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Exact objectives of random linear programs and mean width...
Mihailo Stojnic · 2024-03-06 · via math.PR updates on arXiv.org

We consider \emph{random linear programs} (rlps) as a subclass of \emph{random optimization problems} (rops) and study their typical behavior. Our particular focus is on appropriate linear objectives which connect the rlps to the mean widths of random polyhedrons/polytopes. Utilizing the powerful machinery of \emph{random duality theory} (RDT) \cite{StojnicRegRndDlt10}, we obtain, in a large dimensional context, the exact characterizations of the program's objectives. In particular, for any $α=\lim_{n\rightarrow\infty}\frac{m}{n}\in(0,\infty)$, any unit vector $\mathbf{c}\in{\mathbb R}^n$, any fixed $\mathbf{a}\in{\mathbb R}^n$, and $A\in {\mathbb R}^{m\times n}$ with iid standard normal entries, we have \begin{eqnarray*} \lim_{n\rightarrow\infty}{\mathbb P}_{A} \left ( (1-ε) ξ_{opt}(α;\mathbf{a}) \leq \min_{A\mathbf{x}\leq \mathbf{a}}\mathbf{c}^T\mathbf{x} \leq (1+ε) ξ_{opt}(α;\mathbf{a}) \right ) \longrightarrow 1, \end{eqnarray*} where \begin{equation*} ξ_{opt}(α;\mathbf{a}) \triangleq \min_{x>0} \sqrt{x^2- x^2 \lim_{n\rightarrow\infty} \frac{\sum_{i=1}^{m} \left ( \frac{1}{2} \left (\left ( \frac{\mathbf{a}_i}{x}\right )^2 + 1\right ) \mbox{erfc}\left( \frac{\mathbf{a}_i}{x\sqrt{2}}\right ) - \frac{\mathbf{a}_i}{x} \frac{e^{-\frac{\mathbf{a}_i^2}{2x^2}}}{\sqrt{2π}} \right ) }{n} }. \end{equation*} For example, for $\mathbf{a}=\mathbf{1}$, one uncovers \begin{equation*} ξ_{opt}(α) = \min_{x>0} \sqrt{x^2- x^2 α\left ( \frac{1}{2} \left ( \frac{1}{x^2} + 1\right ) \mbox{erfc} \left ( \frac{1}{x\sqrt{2}}\right ) - \frac{1}{x} \frac{e^{-\frac{1}{2x^2}}}{\sqrt{2π}} \right ) }. \end{equation*} Moreover, $2 ξ_{opt}(α)$ is precisely the concentrating point of the mean width of the polyhedron $\{\mathbf{x}|A\mathbf{x} \leq \mathbf{1}\}$.