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103
A Nonlinear Programming Algorithm for Solving Semidefinite Programs via Lowrank Factorization
 Mathematical Programming (series B
, 2001
"... In this paper, we present a nonlinear programming algorithm for solving semidefinite programs (SDPs) in standard form. The algorithm's distinguishing feature is a change of variables that replaces the symmetric, positive semidefinite variable X of the SDP with a rectangular variable R according ..."
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Cited by 153 (10 self)
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In this paper, we present a nonlinear programming algorithm for solving semidefinite programs (SDPs) in standard form. The algorithm's distinguishing feature is a change of variables that replaces the symmetric, positive semidefinite variable X of the SDP with a rectangular variable R according to the factorization X = RR T . The rank of the factorization, i.e., the number of columns of R, is chosen minimally so as to enhance computational speed while maintaining equivalence with the SDP. Fundamental results concerning the convergence of the algorithm are derived, and encouraging computational results on some largescale test problems are also presented. Keywords: semidefinite programming, lowrank factorization, nonlinear programming, augmented Lagrangian, limited memory BFGS. 1 Introduction In the past few years, the topic of semidefinite programming, or SDP, has received considerable attention in the optimization community, where interest in SDP has included the investigation of...
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 152 (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.
Sums of Squares and Semidefinite Programming Relaxations for Polynomial Optimization Problems with Structured Sparsity
 SIAM Journal on Optimization
, 2006
"... Abstract. Unconstrained and inequality constrained sparse polynomial optimization problems (POPs) are considered. A correlative sparsity pattern graph is defined to find a certain sparse structure in the objective and constraint polynomials of a POP. Based on this graph, sets of supports for sums of ..."
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Cited by 119 (29 self)
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Abstract. Unconstrained and inequality constrained sparse polynomial optimization problems (POPs) are considered. A correlative sparsity pattern graph is defined to find a certain sparse structure in the objective and constraint polynomials of a POP. Based on this graph, sets of supports for sums of squares (SOS) polynomials that lead to efficient SOS and semidefinite programming (SDP) relaxations are obtained. Numerical results from various test problems are included to show the improved performance of the SOS and SDP relaxations. Key words.
Convergent SDPRelaxations in Polynomial Optimization with Sparsity
 SIAM Journal on Optimization
"... Abstract. We consider a polynomial programming problem P on a compact semialgebraic set K ⊂ R n, described by m polynomial inequalities gj(X) ≥ 0, and with criterion f ∈ R[X]. We propose a hierarchy of semidefinite relaxations in the spirit those of Waki et al. [9]. In particular, the SDPrelaxati ..."
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Cited by 56 (16 self)
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Abstract. We consider a polynomial programming problem P on a compact semialgebraic set K ⊂ R n, described by m polynomial inequalities gj(X) ≥ 0, and with criterion f ∈ R[X]. We propose a hierarchy of semidefinite relaxations in the spirit those of Waki et al. [9]. In particular, the SDPrelaxation of order r has the following two features: (a) The number of variables is O(κ 2r) where κ = max[κ1, κ2] witth κ1 (resp. κ2) being the maximum number of variables appearing the monomials of f (resp. appearing in a single constraint gj(X) ≥ 0). (b) The largest size of the LMI’s (Linear Matrix Inequalities) is O(κ r). This is to compare with the respective number of variables O(n 2r) and LMI size O(n r) in the original SDPrelaxations defined in [11]. Therefore, great computational savings are expected in case of sparsity in the data {gj, f}, i.e. when κ is small, a frequent case in practical applications of interest. The novelty with respect to [9] is that we prove convergence to the global optimum of P when the sparsity pattern satisfies a condition often encountered in large size problems of practical applications, and known as the running intersection property in graph theory. In such cases, and as a byproduct, we also obtain a new representation result for polynomials positive on a basic closed semialgebraic set, a sparse version of Putinar’s Positivstellensatz [16]. 1.
Exploiting sparsity in semidefinite programming via matrix completion II: implementation and numerical results
"... In Part I of this series of articles, we introduced a general framework of exploiting the aggregate sparsity pattern over all data matrices of large scale and sparse semidefinite programs (SDPs) when solving them by primaldual interiorpoint methods. This framework is based on some results about po ..."
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Cited by 50 (17 self)
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In Part I of this series of articles, we introduced a general framework of exploiting the aggregate sparsity pattern over all data matrices of large scale and sparse semidefinite programs (SDPs) when solving them by primaldual interiorpoint methods. This framework is based on some results about positive semidefinite matrix completion, and it can be embodied in two di#erent ways. One is by a conversion of a given sparse SDP having a large scale positive semidefinite matrix variable into an SDP having multiple but smaller positive semidefinite matrix variables. The other is by incorporating a positive definite matrix completion itself in a primaldual interiorpoint method. The current article presents the details of their implementations. We introduce new techniques to deal with the sparsity through a clique tree in the former method and through new computational formulae in the latter one. Numerical results over di#erent classes of SDPs show that these methods can be very e#cient for some problems. Keywords: Semidefinite programming; Primaldual interiorpoint method; Matrix completion problem; Clique tree; Numerical results. # Department of Applied Physics, The University of Tokyo, 731 Hongo, Bunkyoku, Tokyo 1138565 Japan (nakata@zzz.t.utokyo.ac.jp ). + Department of Architecture and Architectural Systems, Kyoto University, Kyoto 6068501 Japan (fujisawa@ismj.archi.kyotou.ac.jp). # Department of Mathematical and Computing Sciences, Tokyo Institute of Technology, 2121 OhOkayama, Meguroku, Tokyo 1528552 Japan (mituhiro@is.titech.ac.jp). The author was supported by The Ministry of Education, Culture, Sports, Science and Technology of Japan. Department of Mathematical and Computing Sciences, Tokyo Institute of Technology, 2121 OhOkayama, Meguroku, Toky...
RankTwo Relaxation Heuristics for MaxCut and Other Binary Quadratic Programs
 SIAM Journal on Optimization
, 2000
"... The GoemansWilliamson randomized algorithm guarantees a highquality approximation to the MaxCut problem, but the cost associated with such an approximation can be excessively high for largescale problems due to the need for solving an expensive semidefinite relaxation. In order to achieve better ..."
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Cited by 43 (3 self)
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The GoemansWilliamson randomized algorithm guarantees a highquality approximation to the MaxCut problem, but the cost associated with such an approximation can be excessively high for largescale problems due to the need for solving an expensive semidefinite relaxation. In order to achieve better practical performance, we propose an alternative, ranktwo relaxation and develop a specialized version of the GoemansWilliamson technique. The proposed approach leads to continuous optimization heuristics applicable to MaxCut as well as other binary quadratic programs, for example the MaxBisection problem. A computer code based on the ranktwo relaxation heuristics is compared with two stateoftheart semidefinite programming codes that implement the GoemansWilliamson randomized algorithm, as well as with a purely heuristic code for effectively solving a particular MaxCut problem arising in physics. Computational results show that the proposed approach is fast and scalable and, more importantly, attains a higher approximation quality in practice than that of the GoemansWilliamson randomized algorithm. An extension to MaxBisection is also discussed as well as an important difference between the proposed approach and the GoemansWilliamson algorithm, namely that the new approach does not guarantee an upper bound on the MaxCut optimal value. Key words. Binary quadratic programs, MaxCut and MaxBisection, semidefinite relaxation, ranktwo relaxation, continuous optimization heuristics. AMS subject classifications. 90C06, 90C27, 90C30 1.
Exploiting sparsity in SDP relaxation for sensor network localization
 SIAM J. Optim
, 2009
"... Abstract. A sensor network localization problem can be formulated as a quadratic optimization problem (QOP). For quadratic optimization problems, semidefinite programming (SDP) relaxation by Lasserre with relaxation order 1 for general polynomial optimization problems (POPs) is known to be equivalen ..."
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Cited by 36 (9 self)
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Abstract. A sensor network localization problem can be formulated as a quadratic optimization problem (QOP). For quadratic optimization problems, semidefinite programming (SDP) relaxation by Lasserre with relaxation order 1 for general polynomial optimization problems (POPs) is known to be equivalent to the sparse SDP relaxation by Waki et al. with relaxation order 1, except the size and sparsity of the resulting SDP relaxation problems. We show that the sparse SDP relaxation applied to the QOP is at least as strong as the BiswasYe SDP relaxation for the sensor network localization problem. A sparse variant of the BiswasYe SDP relaxation, which is equivalent to the original BiswasYe SDP relaxation, is also derived. Numerical results are compared with the BiswasYe SDP relaxation and the edgebased SDP relaxation by Wang et al.. We show that the proposed sparse SDP relaxation is faster than the BiswasYe SDP relaxation. In fact, the computational efficiency in solving the resulting SDP problems increases as the number of anchors and/or the radio range grow. The proposed sparse SDP relaxation also provides more accurate solutions than the edgebased SDP relaxation when exact distances are given between sensors and anchors and there are only a small number of anchors. Key words. Sensor network localization problem, polynomial optimization problem, semidefinite relaxation, sparsity
Further relaxations of the SDP approach to sensor network localization
 SIAM J. Optim
"... Recently, a semidefinite programming (SDP) relaxation approach has been proposed to solve the sensor network localization problem. Although it achieves high accuracy in estimating sensor’s locations, the speed of the SDP approach is not satisfactory for practical applications. In this paper we prop ..."
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Cited by 34 (0 self)
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Recently, a semidefinite programming (SDP) relaxation approach has been proposed to solve the sensor network localization problem. Although it achieves high accuracy in estimating sensor’s locations, the speed of the SDP approach is not satisfactory for practical applications. In this paper we propose methods to further relax the SDP relaxation; more precisely, to decompose the single semidefinite matrix cone into a set of smallsize semidefinite matrix cones, which we call the smaller SDP (SSDP) approach. We present two such relaxations or decompositions; and they are, although weaker than SDP relaxation, tested to be both efficient and accurate in practical computations. The speed of the SSDP is much faster than that of the SDP approach as well as other approaches. We also prove several theoretical properties of the new SSDP relaxations.
Solving Large Scale Semidefinite Programs via an Iterative Solver on the Augmented Systems
, 2002
"... The search directions in an interiorpoint method for large scale semidefinite programming (SDP) can be computed by applying a Krylov iterative method to either the Schur complement equation (SCE) or the augmented equation. Both methods suffer from slow convergence as interiorpoint iterates appr ..."
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Cited by 32 (10 self)
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The search directions in an interiorpoint method for large scale semidefinite programming (SDP) can be computed by applying a Krylov iterative method to either the Schur complement equation (SCE) or the augmented equation. Both methods suffer from slow convergence as interiorpoint iterates approach optimality. Numerical experiments have shown that diagonally preconditioned conjugate residual method on the SCE typically takes a huge number of steps to converge. However, it is difficult to incorporate cheap and effective preconditioners into the SCE. This paper proposes to apply the preconditioned symmetric quasiminimal residual (PSQMR) method to a reduced augmented equation that is derived from the augmented equation by utilizing the eigenvalue structure of the interiorpoint iterates. Numerical experiments on SDP problems arising from maximum clique and selected SDPLIB problems show that moderately accurate solutions can be obtained with a modest number of PSQMR steps using the proposed preconditioned reduced augmented equation. An SDP problem with 127600 constraints is solved in about 9.5 hours to an accuracy of 10^6 in relative duality gap.