Sarat Moka

Sarat Moka, Ava Vahedi

We present a new algorithm for the exact uniform sampling of proper \(k\)-colorings of a graph on \(n\) vertices with maximum degree~\(Δ\). The algorithm is based on partial rejection sampling (PRS) and introduces a soft relaxation of the proper coloring constraint that is progressively tightened until an exact sample is obtained. Unlike coupling from the past (CFTP), the method is inherently parallelizable. We propose a hybrid variant that decomposes the global sampling problem into independent subproblems of size \(O(\log n)\), each solved by any existing exact sampler. This decomposition acts as a {\em complexity reducer}: it replaces the input size~\(n\) with \(O(\log n)\) in the component solver's runtime, so that any improvement in direct methods automatically yields a stronger result. Using an existing CFTP method as the component solver, this improves upon the best known exact sampling runtime for \(k>3Δ\). Recursive application of the hybrid drives the runtime to \(O(L^{\log^* n}\cdot nΔ)\), where \(L\) is the number of relaxation levels. We conjecture that \(L\) is bounded independently of~\(n\), which would yield a linear-time parallelizable algorithm for general graphs. Our simulations strongly support this conjecture.

Sarat Moka, Matias Quiroz, Vali Asimit et al.

Portfolio optimization involves selecting asset weights to minimize a risk-reward objective, such as the portfolio variance in the classical minimum-variance framework. Sparse portfolio selection extends this by imposing a cardinality constraint: only $k$ assets from a universe of $p$ may be included. The standard approach models this problem as a mixed-integer quadratic program and relies on commercial solvers to find the optimal solution. However, the computational costs of such methods increase exponentially with $k$ and $p$, making them too slow for problems of even moderate size. We propose a fast and scalable gradient-based approach that transforms the combinatorial sparse selection problem into a constrained continuous optimization task via Boolean relaxation, while preserving equivalence with the original problem on the set of binary points. Our algorithm employs a tunable parameter that transmutes the auxiliary objective from a convex to a concave function. This allows a stable convex starting point, followed by a controlled path toward a sparse binary solution as the tuning parameter increases and the objective moves toward concavity. In practice, our method matches commercial solvers in asset selection for most instances and, in rare instances, the solution differs by a few assets whilst showing a negligible error in portfolio variance.

Anant Mathur, Sarat Moka, Zdravko Botev

In addition to recent developments in computing speed and memory, methodological advances have contributed to significant gains in the performance of stochastic simulation. In this paper, we focus on variance reduction for matrix computations via matrix factorization. We provide insights into existing variance reduction methods for estimating the entries of large matrices. Popular methods do not exploit the reduction in variance that is possible when the matrix is factorized. We show how computing the square root factorization of the matrix can achieve in some important cases arbitrarily better stochastic performance. In addition, we propose a factorized estimator for the trace of a product of matrices and numerically demonstrate that the estimator can be up to 1,000 times more efficient on certain problems of estimating the log-likelihood of a Gaussian process. Additionally, we provide a new estimator of the log-determinant of a positive semi-definite matrix where the log-determinant is treated as a normalizing constant of a probability density.