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High Probability Bounds for Stochastic Continuous Submodular Maximization

Evan Becker · Jingdong Gao · Ted Zadouri · Baharan Mirzasoleiman

Auditorium 1 Foyer 122

Abstract: We consider maximization of stochastic monotone continuous submodular functions (CSF) with a diminishing return property. Existing algorithms only guarantee the performance \textit{in expectation}, and do not bound the probability of getting a bad solution. This implies that for a particular run of the algorithms, the solution may be much worse than the provided guarantee in expectation. In this paper, we first empirically verify that this is indeed the case. Then, we provide the first \textit{high-probability} analysis of the existing methods for stochastic CSF maximization, namely PGA, boosted PGA, SCG, and SCG++. Finally, we provide an improved high-probability bound for SCG, under slightly stronger assumptions, with a better convergence rate than that of the expected solution. Through extensive experiments on non-concave quadratic programming (NQP) and optimal budget allocation, we confirm the validity of our bounds and show that even in the worst-case, PGA converges to $OPT/2$, and boosted PGA, SCG, SCG++ converge to $(1 - 1/e)OPT$, but at a slower rate than that of the expected solution.

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