Tight Bounds for Approximate Carathéodory and Beyond

We give a deterministic nearly-linear time algorithm for approximating any point inside a convex polytope with a sparse convex combination of the polytope’s vertices. Our result provides a constructive proof for the Approximate Carathéodory Problem [2], which states that any point inside a polytope contained in the lp ball of radius D can be approximated to within ǫ in lp norm by a convex combination of only O ( Dp/ǫ ) vertices of the polytope for p ≥ 2. We also show that this bound is tight, using an argument based on anti-concentration for the binomial distribution. Along the way of establishing the upper bound, we develop a technique for minimizing norms over convex sets with complicated geometry; this is achieved by running Mirror Descent on a dual convex function obtained via Sion’s Theorem. As simple extensions of our method, we then provide new algorithms for submodular function minimization and SVM training. For submodular function minimization we obtain a simplification and (provable) speed-up over Wolfe’s algorithm, the method commonly found to be the fastest in practice. For SVM training, we obtain O(1/ǫ) convergence for arbitrary kernels; each iteration only requires matrix-vector operations involving the kernel matrix, so we overcome the obstacle of having to explicitly store the kernel or compute its Cholesky factorization.