Projection methods in conic optimization

There exist efficient algorithms to project a point onto the intersection of a convex cone and an affine subspace. Those conic projections are in turn the work-horse of a range of algorithms in conic optimization, having a variety of applications in science, finance and engineering. This chapter reviews some of these algorithms, emphasizing the so-called regularization algorithms for linear conic optimization, and applications in polynomial optimization. This is a presentation of the material of several recent research articles; we aim here at clarifying the ideas, presenting them in a general framework, and pointing out important techniques

The Complexity of Relating Quantum Channels to Master Equations

Completely positive, trace preserving (CPT) maps and Lindblad master equations are both widely used to describe the dynamics of open quantum systems. The connection between these two descriptions is a classic topic in mathematical physics. One direction was solved by the now famous result due to Lindblad, Kossakowski Gorini and Sudarshan, who gave a complete characterisation of the master equations that generate completely positive semi-groups. However, the other direction has remained open: given a CPT map, is there a Lindblad master equation that generates it (and if so, can we find it's form)? This is sometimes known as the Markovianity problem. Physically, it is asking how one can deduce underlying physical processes from experimental observations. We give a complexity theoretic answer to this problem: it is NP-hard. We also give an explicit algorithm that reduces the problem to integer semi-definite programming, a well-known NP problem. Together, these results imply that resolving the question of which CPT maps can be generated by master equations is tantamount to solving P=NP: any efficiently computable criterion for Markovianity would imply P=NP; whereas a proof that P=NP would imply that our algorithm already gives an efficiently computable criterion. Thus, unless P does equal NP, there cannot exist any simple criterion for determining when a CPT map has a master equation description. However, we also show that if the system dimension is fixed (relevant for current quantum process tomography experiments), then our algorithm scales efficiently in the required precision, allowing an underlying Lindblad master equation to be determined efficiently from even a single snapshot in this case. Our work also leads to similar complexity-theoretic answers to a related long-standing open problem in probability theory.Comment: V1: 43 pages, single column, 8 figures. V2: titled changed; added proof-overview and accompanying figure; 50 pages, single column, 9 figure

Approximate Dynamic Programming via Sum of Squares Programming

We describe an approximate dynamic programming method for stochastic control problems on infinite state and input spaces. The optimal value function is approximated by a linear combination of basis functions with coefficients as decision variables. By relaxing the Bellman equation to an inequality, one obtains a linear program in the basis coefficients with an infinite set of constraints. We show that a recently introduced method, which obtains convex quadratic value function approximations, can be extended to higher order polynomial approximations via sum of squares programming techniques. An approximate value function can then be computed offline by solving a semidefinite program, without having to sample the infinite constraint. The policy is evaluated online by solving a polynomial optimization problem, which also turns out to be convex in some cases. We experimentally validate the method on an autonomous helicopter testbed using a 10-dimensional helicopter model.Comment: 7 pages, 5 figures. Submitted to the 2013 European Control Conference, Zurich, Switzerlan