Archive for optimisation

stochastic magnetic bits, simulated annealing and Gibbs sampling

Posted in Statistics with tags , , , , , , , , , on October 17, 2019 by xi'an

A paper by Borders et al. in the 19 September issue of Nature offers an interesting mix of computing and electronics and optimisation. With two preparatory tribunes! One [rather overdone] on Feynman’s quest. As a possible alternative to quantum computers for creating probabilistic bits. And making machine learning (as an optimisation program) more efficient. And another one explaining more clearly what is in the paper. As well as the practical advantage of the approach over quantum computing. As for the paper itself, the part I understood about factorising an integer F via minimising the squared difference between a product of two integers and F and using simulated annealing sounded rather easy, while the part I did not about constructing a semi-conductor implementing this stochastic search sounded too technical (especially in the métro during rush hour). Even after checking the on-line supplementary material. Interestingly, the paper claims for higher efficiency thanks to asynchronicity than a regular Gibbs simulation of Boltzman machines, quoting Roberts and Sahu (1997) without further explanation and possibly out of context (as the latter is not concerned with optimisation).

an independent sampler that maximizes the acceptance rate of the MH algorithm

Posted in Books, Kids, Statistics, University life with tags , , , , , , , , , , , , , on September 3, 2019 by xi'an

An ICLR 2019 paper by Neklyudov, Egorov and Vetrov on an optimal choice of the proposal in an independent Metropolis algorithm I discovered via an X validated question. Namely whether or not the expected Metropolis-Hastings acceptance ratio is always one (which it is not when the support of the proposal is restricted). The paper mentions the domination of the Accept-Reject algorithm by the associated independent Metropolis-Hastings algorithm, which has actually been stated in our Monte Carlo Statistical Methods (1999, Lemma 6.3.2) and may prove even older. The authors also note that the expected acceptance probability is equal to one minus the total variation distance between the joint defined as target x Metropolis-Hastings proposal distribution and its time-reversed version. Which seems to suffer from the same difficulty as the one mentioned in the X validated question. Namely that it only holds when the support of the Metropolis-Hastings proposal is at least the support of the target (or else when the support of the joint defined as target x Metropolis-Hastings proposal distribution is somewhat symmetric. Replacing total variation with Kullback-Leibler then leads to a manageable optimisation target if the proposal is a parameterised independent distribution. With a GAN version when the proposal is not explicitly available. I find it rather strange that one still seeks independent proposals for running Metropolis-Hastings algorithms as the result will depend on the family of proposals considered and as performances will deteriorate with dimension (the authors mention a 10% acceptance rate, which sounds quite low). [As an aside, ICLR 2020 will take part in Addis Abeba next April.]

Le Monde puzzle [#1099]

Posted in Books, Kids, R with tags , , , , , on April 28, 2019 by xi'an

A simple 2×2 Le Monde mathematical puzzle:

Arielle and Brandwein play a game out of two distinct even integers between 1500 and 2500,  and y. Providing one another with either the pair (x/2,y+x/2) or the pair (x+y/2,y/2) until they run out of even possibilities or exceed 6 rounds. When x=2304, what is the value of y that makes Brandwein win?

Which I solved by a recursive function (under the constraint of a maximum of 11 levels of recursion):

nezt=function(x,y,i=1){
  if ((i>11)||((is.odd(x)&is.odd(y)))){ return(-1)
  }else{
    z=-1
    if (is.even(x)) z=-nezt(x/2,y+x/2,i+1)
    if (is.even(y)) z=max(z,-nezt(y/2,x+y/2,i+1))
    return(z)}}

and checking all values of y between 1500 and 2500 when x=2304, which produces y=1792 as the only value when Arielle loses. The reason behind (?) is that both 2304 and 1792 are divisible by 2⁸, which means no strategy avoids reaching stalemate after 8 steps, when it is Arielle’s turn to play.

Le Monde puzzle [#1092]

Posted in Statistics with tags , , , , , , , on April 18, 2019 by xi'an

A Latin square Le Monde mathematical puzzle that I found rather dreary:

A hidden 3×3 board contains all numbers from 1 to 9. Anselm wants to guess the board and makes two proposals. Berenicke tells him how many entries are in the right rows and colums for each proposal, along with the information that no entry is at the right location. Anselm deduces the right board.

Which I solved by brute force and not even simulated annealing, first defining a target

ordoku1=ordoku2=matrix(1,9,2)
ordoku1[,1]=c(1,1,1,2,2,2,3,3,3)
ordoku1[,2]=rep(1:3,3)
ordoku2[,1]=c(3,2,3,1,2,3,2,1,1)
ordoku2[,2]=c(2,2,3,2,3,1,1,3,1)
fitz=function(ordo){
  (sum(ordo[c(1,4,7),2]==1)==1)+(sum(ordo[c(2,5,8),2]==2)==1)+
  (sum(ordo[c(3,6,9),2]==3)==0)+(sum(ordo[c(1,2,3),1]==1)==1)+
  (sum(ordo[c(4,5,6),1]==2)==1)+(sum(ordo[c(7,8,9),1]==3)==2)+
  (sum(ordo[c(6,7,9),2]==1)==2)+(sum(ordo[c(1,2,4),2]==2)==1)+
  (sum(ordo[c(3,5,8),2]==3)==2)+(sum(ordo[c(4,8,9),1]==1)==1)+
  (sum(ordo[c(7,2,5),1]==2)==1)+(sum(ordo[c(1,3,6),1]==3)==0)+
  (!(0%in%apply((ordo-ordoku1)^2,1,sum)))+(!(0%in%apply((ordo-ordoku2)^2,1,sum)))
}

on a 9×9 board entry reproducing all items of information given by Berenicke. If all constraints are met, the function returns 14. And then searched for a solution at random:

temp=1
randw=function(ordo){
  for (t in 1:1e6){
    chlg=sample(1:9,2)
    temp=ordo[chlg[1],]
    ordo[chlg[1],]=ordo[chlg[2],]
    ordo[chlg[2],]=temp
    if (fitz(ordo)==14){
      print(ordo);break()}}}

which produces the correct board

4 3 5
6 7 1
9 2 8

Le Monde puzzle [#1088]

Posted in Books, Kids, R with tags , , , , , , , , on March 29, 2019 by xi'an

A board (Ising!) Le Monde mathematical puzzle in the optimisation mode, again:

On a 7×7 board, what is the maximal number of locations that one can occupy when imposing at least two empty neighbours ?

Which I tried to solve by brute force and simulated annealing (what else?!), first defining a target

targ=function(tabz){
  sum(tabz[-c(1,9),-c(1,9)]-1.2*(tabz[-c(1,9),-c(1,9)]*tabz[-c(8,9),-c(1,9)]
      +tabz[-c(1,9),-c(1,9)]*tabz[-c(1,2),-c(1,9)]
      +tabz[-c(1,9),-c(1,9)]*tabz[-c(1,9),-c(8,9)]
      +tabz[-c(1,9),-c(1,9)]*tabz[-c(1,9),-c(1,2)]>2))}

on a 9×9 board where I penalise prohibited configuration by a factor 1.2 (a wee bit more than empty nodes). The perimeter of the 9×9 board is filled with ones and never actualised. (In the above convoluted products, the goal is to count how many neighbours of the entries equal to one are also equal to one. More than 2 is penalised.) The simulated annealing move is then updating the 9×9 grid gridz:

temp=1
maxarg=curarg=targ(gridz)
for (t in 1:1e3){
  for (v in 1:1e4){
    i=sample(2:8,1);j=sample(2:8,1)
    newgrid=gridz;newgrid[i,j]=1-gridz[i,j]
    newarg=targ(newgrid)
    if (log(runif(1))<temp*(newarg-curarg)){
      gridz=newgrid;curarg=newarg}}
temp=temp+.01}

and calls to the procedure always return 28 entries as the optimum, as in

     [,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,]    1    0    1    0    1    0    1
[2,]    0    1    1    0    1    1    0
[3,]    1    1    0    1    0    1    1
[4,]    0    0    1    0    1    0    0
[5,]    1    1    0    1    0    1    1
[6,]    0    1    1    0    1    1    0
[7,]    1    0    1    0    1    0    1

As it happens, I had misread the wording of the original puzzle, which considered a dynamic placement of the units on the board, one at a time with two free neighbours imposed.

Le Monde puzzle [#1086]

Posted in pictures, Statistics, Travel with tags , , , , , , on March 7, 2019 by xi'an

A terse Le Monde mathematical puzzle in the optimisation mode:

What is the maximal fraction of the surface of a triangle occupied by an inner triangle ABC where Abigail picks a summit A on a first side, Berenice B on a second side, and then Abigails picks C on the third side, towards Abigail maximising and Berenice minimising this surface?

Which I first tried to solve by pen & paper, completing another black block for the occasion, as coding the brute force R version sounded too painful:

leading me to conclude that, for a rectangle triangle (although the result sounds independent of this feature), the optimum was the middle triangle, weighting one-fourth of the original surface. Reprogramming the question in the plane to Angkor produced the same output, modulo my approximation of the triangle continuum with a 200×200/2grid:

Le Monde puzzle [#1075]

Posted in Books, Kids, R with tags , , , , , , , on November 22, 2018 by xi'an

A Le Monde mathematical puzzle from after the competition:

A sequence of five integers can only be modified by subtracting an integer N from two neighbours of an entry and adding 2N to the entry.  Given the configuration below, what is the minimal number of steps to reach non-negative entries everywhere? Is this feasible for any configuration?

As I quickly found a solution by hand in four steps, but missed the mathematical principle behind!, I was not very enthusiastic in trying a simulated annealing version by selecting the place to change inversely proportional to its value, but I eventually tried and also obtained the same solution:

      [,1] [,2] [,3] [,4] [,5]
   -3    1    1    1    1
    1   -1    1    1   -1
    0    1    0    1   -1
   -1    1    0    0    1
    1    0    0    0    0

But (update!) Jean-Louis Fouley came up with one step less!

      [,1] [,2] [,3] [,4] [,5]
   -3    1    1    1    1
    3   -2    1    1   -2
    2    0    0    1   -2
    1    0    0    0    0

The second part of the question is more interesting, but again without a clear mathematical lead, I could only attempt a large number of configurations and check whether all admitted “solutions”. So far none failed.