Provable Constrained Stochastic Convex Optimization with XOR-Projected Gradient Descent
This addresses the problem of efficiently solving constrained stochastic optimization for applications like inventory management and network design, representing an incremental improvement over prior methods.
The paper tackles constrained stochastic convex optimization by proposing XOR-PGD, a novel algorithm that combines Projected Gradient Descent with XOR sampling, achieving a 10% higher constraint satisfaction rate than competing approaches in synthetic and real-world problems.
Provably solving stochastic convex optimization problems with constraints is essential for various problems in science, business, and statistics. Recently proposed XOR-Stochastic Gradient Descent (XOR-SGD) provides a convergence rate guarantee solving the constraints-free version of the problem by leveraging XOR-Sampling. However, the task becomes more difficult when additional equality and inequality constraints are needed to be satisfied. Here we propose XOR-PGD, a novel algorithm based on Projected Gradient Descent (PGD) coupled with the XOR sampler, which is guaranteed to solve the constrained stochastic convex optimization problem still in linear convergence rate by choosing proper step size. We show on both synthetic stochastic inventory management and real-world road network design problems that the rate of constraints satisfaction of the solutions optimized by XOR-PGD is $10\%$ more than the competing approaches in a very large searching space. The improved XOR-PGD algorithm is demonstrated to be more accurate and efficient than both XOR-SGD and SGD coupled with MCMC based samplers. It is also shown to be more scalable with respect to the number of samples and processor cores via experiments with large dimensions.