Solving rank-constrained semidefinite programs in exact arithmetic

We consider the problem of minimizing a linear function over an affine section of the cone of positive semidefinite matrices, with the additional constraint that the feasible matrix has prescribed rank. When the rank constraint is active, this is a non-convex optimization problem, otherwise it is a semidefinite program. Both find numerous applications especially in systems control theory and combinatorial optimization, but even in more general contexts such as polynomial optimization or real algebra. While numerical algorithms exist for solving this problem, such as interior-point or Newton-like algorithms, in this paper we propose an approach based on symbolic computation. We design an exact algorithm for solving rank-constrained semidefinite programs, whose complexity is essentially quadratic on natural degree bounds associated to the given optimization problem: for subfamilies of the problem where the size of the feasible matrix is fixed, the complexity is polynomial in the number of variables. The algorithm works under assumptions on the input data: we prove that these assumptions are generically satisfied. We also implement it in Maple and discuss practical experiments.Comment: Published at ISSAC 2016. Extended version submitted to the Journal of Symbolic Computatio

An investigation of using an RQP based method to calculate parameter sensitivity derivatives

Estimation of the sensitivity of problem functions with respect to problem variables forms the basis for many of our modern day algorithms for engineering optimization. The most common application of problem sensitivities has been in the calculation of objective function and constraint partial derivatives for determining search directions and optimality conditions. A second form of sensitivity analysis, parameter sensitivity, has also become an important topic in recent years. By parameter sensitivity, researchers refer to the estimation of changes in the modeling functions and current design point due to small changes in the fixed parameters of the formulation. Methods for calculating these derivatives have been proposed by several authors (Armacost and Fiacco 1974, Sobieski et al 1981, Schmit and Chang 1984, and Vanderplaats and Yoshida 1985). Two drawbacks to estimating parameter sensitivities by current methods have been: (1) the need for second order information about the Lagrangian at the current point, and (2) the estimates assume no change in the active set of constraints. The first of these two problems is addressed here and a new algorithm is proposed that does not require explicit calculation of second order information