1,033 research outputs found
An exact duality theory for semidefinite programming based on sums of squares
Farkas' lemma is a fundamental result from linear programming providing
linear certificates for infeasibility of systems of linear inequalities. In
semidefinite programming, such linear certificates only exist for strongly
infeasible linear matrix inequalities. We provide nonlinear algebraic
certificates for all infeasible linear matrix inequalities in the spirit of
real algebraic geometry: A linear matrix inequality is infeasible if and only
if -1 lies in the quadratic module associated to it. We also present a new
exact duality theory for semidefinite programming, motivated by the real
radical and sums of squares certificates from real algebraic geometry.Comment: arXiv admin note: substantial text overlap with arXiv:1108.593
Conic Optimization Theory: Convexification Techniques and Numerical Algorithms
Optimization is at the core of control theory and appears in several areas of
this field, such as optimal control, distributed control, system
identification, robust control, state estimation, model predictive control and
dynamic programming. The recent advances in various topics of modern
optimization have also been revamping the area of machine learning. Motivated
by the crucial role of optimization theory in the design, analysis, control and
operation of real-world systems, this tutorial paper offers a detailed overview
of some major advances in this area, namely conic optimization and its emerging
applications. First, we discuss the importance of conic optimization in
different areas. Then, we explain seminal results on the design of hierarchies
of convex relaxations for a wide range of nonconvex problems. Finally, we study
different numerical algorithms for large-scale conic optimization problems.Comment: 18 page
Exact duality in semidefinite programming based on elementary reformulations
In semidefinite programming (SDP), unlike in linear programming, Farkas'
lemma may fail to prove infeasibility. Here we obtain an exact, short
certificate of infeasibility in SDP by an elementary approach: we reformulate
any semidefinite system of the form Ai*X = bi (i=1,...,m) (P) X >= 0 using only
elementary row operations, and rotations. When (P) is infeasible, the
reformulated system is trivially infeasible. When (P) is feasible, the
reformulated system has strong duality with its Lagrange dual for all objective
functions.
As a corollary, we obtain algorithms to generate the constraints of {\em all}
infeasible SDPs and the constraints of {\em all} feasible SDPs with a fixed
rank maximal solution.Comment: To appear, SIAM Journal on Optimizatio
SOS-convex Semi-algebraic Programs and its Applications to Robust Optimization: A Tractable Class of Nonsmooth Convex Optimization
In this paper, we introduce a new class of nonsmooth convex functions called
SOS-convex semialgebraic functions extending the recently proposed notion of
SOS-convex polynomials. This class of nonsmooth convex functions covers many
common nonsmooth functions arising in the applications such as the Euclidean
norm, the maximum eigenvalue function and the least squares functions with
-regularization or elastic net regularization used in statistics and
compressed sensing. We show that, under commonly used strict feasibility
conditions, the optimal value and an optimal solution of SOS-convex
semi-algebraic programs can be found by solving a single semi-definite
programming problem (SDP). We achieve the results by using tools from
semi-algebraic geometry, convex-concave minimax theorem and a recently
established Jensen inequality type result for SOS-convex polynomials. As an
application, we outline how the derived results can be applied to show that
robust SOS-convex optimization problems under restricted spectrahedron data
uncertainty enjoy exact SDP relaxations. This extends the existing exact SDP
relaxation result for restricted ellipsoidal data uncertainty and answers the
open questions left in [Optimization Letters 9, 1-18(2015)] on how to recover a
robust solution from the semi-definite programming relaxation in this broader
setting
Computation with Polynomial Equations and Inequalities arising in Combinatorial Optimization
The purpose of this note is to survey a methodology to solve systems of
polynomial equations and inequalities. The techniques we discuss use the
algebra of multivariate polynomials with coefficients over a field to create
large-scale linear algebra or semidefinite programming relaxations of many
kinds of feasibility or optimization questions. We are particularly interested
in problems arising in combinatorial optimization.Comment: 28 pages, survey pape
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