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Membership testing for Bernoulli and tail-dependence matrices

Authors: Daniel Krause; Matthias Scherer; Jonas Schwinn; Ralf Werner;

Membership testing for Bernoulli and tail-dependence matrices

Abstract

Testing a given matrix for membership in the family of Bernoulli matrices is a longstanding problem, the many applications of Bernoulli vectors in computer science, finance, medicine, and operations research emphasize its practical relevance. A novel approach towards this problem was taken by [Fiebig et al., 2017] for low-dimensional settings d≤6. For the first time, they exploit the close relationship between the Bernoulli polytope (also known as correlation polytope) and the well-studied cut polytope, which plays a central role in membership testing of Bernoulli matrices. Inspired by this approach, we use results from [Deza and Laurent, 1997, Embrechts et al., 2016, Fiebig et al., 2017] in a prephase of our algorithm to check necessary and sufficient conditions, before actually testing a matrix on Bernoulli compatibility. In our main approach, we – however – build upon an early attempt by [Lee, 1993] based on the vertex representation of the correlation polytope and directly solve the corresponding linear program. To appropriately deal with the issue of exponentially many primal variables, we propose a specifically taylored column generation method. A straightforward, yet novel, analysis of the arising subproblem of determining the most violated dual constraint in the column generation process leads to an exact algorithm for membership testing. Although the membership problem is known to be NP-complete, we observe very promising performance up to dimension d = 40 on a broad variety of test problems.

Keywords

Bernoulli-compatible matrix, tail-dependence matrix, column generation, binary quadratic programming, ddc: ddc:

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Top 10%
Average
Average
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