Friday, May 1, 2015 - 3:30pm to 4:30pm
Location:ASA Conference Room 6115 Gates & Hillman Centers
Speaker:YIN-TAT LEE, Research Fellow http://math.mit.edu/directory/profile.php?pid=1472
In this talk, I will present a new algorithm for solving linear programs. Given a linear program with n variables, m > n constraints, and bit complexity L, our algorithm runs in Õ(sqrt(n) L) iterations each consisting of solving Õ(1) linear systems and additional nearly linear time computation. Our method improves upon the convergence rate of previous state-of-the-art linear programming methods which required solving either Õ(sqrt(m)L) linear systems [R88] or consisted of Õ((mn)^(1/4)) steps of more expensive linear algebra [VA93].
Interestingly, our algorithm not only nearly matches the convergence rate of the universal barrier of Nesterov and Nemirovskii [NN94], but in the special case of the linear programming formulation of various flow problems our methods converge at a rate faster than that predicted by any self-concordant barrier. In particular, we achieve a running time of Õ(|E| sqrt(|V|) log^2 U) for solving the maximum flow problem on a directed graph with |E| edges, |V| vertices, and capacity ratio U, thereby improving upon the previous fastest running time for solving this problem when |E| > Ω(|V|^(1+epsilon)) for any constant epsilon.
Faculty Host: Gary Miller