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Title: A parametric approach for solving convex quadratic optimization with indicators over trees
Abstract This paper investigates convex quadratic optimization problems involvingnindicator variables, each associated with a continuous variable, particularly focusing on scenarios where the matrixQdefining the quadratic term is positive definite and its sparsity pattern corresponds to the adjacency matrix of a tree graph. We introduce a graph-based dynamic programming algorithm that solves this problem in time and memory complexity of$$\mathcal {O}(n^2)$$ O ( n 2 ) . Central to our algorithm is a precise parametric characterization of the cost function across various nodes of the graph corresponding to distinct variables. Our computational experiments conducted on both synthetic and real-world datasets demonstrate the superior performance of our proposed algorithm compared to existing algorithms and state-of-the-art mixed-integer optimization solvers. An important application of our algorithm is in the real-time inference of Gaussian hidden Markov models from data affected by outlier noise. Using a real on-body accelerometer dataset, we solve instances of this problem with over 30,000 variables in under a minute, and its online variant within milliseconds on a standard computer. A Python implementation of our algorithm is available athttps://github.com/aareshfb/Tree-Parametric-Algorithm.git.  more » « less
Award ID(s):
2006762 2152777
PAR ID:
10587343
Author(s) / Creator(s):
; ; ;
Publisher / Repository:
Springer Science + Business Media
Date Published:
Journal Name:
Mathematical Programming
ISSN:
0025-5610
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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