Computing semiparametric bounds on the expected payments of insurance instruments via column generation

It has been recently shown that numerical semiparametric bounds on the expected payoff of fi- nancial or actuarial instruments can be computed using semidefinite programming. However, this approach has practical limitations. Here we use column generation, a classical optimization technique, to address these limitations. From column generation, it follows that practical univari- ate semiparametric bounds can be found by solving a series of linear programs. In addition to moment information, the column generation approach allows the inclusion of extra information about the random variable; for instance, unimodality and continuity, as well as the construction of corresponding worst/best-case distributions in a simple way

Improving Efficiency and Scalability of Sum of Squares Optimization: Recent Advances and Limitations

It is well-known that any sum of squares (SOS) program can be cast as a semidefinite program (SDP) of a particular structure and that therein lies the computational bottleneck for SOS programs, as the SDPs generated by this procedure are large and costly to solve when the polynomials involved in the SOS programs have a large number of variables and degree. In this paper, we review SOS optimization techniques and present two new methods for improving their computational efficiency. The first method leverages the sparsity of the underlying SDP to obtain computational speed-ups. Further improvements can be obtained if the coefficients of the polynomials that describe the problem have a particular sparsity pattern, called chordal sparsity. The second method bypasses semidefinite programming altogether and relies instead on solving a sequence of more tractable convex programs, namely linear and second order cone programs. This opens up the question as to how well one can approximate the cone of SOS polynomials by second order representable cones. In the last part of the paper, we present some recent negative results related to this question.Comment: Tutorial for CDC 201

Using a conic bundle method to accelerate both phases of a quadratic convex reformulation

We present algorithm MIQCR-CB that is an advancement of method MIQCR~(Billionnet, Elloumi and Lambert, 2012). MIQCR is a method for solving mixed-integer quadratic programs and works in two phases: the first phase determines an equivalent quadratic formulation with a convex objective function by solving a semidefinite problem $(SDP)$, and, in the second phase, the equivalent formulation is solved by a standard solver. As the reformulation relies on the solution of a large-scale semidefinite program, it is not tractable by existing semidefinite solvers, already for medium sized problems. To surmount this difficulty, we present in MIQCR-CB a subgradient algorithm within a Lagrangian duality framework for solving $(SDP)$ that substantially speeds up the first phase. Moreover, this algorithm leads to a reformulated problem of smaller size than the one obtained by the original MIQCR method which results in a shorter time for solving the second phase. We present extensive computational results to show the efficiency of our algorithm

Approximation Limits of Linear Programs (Beyond Hierarchies)

We develop a framework for approximation limits of polynomial-size linear programs from lower bounds on the nonnegative ranks of suitably defined matrices. This framework yields unconditional impossibility results that are applicable to any linear program as opposed to only programs generated by hierarchies. Using our framework, we prove that O(n^{1/2-eps})-approximations for CLIQUE require linear programs of size 2^{n^\Omega(eps)}. (This lower bound applies to linear programs using a certain encoding of CLIQUE as a linear optimization problem.) Moreover, we establish a similar result for approximations of semidefinite programs by linear programs. Our main ingredient is a quantitative improvement of Razborov's rectangle corruption lemma for the high error regime, which gives strong lower bounds on the nonnegative rank of certain perturbations of the unique disjointness matrix.Comment: 23 pages, 2 figure

On the existence of 0/1 polytopes with high semidefinite extension complexity

In Rothvo\ss{} it was shown that there exists a 0/1 polytope (a polytope whose vertices are in \{0,1\}^{n}) such that any higher-dimensional polytope projecting to it must have 2^{\Omega(n)} facets, i.e., its linear extension complexity is exponential. The question whether there exists a 0/1 polytope with high PSD extension complexity was left open. We answer this question in the affirmative by showing that there is a 0/1 polytope such that any spectrahedron projecting to it must be the intersection of a semidefinite cone of dimension~2^{\Omega(n)} and an affine space. Our proof relies on a new technique to rescale semidefinite factorizations