Active Information Acquisition for Linear Optimization (1709.10061v3)

Abstract: We consider partially-specified optimization problems where the goal is to actively, but efficiently, acquire missing information about the problem in order to solve it. An algorithm designer wishes to solve a linear program (LP), $\max \mathbf{c}^T \mathbf{x}$ s.t. $\mathbf{A}\mathbf{x} \leq \mathbf{b}, \mathbf{x} \ge \mathbf{0}$, but does not initially know some of the parameters. The algorithm can iteratively choose an unknown parameter and gather information in the form of a noisy sample centered at the parameter's (unknown) value. The goal is to find an approximately feasible and optimal solution to the underlying LP with high probability while drawing a small number of samples. We focus on two cases. (1) When the parameters $\mathbf{c}$ of the objective are initially unknown, we take an information-theoretic approach and give roughly matching upper and lower sample complexity bounds, with an (inefficient) successive-elimination algorithm. (2) When the parameters $\mathbf{b}$ of the constraints are initially unknown, we propose an efficient algorithm combining techniques from the ellipsoid method for LP and confidence-bound approaches from bandit algorithms. The algorithm adaptively gathers information about constraints only as needed in order to make progress. We give sample complexity bounds for the algorithm and demonstrate its improvement over a naive approach via simulation.