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An \(O(n^ 3\log n)\) strong polynomial algorithm for an isotonic regression knapsack problem. (English) Zbl 0797.90073

Summary: We introduce the isotonic regression knapsack problem \[ \min(1/2)\sum^ n_{i=1} \{d_ i x^ 2_ i- 2\alpha_ i x_ i\},\text{ s.t. } \sum^ n_{i=1} a_ i x_ i= c,\;x_ 1\leq x_ 2\leq\cdots\leq x_{n- 1}\leq x_ n, \] where each \(d_ i\) is positive and each \(\alpha_ i\), \(a_ i\), \(i=1,\dots,n\), and \(c\) are arbitrary scalars. This problem is the natural extension of the isotonic regression problem which permits a strong polynomial solution algorithm. An approach is developed from the Karush-Kuhn-Tucker conditions. By considering the Lagrange function without the inequalities, we establish a way to find the proper Lagrange multiplier associated with the equation using a parametric program, which yields optimality. We show that such a procedure can be performed in strong polynomial time, and an example is demonstrated.

MSC:

90C20 Quadratic programming
90C31 Sensitivity, stability, parametric optimization
Full Text: DOI

References:

[1] Best, M. J., andChakravarti, N.,Active Set Algorithms for Isotonic Regression: A Unifying Framework, Mathematical Programming, Vol. 47, pp. 425-439, 1990. · Zbl 0715.90085 · doi:10.1007/BF01580873
[2] Best, M. J., andChakravarti, N.,Active Set Algorithms for Isotonic Regression When the Underlying Graph Is an Arborescence, Report CORR 88-18, Department of Combinatorics and Optimization, University of Waterloo, Waterloo, Ontario, Canada, 1988.
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[4] Best, M. J., andRitter, K.,Quadratic Programming: Active Set Analysis and Computer Programs, Prentice-Hall, Englewood Cliffs, New Jersey (to appear).
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