Faster Convex Optimization: Simulated Annealing with an Efficient Universal Barrier

This paper explores a surprising equivalence between two seemingly-distinct convex optimization methods. We show that simulated annealing, a well-studied random walk algorithms, is directly equivalent, in a certain sense, to the central path interior point algorithm for the the entropic universal barrier function. This connection exhibits several benefits. First, we are able improve the state of the art time complexity for convex optimization under the membership oracle model. We improve the analysis of the randomized algorithm of Kalai and Vempala by utilizing tools developed by Nesterov and Nemirovskii that underly the central path following interior point algorithm. We are able to tighten the temperature schedule for simulated annealing which gives an improved running time, reducing by square root of the dimension in certain instances. Second, we get an efficient randomized interior point method with an efficiently computable universal barrier for any convex set described by a membership oracle. Previously, efficiently computable barriers were known only for particular convex sets

Self-scaled barrier functions on symmetric cones and their classification

Self-scaled barrier functions on self-scaled cones were introduced through a set of axioms in 1994 by Y.E. Nesterov and M.J. Todd as a tool for the construction of long-step interior point algorithms. This paper provides firm foundation for these objects by exhibiting their symmetry properties, their intimate ties with the symmetry groups of their domains of definition, and subsequently their decomposition into irreducible parts and algebraic classification theory. In a first part we recall the characterisation of the family of self-scaled cones as the set of symmetric cones and develop a primal-dual symmetric viewpoint on self-scaled barriers, results that were first discovered by the second author. We then show in a short, simple proof that any pointed, convex cone decomposes into a direct sum of irreducible components in a unique way, a result which can also be of independent interest. We then show that any self-scaled barrier function decomposes in an essentially unique way into a direct sum of self-scaled barriers defined on the irreducible components of the underlying symmetric cone. Finally, we present a complete algebraic classification of self-scaled barrier functions using the correspondence between symmetric cones and Euclidean Jordan algebras.Comment: 17 page

A Schwarz lemma for K\"ahler affine metrics and the canonical potential of a proper convex cone

This is an account of some aspects of the geometry of K\"ahler affine metrics based on considering them as smooth metric measure spaces and applying the comparison geometry of Bakry-Emery Ricci tensors. Such techniques yield a version for K\"ahler affine metrics of Yau's Schwarz lemma for volume forms. By a theorem of Cheng and Yau there is a canonical K\"ahler affine Einstein metric on a proper convex domain, and the Schwarz lemma gives a direct proof of its uniqueness up to homothety. The potential for this metric is a function canonically associated to the cone, characterized by the property that its level sets are hyperbolic affine spheres foliating the cone. It is shown that for an $n$-dimensional cone a rescaling of the canonical potential is an $n$-normal barrier function in the sense of interior point methods for conic programming. It is explained also how to construct from the canonical potential Monge-Amp\`ere metrics of both Riemannian and Lorentzian signatures, and a mean curvature zero conical Lagrangian submanifold of the flat para-K\"ahler space.Comment: Minor corrections. References adde

A lower bound on the barrier parameter of barriers for convex cones

International audienceLet K⊂Rn be a regular convex cone, let e1,...,en∈∂K be linearly independent points on the boundary of a compact affine section of the cone, and let x∗∈K0 be a point in the relative interior of this section. For k = 1, . . . , n, let l k be the line through the points e k and x *, let y k be the intersection point of l k with ∂K opposite to e k , and let z k be the intersection point of l k with the linear subspace spanned by all points e l , l = 1, . . . , n except e k . We give a lower bound on the barrier parameter ν of logarithmically homogeneous self-concordant barriers F:K0→R on K in terms of the projective cross-ratios qk=(ek,x∗;yk,zk) . Previously known lower bounds by Nesterov and Nemirovski can be obtained from our result as a special case. As an application, we construct an optimal barrier for the epigraph of the ||⋅||∞ -norm in Rn and compute lower bounds on the barrier parameter for the power cone and the epigraph of the ||⋅||p -norm in R2

Linear optimization over homogeneous matrix cones

A convex cone is homogeneous if its automorphism group acts transitively on the interior of the cone, i.e., for every pair of points in the interior of the cone, there exists a cone automorphism that maps one point to the other. Cones that are homogeneous and self-dual are called symmetric. The symmetric cones include the positive semidefinite matrix cone and the second order cone as important practical examples. In this paper, we consider the less well-studied conic optimization problems over cones that are homogeneous but not necessarily self-dual. We start with cones of positive semidefinite symmetric matrices with a given sparsity pattern. Homogeneous cones in this class are characterized by nested block-arrow sparsity patterns, a subset of the chordal sparsity patterns. We describe transitive subsets of the automorphism groups of the cones and their duals, and important properties of the composition of log-det barrier functions with the automorphisms in this set. Next, we consider extensions to linear slices of the positive semidefinite cone, i.e., intersection of the positive semidefinite cone with a linear subspace, and review conditions that make the cone homogeneous. In the third part of the paper we give a high-level overview of the classical algebraic theory of homogeneous cones due to Vinberg and Rothaus. A fundamental consequence of this theory is that every homogeneous cone admits a spectrahedral (linear matrix inequality) representation. We conclude by discussing the role of homogeneous cone structure in primal-dual symmetric interior-point methods.Comment: 59 pages, 10 figures, to appear in Acta Numeric