Fujisawa, Katsuki

Fukuda, Mituhiro

Kojima, Masakazu

Murota, Kazuo

Nakata, Kazuhide

Kyoto University Research Information Repository

Title Solving Sparse Semidefinite Programs by Matrix Completion(Part II) (Mathematical Science of Optimization)Author(s)Fukuda, Mituhiro; Nakata, Kazuhide; Fujisawa, Katsuki;Kojima, Masakazu; Murota, KazuoCitation数理解析研究所講究録 (2000), 1174: 130-137Issue Date2000-10URL http://hdl.handle.net/2433/64466RightType Departmental Bulletin PaperTextversionpublisherKyoto UniversitySolving Sparse Semidefinite Programs by MatrixCompletion (part II)(Kazuhide Nakata)(Katsuki Fujisawa)(Mituhiro Fukuda)(Masakazu Kojima)– (Kazuo Murota)This article succeds the previous article (Solving Sparse Semidefinite Programs by Matrix Com-pletion (part I). In this article, we will propose a prima]-dual interior-point method based on thesparse factorization formula which arises from positive definite matrix completion [3]. We call thismethod the completion method. Next we will present some numerical results which compare withthe original method, the conversion method and the completion method.1 Completion MethodOne disadvantage of the conversion method in the previous article is an increase in the numberof equality constraints. In this section, we propose a primal-dual interior-point method based onpositive semidefinite matrix completion which we can apply directly to the original SDP withoutadding any equality constraints.1.1 Search DirectionVarious search directions [1, 4, 5, 6, 7, 8, 9, 10] have been proposed so far for primal-dual interior-point methods. Among others, we restrict ourselves to the $\mathrm{H}\mathrm{R}\mathrm{V}\mathrm{W}/\mathrm{K}\mathrm{S}\mathrm{H}/\mathrm{M}$ search direction [4, 6, 7].Let $(\overline{X},\overline{\mathrm{Y}},\overline{z})$ be a point obtained at the $k\mathrm{t}\mathrm{h}$ iteration of a primal-dual interior-point methodusing the $\mathrm{H}\mathrm{R}\mathrm{V}\mathrm{W}/\mathrm{K}\mathrm{S}\mathrm{H}/\mathrm{M}$ search direction $(k\geq 1)$ or given initially $(k=0)$ . We assume that$\overline{X}\in S_{++}^{n}(F$, ? $)$ and $\overline{\mathrm{Y}}\in S_{++}^{n}(E, 0)$ .In order to compute the $\mathrm{H}\mathrm{R}\mathrm{V}\mathrm{W}/\mathrm{K}\mathrm{S}\mathrm{H}/\mathrm{M}$ search direction, we use the whole matrix values forboth $\overline{X}\in S_{++}^{n}(F$, ? $)$ and $\overline{\mathrm{Y}}\in S_{++}^{n}(E, 0)$ , so that we need to make a positive definite matrixcompletion of $\overline{X}\in S_{++}^{n}$ $(F$, ? $)$ . Let $\hat{X}\in s_{++^{\mathrm{b}\mathrm{e}}}^{n}$ the maximum-determir\’iant positive definite matrixcompletion of $\overline{X}\in S_{++}^{n}$ $(F$, ? $)$ . Then we compute the $\mathrm{H}\mathrm{R}\mathrm{V}\mathrm{W}/\mathrm{K}\mathrm{S}\mathrm{H}/\mathrm{M}$ search direction (ﬄ, ff, $d_{Z)}$by solving the system of linear equations$A_{p}$ $\bullet$ $dK=g_{p}(p=1,2, \ldots, m),$ $M\in S^{n}$$\sum_{p=1}^{m}$ A&+ppff=H, $M\in s^{n}(E, 0),$ $d\mathrm{z}\in R^{m},$ $\}$ (1)$\overline{dK}\overline{\mathrm{Y}}+\hat{X}N=K,$ $d\mathrm{X}=(f\overline{fl}+\overline{d\mathrm{X}}^{T})/2$ ,1174 2000 130-137 130where $g_{p}=b_{p}-A_{p}$ $\bullet$ $\hat{X}\in R(p=1,2, \ldots, m)$ (the primal residual), $H=A_{0}- \sum_{p}mA\overline{Z}=1p\mathrm{P}^{-\overline{\mathrm{Y}}}\in$$S^{n}(E, 0)$ (the dual residual), $K=\mu I-\hat{X}\overline{\mathrm{Y}}$ (an $n\cross n$ constant matrix), and $\overline{d\mathrm{X}}$ denotes an $n\mathrm{x}n$auxiliary matrix variable. The search direction parameter $\mu$ is usually chosen to be $\beta\hat{X}$ $\bullet$ $\overline{\mathrm{Y}}/n$ forsome $\beta\in[0,1]$ . We can reduce the system of linear equations (1) to .$Bdz=s,$ $ff=H- \sum_{p=1}A_{pp}dZm$ ,$\overline{d\mathrm{X}}=(K-\hat{x}ff)\overline{\mathrm{Y}}-1,$ $dK=(\overline{dK}+f\overline{fl}^{T})/2,-$(2)where$B_{pqpq}=\mathrm{T}\mathrm{r}\mathrm{a}\mathrm{C}\mathrm{e}A\hat{x}A\overline{\mathrm{Y}}^{-1}(p=1,2, \ldots, m, q=1,2, \ldots, m),$ $\}$$s_{\mathrm{p}}=g_{p}$ –Trace $A_{p}(K-\hat{x}H)\overline{\mathrm{Y}}^{-}1(p=1,2, \ldots, m)$ .Note that $B$ is a positive definite symmetric matrix.As we have seen in the previous article, The maximum-determinant positive definite matrixcompletion $\hat{X}$ of $\overline{X}\in S_{++}^{n}(F$, ? $)$ can be expressed in terms of the sparse factorization formula$\hat{x}=W^{-\tau_{W}-}1$ , (3)where $W$ is a lower triangular matrix which enjoys the same sparsity structure as $\overline{X}$ . Also $\overline{\mathrm{Y}}\in$$S_{++}^{n}(E, 0)$ is factorized as $\overline{\mathrm{Y}}=NN^{T}$ without any fill-in’s except for entries in $F\backslash E$ , where$N$ is a lower triangular matrix. We can effectively utilize these factorizations of $\hat{X}$ and $\overline{\mathrm{Y}}$ forthe computation of the search direction ( $d\mathrm{x},$ ff, $d_{Z)}$ . In particular, the coefficients $B_{pq}(p=$$1,2,$ $\ldots,$ $m,$ $q=1,2,$ $\ldots,$ $m)$ in the system (2) of linear equations is computed by$B_{ij}$ $=$ $\sum_{k=1}^{n}(W-\tau W-1ek)TA(jN^{-T}N-1[A_{i}]_{*k}.)$ $(i,j=1,2, \cdots, m)$ ,si $=$ $b_{i}+ \sum_{k=1}^{n}(W^{-^{\tau}}W-1e_{k})^{\tau_{H}}(N-TN-1[A_{i}]_{*k})$ .$-\mu e_{k}^{\tau}N-^{\tau}N-1[A_{i}]*k$ $(i=1,2, \cdots, m)$Here $[A_{i}]_{*k}$ denote the $k\mathrm{t}\mathrm{h}$ column of the matrix $A_{i}$ . Since we just store the sparse and lowertriangular matrix $W$ and $N$ instead of $\overline{X}$ and $\mathrm{Y}$ , we can not use the current computationalformulas. Instead, we compute $B,\overline{d\mathrm{X}}$ and $s$ based on matrix-vector multiplications. For instance,to determine the the product $h=W^{-1}v$ , we solve the linear system $Wh=v$ , where $W$ is lowertriangular and sparse.1.2 Step SizeAs we will see below in the computation of the step length and the next iterate, we need the partialsymmetric matrix with entries $[d\mathrm{X}]_{ij}$ specified in $F$ , but not the whole search direction matrix$dX\in S^{n}$ in the primal space (hence the partial symmetric matrix with entries $[\overline{d\mathrm{K}}]_{ij}$ specified in $F$but not the whole matrix $\overline{dK}$ ). Hence it is possible to carry out all the matrix computation aboveusing only partial matrices with entries specified in $F$ . Therefore we can expect to save both CPUtime and memory in our computation of the search direction. To clarify the distinction betweenthe whole primal search direction matrix $d\mathrm{X}\in S^{n}$ and the corresponding partial symmetric matrix131with entries specified in $F$ in the discussions below, we use the notation $d\hat{K}$ for the former wholematrix in $S^{n}$ and $d\overline{\mathrm{K}}$ for the latter partial symmetric matrix in $S^{n}(F$ ; ? $)$ . Now, supposing that wehave computed the $\mathrm{H}\mathrm{R}\mathrm{V}\mathrm{W}/\mathrm{K}\mathrm{S}\mathrm{H}/\mathrm{M}$ search direction ( $d\overline{K},$ $(Y, dZ)\in S^{n}\cross S^{n}(E, 0)\cross R^{m}$ , and wedescribe how to compute a step length $\alpha>0$ and the next iterate (X’, $\mathrm{Y}’,$ $z’$ ) $\in S^{n}\cross S^{n}(E, 0)\cross R^{m}$ .Usually we compute the maximum $\hat{\alpha}$ of $\alpha’ \mathrm{s}\mathrm{s}\mathrm{a}\mathrm{t}\mathrm{i}\mathrm{s}\mathfrak{h}^{\gamma}$ ing$\hat{X}+\alpha d\hat{\mathrm{X}}\in S_{+}^{n}$ and $\overline{\mathrm{Y}}+\alpha ff\in S_{+}^{n}$ , (4)and let (X’, $\mathrm{Y}’,$ $Z’$ ) $=(\hat{X},\overline{\mathrm{Y}},\overline{z})+\gamma\hat{\alpha}(d\hat{K}, x, dz)$ for some $\gamma\in(0,1)$ . Then $X’\in S_{++}^{n}$ and$\mathrm{Y}’\in S_{++}^{n}(E, 0)$ . The computation of $\hat{\alpha}$ is necessary to know how long we can take the step lengthalong the search direction $(f\hat{fl}, ff, dz)$ . The computation of $\hat{\alpha}$ is usually carried out by calculatingthe minimum eigenvalues of the matrices$\hat{M}^{-1}d\hat{K}\hat{M}^{-\tau}$ and $N^{-1}KN^{-T}$ ,where $\hat{X}=\hat{M}\hat{M}^{T}$ and $\overline{\mathrm{Y}}=NN^{T}$ denote the factorizations of $\hat{X}$ and $\overline{\mathrm{Y}}$ , respectively.Instead of (4), we propose to employ$\overline{x}_{c_{\tau}c,}+\alpha d\overline{K}_{C_{\mathrm{r}}}c,$ $\in S_{+}^{C_{f}}(r=1,2, \ldots, \ell)$ and $\overline{\mathrm{Y}}+\alpha M\in S_{+}^{n}(E, 0)$ . (5)Recall that $\{C_{r}\subseteq V : r=1,2, \ldots, \ell\}$ denotes the family of maximal cliques of $G(V, F^{\mathrm{O}})$ and $\ell\leq n$ .Let $\overline{\alpha}$ be the maximum of $\alpha’ \mathrm{s}$ satisfying (5), and let$(X’, \mathrm{Y}^{J}, z’)=(\overline{X},\overline{\mathrm{Y}},\overline{z})+\gamma(\overline{f}(d\overline{\kappa}, M, dz)\in S^{n}(F$ , ? $)$ $\cross S_{++}^{n}(E, \mathrm{o})\cross R^{?n}$for some $7\in(0,1)$ . $X’\in S^{n}(F$, ? $)$ has a positive definite matrix completion, so that the point$(X’, \mathrm{Y}’, z’)\in S_{++}^{n}(F$, ? $)$ $\cross S_{++}^{n}(E, \mathrm{o})\cross R^{m}$ can be the next iterate. In this case, the computationof $\overline{\alpha}$ is reduced to the computation of the minimum eigenvalues of the matrices$\overline{M}_{r}^{-1}\overline{M}_{CrC}\mathrm{r}\overline{M}_{r}-\tau(r=1,2, \ldots, \ell)$ and $N^{-1}ffN^{-T}$ ,where $\overline{X}_{C,C_{f}}=\overline{M}_{r}\overline{M}_{r}^{T}$ denotes a factorization of $\overline{X}_{C_{\mathrm{r}}C_{\Gamma}}(r=1,2, \ldots, \ell)$ . Thus the computationof the minimum eigenvalue of $\hat{M}^{-1}\hat{X}\hat{M}^{-^{\tau}}$ has been replaced by the computation of the minimumeigenvalues of $\ell$ smaller submatrices $\overline{M}_{r}^{-1}d\overline{\kappa}_{c_{r}}c_{r},\overline{M}^{-^{\tau}}(r=1,2, \ldots, \ell)$ . On the other hand, whenwe compute the minimum eigenvalue of $N^{-1}KN^{-^{\tau}}$ , we can compute it easily by Lanczos methods,because $N$ and $K$ are sparse and we can compute the multiplication between $N^{-1}cYN^{-}\tau$ andvector $v$ using technic we mentioned.2 Numerical ExperimentsAll numerical experiments in this section were executed on DEC Alpha Station (CPU Alpha 21164-$600\mathrm{M}\mathrm{H}\mathrm{z}$ with $1024\mathrm{M}\mathrm{B}$). For the original method, we used the SDPA $5.0[2]$ . For the conversionmethod, we first converted the SDPs into block diagonal SDPs and solved them by the $\mathrm{S}\mathrm{D}\mathrm{P}\mathrm{A}[2]$ .For the completion method, we used a new software called SDPA-C which we incorporated thesparse factorization formula.1322.1 Norm Minimization ProblemsLet $F_{i}\in R^{q\cross r}(0\leq i\leq t)$ . The norm minimization problem is defined as:minimize $||F_{0}+ \sum_{i=1}^{t}Fiz_{i}||$subject to $z_{i}\in R(1\leq i\leq t)$ .$\}$We can reduce this problem to an SDP:maximize $-z_{t+1}$subject to $\sum_{i=1}^{t}z_{i}+z_{t+1}+\in S_{+}^{q+r}$ .$\}$Table 1 shows the performance comparisons among the $\dot{\mathrm{o}}\mathrm{r}\mathrm{i}\mathrm{g}\mathrm{i}\mathrm{n}\mathrm{a}\mathrm{l}$ method (SDPA), the conversionmethod applied before solving with SDPA, and the completion method. As $q$ becomes larger, theaggregate sparsity pattern and extended sparsity pattern becomes denser.Table 1: Numerical results on norm minimization problemsIn the case of norm minimization problems, the conversion niethod is better than the othermethods.2.2 Quadratic Programs with Box ConstraintsLet $Q\in S^{n}$ and $q\in R^{n}$ . The quadratic program with box constraints is defined as:$\mathrm{m}\mathrm{i}\mathrm{n}\mathrm{i}\mathrm{m}\mathrm{i}\cdot \mathrm{z}\mathrm{e}$ $\frac{1}{2}x^{T}Qx+q^{T}x$subject to$-1\leq x_{i}\leq 1(i=1,2, \cdots, n)$.$\}$133We have the following semidefinite programming relaxation of the above problemminimize $\frac{1}{2}$ $\bullet$ $X$subject to $\cdot X=1$ ,$\bullet X=1(i=1,2, \cdots, n)$ , $X\in S_{+}^{2+1}n$ .$\}$Here $E_{ii}$ denotes the $n\cross n$ symmetric matrix with $(i, i)\mathrm{t}\mathrm{h}$ element 1 and all others $0$ .Table 2 shows the performance comparisons of these methods applied to this particular classof problems. $\alpha$ denotes the sparsity of the objective function matrix. The entry “1001,1000” inthe $n$ column means that the primal matrix variable $X$ has block matrices of sizes $1001\cross 1001$ and$1000\cross$ 1000.Table 2: Numerical results on relaxation of the quadratic programs with box constraintsIn the case of SDP relaxations of quadratic programs with box constraints, the completionmethod is better than the other methods.2.3 ${\rm Max}$-cut Problem.s over Lattice GraphsLet $G=(V, E)$ be a lattice graph which is of size $k1\cross k2$ with a vertex set $V=\{1,2, ..., n\}$ ,and an edge set $E=\{(i,j) : i,j\in V, i<j\}$ . We assign a weight $C_{ij}=C_{ji}$ to each edge$(i, j)\in E$ . The maximum cut problem is to find a partition $(L, R)$ of $V$ that maximizes the cut$c(L, R)=\Sigma_{i\in L},\in R{}_{ji}Cj\cdot$ Introducing. a variable vector $u\in R^{n}$ , we can ,$\mathrm{r}\mathrm{e}\mathrm{f}\mathrm{o}\mathrm{r}\mathrm{m}\mathrm{u}\mathrm{l}\mathrm{a}\mathrm{t}\mathrm{e}$ the problem asa nonconvex quadratic program:maximize $\frac{1}{2}\sum_{i<j}c_{ij}(1-u_{i}u_{j})$ subject to $u_{i}^{2}=1(1\leq i\leq n)$ . $\}$Here each feasible solution $u\in R^{n}$ of this problem corresponds to a cut $(L, R)$ with $L=\{i\in$$V$ : $u_{i}=-1$ } and $R=\{i\in V : u_{i}=1\}$ . If we define $C$ to be the $n\cross n$ symmetric matrix withelements $C_{ji}=C_{ij}((i, j)\in E)$ and $C_{ij}=0((i, j)\not\in E)$ , and the $n\cross n$ symmetric matrix $A_{0}\in S^{n}$134by $A_{0}=\mathrm{d}\mathrm{i}\mathrm{a}\mathrm{g}(c_{e})-c$ , where $e\in R^{n}$ denotes the vector of ones and diag$(ce)$ the diagonal matrixof the vector $Ce\in R^{n}$ , we can obtain the following semidefinite programming relaxation of themaximum cut problem:minimize $-A_{0}$ $\bullet$ $X$subject to $E_{ii}$ $\bullet$ $X=1/4(1\leq i\leq n),$ $X\in S_{+}^{n}$ .$\}$Table 3 compares the three algorithms for this problem. As $k1$ becomes larger, the aggregatesparsity patterns remain sparse, but the extended sparsity pattern becomes denser.Table 3: Numerical results on relaxation of the maximum cut problemsFor the semidefinite programming relaxation of maximum cut problems over lattice graphs, theconversion and the completion methods are better.2.4 Semidefinite Programming Relaxation of Graph-partition ProblemLet $G=(V, E)$ be a lattice graph which is of size $k1\cross k2$ with a vertex set $V=\{1,2, \ldots, n\}$ , andan edge set $E=\{(i,j) : i,j\in V, i<j\}$ . We assign a weight $C_{ij}=C_{ji}$ to each edge $(i,j)\in E$ .We assume that $n$ is an even number. The graph partition problem is to find a uniform partition$(L, R)$ of $V,$ $i.e.$ , a partition $(L, R)$ of $V$ with the same cardinality $|L|=|R|=n/2$ , that minimizesthe cut $c(L, R)=\Sigma_{i\in LjR}\in c_{ij}$ . This problem is formulated as a nonconvex quadratic program:minimize $\frac{1}{2}\sum_{i<j}c_{ij}(1-uiu^{\backslash }j)$subject to $(\Sigma_{i=1}^{n}u_{i})^{2}=0,$ $u_{i}^{2}=1(1\leq i\leq n)$ .As in the maximum cut problem, we can derive a semidefinite programming relaxation of the graphpartition problem:minimize $A_{0}$ $\bullet$ $X$subject to $E_{ii}$ $\bullet$ $X=1/4(1\leq i\leq n),$ $E\cdot X=0,$ $X\in S_{+}^{n}$ .$\}$ (6)Here $A_{0}$ and $E_{ii}(1\leq i\leq n)$ are the same matrices as in the previous section, and $E$ denotes the$n\cross n$ matrix with all elements 1. Table 4 compares the three algorithms for this problem. As $k1$135Table 4: Numerical results on relaxation of the graph partition problemsbecomes larger, the aggregate sparsity patterns remain sparse, but the extended sparsity patternbecomes denser.For the semidefinite programming relaxation of graph partition problems over lattice graphs,the conversion and the completion methods are better.3 Concluding RemarksIn this article, we explained the mechanisms of the completion method. Next we presented somenumerical results which compared the original method, the conversion method and the completionmethod. As a result, we confirmed the effectiveness of the conversion method and the completionmethod.References[1] F. ALIZADEH, J.-P. A. HAEBERLY AND M. L. OVERTON, Primal-dual interior-point meth-ods f.or semidefinite programming: convergence rates, stability and numerical results, SIAM J.Optim., 8 (1998), pp. 746-768.[2] K. FUJISAWA, M. KOJIMA AND K. NAKATA, SDPA (Semidefinite Programming Algorithm)–User’s Manual –, Technical Report B-308, Department of Mathematical and Comput-ing Sciences, Tokyo Institute of Technology, Japan, December 1995 (revised August 1996).Available at $\mathrm{f}\mathrm{t}\mathrm{p}://\mathrm{f}\mathrm{t}\mathrm{p}.\mathrm{i}\mathrm{s}.\mathrm{t}\mathrm{i}\mathrm{t}\mathrm{e}\mathrm{c}\mathrm{h}.\mathrm{a}\mathrm{C}.\mathrm{j}\mathrm{p}/\mathrm{p}\mathrm{u}\mathrm{b}/\mathrm{O}\mathrm{p}\mathrm{R}\mathrm{e}\mathrm{s}/\mathrm{s}\mathrm{o}\mathrm{f}\mathrm{t}\mathrm{W}\mathrm{a}\mathrm{r}\mathrm{e}/\mathrm{S}\mathrm{D}\mathrm{P}\mathrm{A}$ .[3] M. FUKUDA, M. KOJIMA, K. MUROTA AND K. NAKATA, Exploiting sparsity in semidefiniteprogramming via matrix completion I.. general framework, SIAM J. Optim., to appear.[4] C. HELMBERG, F. RENDL, R. J. VANDERBEI AND H. WOLKOWICZ, An interior-pointmethod for semidefinite programming, SIAM J. Optim., 6 (1996), pp. 342-361.[5] M. Kojima, M. Shida and S. Shindoh, “Search directions in the SDP and the monotone SDLCP:generalization and inexact computation,” Mathematical Programming 85 (1999) 51-80.136[6] M. Kojima, S. Shindoh and S. Hara, $‘(\mathrm{I}\mathrm{n}\mathrm{t}\mathrm{e}\mathrm{r}\mathrm{i}\mathrm{o}\mathrm{r}$ -point methods for the monotone semidefinitelinear complementarity problems,” SIAM Journal on Optimization 7 (1997) 86-125.[7] R. D. C. MONTEIRO, Primal-dual path-following algorithms for semidefinite programming,SIAM J. Optim., 7 (1997), pp. 663-678.[8] R.D.C. Monteiro and Y. Zhang, (‘A unified analysis for a class of path-following primal-dual interior-point algorithms for semidefinite programming,” Mathematical Programming 81(1998) 281-299.[9] Yu. E. NESTEROV AND M. J. TODD, Primal-dual interior-point methods for self-scaled cones,SIAM J. Optim., 8 (1998), pp. 324-364.[10] M.J. Todd, K.C. Toh and R.H. T\"ut\"unc\"u, $‘(\mathrm{O}\mathrm{n}$ the Nesterov-Todd direction in semidefiniteprogramming,” Technical Report, School of Operations Research and Industrial Engineering,Cornell University, Ithaca, New York 14853-3801, USA, March 1996, Revised May 1996, toappear in SIAM Journal on Optimization.137

Solving Sparse Semidefinite Programs by Matrix Completion (Part II) (Mathematical Science of Optimization)

Solving Sparse Semidefinite Programs by Matrix Completion (Part I) (Mathematical Science of Optimization)

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Solving Sparse Semidefinite Programs by Matrix Completion (Part I) (Mathematical Science of Optimization)

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