)- approximation of Assadi et al. [arXiv’17].
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Efficient and Near-Optimal Online Portfolio Selection
In the problem of online portfolio selection as formulated by Cover (1991), the trader repeatedly distributes her capital over d assets in each of T>1 rounds, with the goal of maximizing the total return. Cover proposed an algorithm, termed Universal Portfolios, that performs nearly as well as the best (in hindsight) static assignment of a portfolio, with an O(dlog(T)) regret in terms of the logarithmic return. Without imposing any restrictions on the market this guarantee is known to be worst-case optimal, and no other algorithm attaining it has been discovered so far. Unfortunately, Cover's algorithm crucially relies on computing certain d-dimensional integral which must be approximated in any implementation; this results in a prohibitive O(d^4(T+d)^14) per-round runtime for the fastest known implementation due to Kalai and Vempala (2002). We propose an algorithm for online portfolio selection that admits essentially the same regret guarantee as Universal Portfolios -- up to a constant factor and replacement of log(T) with log(T+d) -- yet has a drastically reduced runtime of O(d^(T+d)) per round. The selected portfolio minimizes the current logarithmic loss regularized by the log-determinant of its Hessian -- equivalently, the hybrid logarithmic-volumetric barrier of the polytope specified by the asset return vectors. As such, our work reveals surprising connections of online portfolio selection with two classical topics in optimization theory: cutting-plane and interior-point algorithms.
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- Award ID(s):
- 1908905
- PAR ID:
- 10360803
- Date Published:
- Journal Name:
- ArXivorg
- ISSN:
- 2331-8422
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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