Walks on hyperplane arrangements and optimization of piecewise linear functions

Abstract

We propose an exact iterative algorithm for minimization of a class of continuous cell-wise linear convex functions on a hyperplane arrangement. Our particular setup is motivated by evaluation of so-called rank estimators used in robust regression, where every cell of the underlying arrangement corresponds to a permutation of residuals (and we also show that the class of function for which the method works is more general). The main obstacle in the construction of the algorithm is how to find an improving direction while standing in a point incident with exponentially many cells of the arrangement. We overcome this difficulty using Birkhoff Theorem which allows us to express the cone of improving directions in the exponential number of cells using a linear system with quadratic number of variables only.