vendredi 19 juin 2015

Constrained random solution of an underspecified system of linear equations

Premise

I've a system of linear equations dot(A,x) = y whose solutions have many degrees of freedom: indeed the Number of linearly independent Equations (E) is less than the dimension of x, A.K.A. the Number of Variables (N).

The number of degrees of freedom left constrains the solutions to be a hyperplane N-E of the overall space R^N. Given the (unimportant) characteristics of A, I am always able to write the solutions x (a vector N x 1) as

x=dot(B,t)+q

where B is a N x (N-E) matrix, t a (N-E) x 1 vector and q a N x 1 vector. This define the hyperplane of the solutions of my original problem, A x = y in parametric form.

I need to extract a random solution, with uniform probability over any possible point of the hyperplane, such that all x are positive (we will refer to it as a positive solution). In the beginning, once I was able to write x=Bt+q, I thought it extremely simple. Now I am starting to doubt it.

Proposed Solution

By now I do something like this:

  1. For each dimension i in range(N-E) I compute the maximum and minimum value of t[i]: t_min[i] and t_max[i]. Intervals big enough to not exclude any possible positive solution. Those are algebraically computed, always existing and defining a limited space.
  2. I extract N-E uniform random values t[i], each comprised between t_min [i] and t_max[i].
  3. I compute x = dot(B,t)+q
  4. If all x[j] are positives, accept the solution. If some x[j] is negative, go back to point 2.

An example is visible for a two dimensional space N-E in the next figure.

Caption: A problem in N dimension reduced to a N-E=2 space. The yellow diamond is the space of positive solutions of the N-dimensional problem. I randomly sample points in the orange box between (t1(min),t2(min)) and (t1(max),t2(max)) until I find a point in the yellow box.

I think it is a good enough solution, but...

Problem

When N-E is big, the space of the hyperparallelogram bounded inside the hypercube can be small. In general it will be small^(N-E), that can be very small. How small? While for sure an infinite number of positive solutions to the original problem exist, the space of the solutions can have measure zero in the N-E dimensional space. This can happen if all the positive solutions of the original problem have one dimension of x = 0. The borders of a diamond will make contact, transforming the diamond of solutions to a line. Of course you will never randomly pick EXACTLY a line in 2D, let alone in 5D.

A obvious idea would be to further reduce the dimensionality from N-E to a smaller number, i.e. to extract directly points from the aforementioned line instead of the square. Algebra is not easy, but I'm working on it. I'm not positive I will be able to solve it.

Note that choosing first one dimension (for example t1), computing the new limits of t2 conditional to the value of t1 extracted and then extract a possible value of t2 in this boundary, while much faster, does not give a uniform probability among all the possible solutions.

I know that the problem is very specific, but even some general ideas or thoughts would be gladly received. I am doubtful if there is some computing technique to extract directly the solution in the diamond...




Aucun commentaire:

Enregistrer un commentaire