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117
Interior Point Methods in Semidefinite Programming with Applications to Combinatorial Optimization
- SIAM Journal on Optimization
, 1993
"... We study the semidefinite programming problem (SDP), i.e the problem of optimization of a linear function of a symmetric matrix subject to linear equality constraints and the additional condition that the matrix be positive semidefinite. First we review the classical cone duality as specialized to S ..."
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Cited by 557 (12 self)
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We study the semidefinite programming problem (SDP), i.e the problem of optimization of a linear function of a symmetric matrix subject to linear equality constraints and the additional condition that the matrix be positive semidefinite. First we review the classical cone duality as specialized to SDP. Next we present an interior point algorithm which converges to the optimal solution in polynomial time. The approach is a direct extension of Ye's projective method for linear programming. We also argue that most known interior point methods for linear programs can be transformed in a mechanical way to algorithms for SDP with proofs of convergence and polynomial time complexity also carrying over in a similar fashion. Finally we study the significance of these results in a variety of combinatorial optimization problems including the general 0-1 integer programs, the maximum clique and maximum stable set problems in perfect graphs, the maximum k- partite subgraph problem in graphs, and va...
Second-Order Cone Programming
- MATHEMATICAL PROGRAMMING
, 2001
"... In this paper we survey the second order cone programming problem (SOCP). First we present several applications of the problem in various areas of engineering and robust optimization problems. We also give examples of optimization problems that can be cast as SOCPs. Next we review an algebraic struc ..."
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Cited by 231 (11 self)
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In this paper we survey the second order cone programming problem (SOCP). First we present several applications of the problem in various areas of engineering and robust optimization problems. We also give examples of optimization problems that can be cast as SOCPs. Next we review an algebraic structure that is connected to SOCP. This algebra is a special case of a Euclidean Jordan algebra. After presenting duality theory, complementary slackness conditions, and definitions and algebraic characterizations of primal and dual nondegeneracy and strict complementarity we review the logarithmic barrier function for the SOCP problem and survey the path-following interior point algorithms for it. Next we examine numerically stable methods for solving the interior point methods and study ways that sparsity in the input data can be exploited. Finally we give some current and future research direction in SOCP.
A Spectral Bundle Method for Semidefinite Programming
- SIAM JOURNAL ON OPTIMIZATION
, 1997
"... A central drawback of primal-dual interior point methods for semidefinite programs is their lack of ability to exploit problem structure in cost and coefficient matrices. This restricts applicability to problems of small dimension. Typically semidefinite relaxations arising in combinatorial applica ..."
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Cited by 172 (7 self)
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A central drawback of primal-dual interior point methods for semidefinite programs is their lack of ability to exploit problem structure in cost and coefficient matrices. This restricts applicability to problems of small dimension. Typically semidefinite relaxations arising in combinatorial applications have sparse and well structured cost and coefficient matrices of huge order. We present a method that allows to compute acceptable approximations to the optimal solution of large problems within reasonable time. Semidefinite programming problems with constant trace on the primal feasible set are equivalent to eigenvalue optimization problems. These are convex nonsmooth programming problems and can be solved by bundle methods. We propose replacing the traditional polyhedral cutting plane model constructed from subgradient information by a semidefinite model that is tailored for eigenvalue problems. Convergence follows from the traditional approach but a proof is included for completene...
ON THE RANK OF EXTREME MATRICES IN SEMIDEFINITE PROGRAMS AND THE MULTIPLICITY OF OPTIMAL EIGENVALUES
, 1998
"... We derive some basic results on the geometry of semidefinite programming (SDP) and eigenvalue-optimization, i.e., the minimization of the sum of the k largest eigenvalues of a smooth matrix-valued function. We provide upper bounds on the rank of extreme matrices in SDPs, and the first theoretically ..."
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Cited by 112 (1 self)
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We derive some basic results on the geometry of semidefinite programming (SDP) and eigenvalue-optimization, i.e., the minimization of the sum of the k largest eigenvalues of a smooth matrix-valued function. We provide upper bounds on the rank of extreme matrices in SDPs, and the first theoretically solid explanation of a phenomenon of intrinsic interest in eigenvalue-optimization. In the spectrum of an optimal matrix, the kth and (k / 1)st largest eigenvalues tend to be equal and frequently have multiplicity greater than two. This clustering is intuitively plausible and has been observed as early as 1975. When the matrix-valued function is affine, we prove that clustering must occur at extreme points of the set of optimal solutions, if the number of variables is sufficiently large. We also give a lower bound on the multiplicity of the critical eigenvalue. These results generalize to the case of a general matrix-valued function under appropriate conditions.
Semidefinite Programming and Combinatorial Optimization
- DOC. MATH. J. DMV
, 1998
"... We describe a few applications of semide nite programming in combinatorial optimization. ..."
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Cited by 109 (1 self)
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We describe a few applications of semide nite programming in combinatorial optimization.
Handbook of semidefinite programming
"... Semidefinite programming (or SDP) has been one of the most exciting and active research areas in optimization during the 1990s. It has attracted researchers with very diverse backgrounds, including experts in convex programming, linear algebra, numerical optimization, combinatorial optimization, con ..."
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Cited by 89 (3 self)
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Semidefinite programming (or SDP) has been one of the most exciting and active research areas in optimization during the 1990s. It has attracted researchers with very diverse backgrounds, including experts in convex programming, linear algebra, numerical optimization, combinatorial optimization, control theory, and statistics. This tremendous research activity was spurred by the discovery of important applications in combinatorial optimization and control theory, the development of efficient interior-point algorithms for solving SDP problems, and the depth and elegance of the underlying optimization theory. This book includes nineteen chapters on the theory, algorithms, and applications of semidefinite programming. Written by the leading experts on the subject, it offers an advanced and broad overview of the current state of the field. The coverage is somewhat less comprehensive, and the overall level more advanced, than we had planned at the start of the project. In order to finish the book in a timely fashion, we have had to abandon hopes for separate chapters on some important topics (such as a discussion of SDP algorithms in the
On Extending Some Primal-Dual Interior-Point Algorithms From Linear Programming to Semidefinite Programming
- SIAM Journal on Optimization
, 1998
"... This work concerns primal-dual interior-point methods for semidefinite programming (SDP) that use a search direction originally proposed by Helmberg-Rendl-Vanderbei-Wolkowicz [5] and Kojima-Shindoh-Hara [11], and recently rediscovered by Monteiro [15] in a more explicit form. In analyzing these meth ..."
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Cited by 75 (2 self)
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This work concerns primal-dual interior-point methods for semidefinite programming (SDP) that use a search direction originally proposed by Helmberg-Rendl-Vanderbei-Wolkowicz [5] and Kojima-Shindoh-Hara [11], and recently rediscovered by Monteiro [15] in a more explicit form. In analyzing these methods, a number of basic equalities and inequalities were developed in [11] and also in [15] through different means and in different forms. In this paper, we give a concise derivation of the key equalities and inequalities for complexity analysis along the exact line used in linear programming (LP), producing basic relationships that have compact forms almost identical to their counterparts in LP. We also introduce a new formulation of the central path and variable-metric measures of centrality. These results provide convenient tools for deriving polynomiality results for primal-dual algorithms extended from LP to SDP using the aforementioned and related search directions. We present examples...
A Newton-CG augmented Lagrangian method for semidefinite programming
- SIAM J. Optim
"... Abstract. We consider a Newton-CG augmented Lagrangian method for solving semidefinite programming (SDP) problems from the perspective of approximate semismooth Newton methods. In order to analyze the rate of convergence of our proposed method, we characterize the Lipschitz continuity of the corresp ..."
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Cited by 64 (14 self)
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Abstract. We consider a Newton-CG augmented Lagrangian method for solving semidefinite programming (SDP) problems from the perspective of approximate semismooth Newton methods. In order to analyze the rate of convergence of our proposed method, we characterize the Lipschitz continuity of the corresponding solution mapping at the origin. For the inner problems, we show that the positive definiteness of the generalized Hessian of the objective function in these inner problems, a key property for ensuring the efficiency of using an inexact semismooth Newton-CG method to solve the inner problems, is equivalent to the constraint nondegeneracy of the corresponding dual problems. Numerical experiments on a variety of large scale SDPs with the matrix dimension n up to 4, 110 and the number of equality constraints m up to 2, 156, 544 show that the proposed method is very efficient. We are also able to solve the SDP problem fap36 (with n = 4, 110 and m = 1, 154, 467) in the Seventh DIMACS Implementation Challenge much more accurately than previous attempts.
First and Second Order Analysis of Nonlinear Semidefinite Programs
- Mathematical Programming
, 1997
"... In this paper we study nonlinear semidefinite programming problems. Convexity, duality and first-order optimality conditions for such problems are presented. A secondorder analysis is also given. Second-order necessary and sufficient optimality conditions are derived. Finally, sensitivity analysi ..."
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Cited by 61 (10 self)
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In this paper we study nonlinear semidefinite programming problems. Convexity, duality and first-order optimality conditions for such problems are presented. A secondorder analysis is also given. Second-order necessary and sufficient optimality conditions are derived. Finally, sensitivity analysis of such programs is discussed. Key words: Semidefinite programming, cone constraints, convex programming, duality, second-order optimality conditions, tangent cones, optimal value function, sensitivity analysis. AMS subject classification: 90C25, 90C30, 90C31 1 Introduction In this paper we consider the following optimization problem (P ) min x2IR m f(x) subject to G(x) 0: Here G : IR m ! S n is a mapping from IR m into the space S n of n \Theta n symmetric matrices and, for A; B 2 S n , the notation A B (the notation A B) means that the matrix A \Gamma B is positive semidefinite (negative semidefinite). Consider the cone K ae S n of positive semidefinite matrices. Then the co...
