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43
An InteriorPoint Method for Semidefinite Programming
, 2005
"... We propose a new interior point based method to minimize a linear function of a matrix variable subject to linear equality and inequality constraints over the set of positive semidefinite matrices. We show that the approach is very efficient for graph bisection problems, such as maxcut. Other appli ..."
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Cited by 202 (18 self)
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We propose a new interior point based method to minimize a linear function of a matrix variable subject to linear equality and inequality constraints over the set of positive semidefinite matrices. We show that the approach is very efficient for graph bisection problems, such as maxcut. Other applications include maxmin eigenvalue problems and relaxations for the stable set problem.
A Spectral Bundle Method for Semidefinite Programming
 SIAM Journal on Optimization
, 1997
"... . A central drawback of primaldual interior point methods for semidefinite programs is their lack of ability to exploit problem structure in cost and coefficient matrices. This restricts applicability to problems of small dimension. Typically semidefinite relaxations arising in combinatorial applic ..."
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Cited by 139 (6 self)
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. A central drawback of primaldual interior point methods for semidefinite programs is their lack of ability to exploit problem structure in cost and coefficient matrices. This restricts applicability to problems of small dimension. Typically semidefinite relaxations arising in combinatorial applications have sparse and well structured cost and coefficient matrices of huge order. We present a method that allows to compute acceptable approximations to the optimal solution of large problems within reasonable time. Semidefinite programming problems with constant trace on the primal feasible set are equivalent to eigenvalue optimization problems. These are convex nonsmooth programming problems and can be solved by bundle methods. We propose replacing the traditional polyhedral cutting plane model constructed from subgradient information by a semidefinite model that is tailored for eigenvalue problems. Convergence follows from the traditional approach but a proof is included for completene...
Semidefinite optimization
 Acta Numerica
, 2001
"... Optimization problems in which the variable is not a vector but a symmetric matrix which is required to be positive semidefinite have been intensely studied in the last ten years. Part of the reason for the interest stems from the applicability of such problems to such diverse areas as designing the ..."
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Cited by 103 (2 self)
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Optimization problems in which the variable is not a vector but a symmetric matrix which is required to be positive semidefinite have been intensely studied in the last ten years. Part of the reason for the interest stems from the applicability of such problems to such diverse areas as designing the strongest column, checking the stability of a differential inclusion, and obtaining tight bounds for hard combinatorial optimization problems. Part also derives from great advances in our ability to solve such problems efficiently in theory and in practice (perhaps “or ” would be more appropriate: the most effective computational methods are not always provably efficient in theory, and vice versa). Here we describe this class of optimization problems, give a number of examples demonstrating its significance, outline its duality theory, and discuss algorithms for solving such problems.
Fastest Mixing Markov Chain on A Graph
 SIAM REVIEW
, 2003
"... We consider a symmetric random walk on a connected graph, where each edge is labeled with the probability of transition between the two adjacent vertices. The associated Markov chain has a uniform equilibrium distribution; the rate of convergence to this distribution, i.e. the mixing rate of the Mar ..."
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Cited by 88 (15 self)
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We consider a symmetric random walk on a connected graph, where each edge is labeled with the probability of transition between the two adjacent vertices. The associated Markov chain has a uniform equilibrium distribution; the rate of convergence to this distribution, i.e. the mixing rate of the Markov chain, is determined by the second largest (in magnitude) eigenvalue of the transition matrix. In this paper we address the problem of assigning probabilities to the edges of the graph in such a way as to minimize the second largest magnitude eigenvalue, i.e., the problem of finding the fastest mixing Markov chain on the graph. We show that
LargeScale Optimization of Eigenvalues
 SIAM J. Optimization
, 1991
"... Optimization problems involving eigenvalues arise in many applications. Let x be a vector of real parameters and let A(x) be a continuously differentiable symmetric matrix function of x. We consider a particular problem which occurs frequently: the minimization of the maximum eigenvalue of A(x), ..."
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Cited by 79 (3 self)
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Optimization problems involving eigenvalues arise in many applications. Let x be a vector of real parameters and let A(x) be a continuously differentiable symmetric matrix function of x. We consider a particular problem which occurs frequently: the minimization of the maximum eigenvalue of A(x), subject to linear constraints and bounds on x. The eigenvalues of A(x) are not differentiable at points x where they coalesce, so the optimization problem is said to be nonsmooth. Furthermore, it is typically the case that the optimization objective tends to make eigenvalues coalesce at a solution point. There are three main purposes of the paper. The first is to present a clear and selfcontained derivation of the Clarke generalized gradient of the max eigenvalue function in terms of a "dual matrix". The second purpose is to describe a new algorithm, based on the ideas of a previous paper by the author (SIAM J. Matrix Anal. Appl. 9 (1988) 256268), which is suitable for solving l...
Spectral Partitioning: The More Eigenvectors, the Better
 PROC. ACM/IEEE DESIGN AUTOMATION CONF
, 1995
"... The graph partitioning problem is to divide the vertices of a graph into disjoint clusters to minimize the total cost of the edges cut by the clusters. A spectral partitioning heuristic uses the graph's eigenvectors to construct a geometric representation of the graph (e.g., linear orderings) which ..."
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Cited by 69 (3 self)
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The graph partitioning problem is to divide the vertices of a graph into disjoint clusters to minimize the total cost of the edges cut by the clusters. A spectral partitioning heuristic uses the graph's eigenvectors to construct a geometric representation of the graph (e.g., linear orderings) which are subsequently partitioned. Our main result shows that when all the eigenvectors are used, graph partitioning reduces to a new vector partitioning problem. This result implies that as many eigenvectors as are practically possible should be used to construct a solution. This philosophy isincontrast to that of the widelyused spectral bipartitioning (SB) heuristic (which uses a single eigenvector to construct a 2way partitioning) and several previous multiway partitioning heuristics [7][10][16][26][37] (which usek eigenvectors to construct a kway partitioning). Our result motivates a simple ordering heuristic that is a multipleeigenvector extension of SB. This heuristic not only signi cantly outperforms SB, but can also yield excellent multiway VLSI circuit partitionings as compared to [1] [10]. Our experiments suggest that the vector partitioning perspective opens the door to new and effective heuristics.
ON THE RANK OF EXTREME MATRICES IN SEMIDEFINITE PROGRAMS AND THE MULTIPLICITY OF OPTIMAL EIGENVALUES
, 1998
"... We derive some basic results on the geometry of semidefinite programming (SDP) and eigenvalueoptimization, i.e., the minimization of the sum of the k largest eigenvalues of a smooth matrixvalued function. We provide upper bounds on the rank of extreme matrices in SDPs, and the first theoretically ..."
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Cited by 69 (1 self)
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We derive some basic results on the geometry of semidefinite programming (SDP) and eigenvalueoptimization, i.e., the minimization of the sum of the k largest eigenvalues of a smooth matrixvalued function. We provide upper bounds on the rank of extreme matrices in SDPs, and the first theoretically solid explanation of a phenomenon of intrinsic interest in eigenvalueoptimization. In the spectrum of an optimal matrix, the kth and (k / 1)st largest eigenvalues tend to be equal and frequently have multiplicity greater than two. This clustering is intuitively plausible and has been observed as early as 1975. When the matrixvalued function is affine, we prove that clustering must occur at extreme points of the set of optimal solutions, if the number of variables is sufficiently large. We also give a lower bound on the multiplicity of the critical eigenvalue. These results generalize to the case of a general matrixvalued function under appropriate conditions.
Optimality Conditions and Duality Theory for Minimizing Sums of the Largest Eigenvalues of Symmetric Matrices
, 1993
"... This paper gives max characterizations for the sum of the largest eigenvalues of a symmetric matrix. The elements which achieve the maximum provide a concise characterization of the generalized gradient of the eigenvalue sum in terms of a dual matrix. The dual matrix provides the information requi ..."
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Cited by 62 (3 self)
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This paper gives max characterizations for the sum of the largest eigenvalues of a symmetric matrix. The elements which achieve the maximum provide a concise characterization of the generalized gradient of the eigenvalue sum in terms of a dual matrix. The dual matrix provides the information required to either verify firstorder optimality conditions at a point or to generate a descent direction for the eigenvalue sum from that point, splitting a multiple eigenvalue if necessary. A model minimization algorithm is outlined, and connections with the classical literature on sums of eigenvalues are explained. Sums of the largest eigenvalues in absolute value are also addressed.
Handbook of semidefinite programming
"... Semidefinite programming (or SDP) has been one of the most exciting and active research areas in optimization during the 1990s. It has attracted researchers with very diverse backgrounds, including experts in convex programming, linear algebra, numerical optimization, combinatorial optimization, con ..."
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Cited by 58 (2 self)
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Semidefinite programming (or SDP) has been one of the most exciting and active research areas in optimization during the 1990s. It has attracted researchers with very diverse backgrounds, including experts in convex programming, linear algebra, numerical optimization, combinatorial optimization, control theory, and statistics. This tremendous research activity was spurred by the discovery of important applications in combinatorial optimization and control theory, the development of efficient interiorpoint algorithms for solving SDP problems, and the depth and elegance of the underlying optimization theory. This book includes nineteen chapters on the theory, algorithms, and applications of semidefinite programming. Written by the leading experts on the subject, it offers an advanced and broad overview of the current state of the field. The coverage is somewhat less comprehensive, and the overall level more advanced, than we had planned at the start of the project. In order to finish the book in a timely fashion, we have had to abandon hopes for separate chapters on some important topics (such as a discussion of SDP algorithms in the