Polyblocks

This package provides a set of solvers for monotonic optimisation problems, which take the general form:

$$ \begin{aligned} \max_{x \in \mathbb{R}^n} \quad & f(x) \ \text{s.t.} \ \quad & x_l \le x \le x_u, \ & g(x) \le 0, \ & h(x) \ge 0, \end{aligned} $$

where $f$, $g$, and $h$ are non-decreasing in each coordinate. This covers a broad class of non-convex problems, including polynomial programming along with many radio resource allocation problems in communications.

Solvers are built around the Polyblock Outer-approximation (POA) algorithm: a branch-and-bound algorithm which iteratively refines a rectangular outer-approximation of the solution space. Full details are available in the accompanying paper.

Installation

pip install polyblocks

or, for local development:

git clone https://github.com/RashwanA/polyblocks.git
cd polyblocks
pip install .

Solvers

The package includes three built-in solvers: BasePOA, BalancedPOA, and TreePOA. Of these TreePOA typically has the best empirical performance as it uses an efficient tree-based representation of the solution space. All solvers implement the common ABPolyblock interface, which exposes a set of subroutines used by the POA algorithm. See the interface documentation for details. Users may also define custom solvers by implementing this interface.

Usage

Each solver is called via its solve classmethod, which takes the objective, the bounding box, and oracles for querying feasibility.

Ball optimisation example:

from polyblocks import TreePOA

# maximise 3x + 4y
# subject to x^2 + y^2 <= 1

def obj(x):
    return x @ [3, 4]

def ub_oracle(x):
    return (x ** 2).sum(-1) <= 1

sol = TreePOA.solve(
    obj=obj,
    ub_oracle=ub_oracle,
    x_l=(0., 0.),
    x_u=(1., 1.),
)

# solution: x=0.6, y=0.8
print(f"status={sol.status}, obj={sol.obj:.2f}, x={sol.x.round(2)}")

Geometric programming example:

from polyblocks import TreePOA

# maximise x*y*z
# subject to x*(y + z) <= 4,
#            y*z <= 4,
#            x, y, z ∈ [0, 4]

def obj(x):
    return x.prod(1)

def ub_oracle(x):
    cons1 = x[:,0] * (x[:,1:].sum(1)) <= 4.
    cons2 = x[:,1:].prod(1) <= 4.
    return cons1 * cons2

# solution: x=1, y=2, z=2
sol = TreePOA.solve(
    obj=obj,
    ub_oracle=ub_oracle,
    x_l=(0., 0., 0.),
    x_u=4.,             # bounds are broadcast
    verbose_gap=50,     # print progress every 50 iterations
)

Objectives and oracles are expected to accept batched inputs of shape (num_points, dim).