Efficient Semidefinite Programming with Approximate ADMM

Tenfold improvements in computation speed can be brought to the alternating direction method of multipliers (ADMM) for Semidefinite Programming with virtually no decrease in robustness and provable convergence simply by projecting approximately to the Semidefinite cone. Instead of computing the projections via “exact” eigendecompositions that scale cubically with the matrix size and cannot be warm-started, we suggest using state-of-the-art factorization-free, approximate eigensolvers, thus achieving almost quadratic scaling and the crucial ability of warm-starting. Using a recent result from Goulart et al. (Linear Algebra Appl 594:177–192, 2020. https://doi.org/10.1016/j.laa.2020.02.014), we are able to circumvent the numerical instability of the eigendecomposition and thus maintain tight control on the projection accuracy. This in turn guarantees convergence, either to a solution or a certificate of infeasibility, of the ADMM algorithm. To achieve this, we extend recent results from Banjac et al. (J Optim Theory Appl 183(2):490–519, 2019. https://doi.org/10.1007/s10957-019-01575-y) to prove that reliable infeasibility detection can be performed with ADMM even in the presence of approximation errors. In all of the considered problems of SDPLIB that “exact” ADMM can solve in a few thousand iterations, our approach brings a significant, up to 20x, speedup without a noticeable increase in ADMM’s iterations.

On Polyhedral Approximations of the Positive Semidefinite Cone

It is well known that state-of-the-art linear programming solvers are more efficient than their semidefinite programming counterparts and can scale to much larger problem sizes. This leads us to consider the question, how well can we approximate semidefinite programs with linear programs? In this paper, we prove lower bounds on the size of linear programs that approximate the positive semidefinite cone. Let D be the set of n × n positive semidefinite matrices of trace equal to one. We prove two results on the hardness of approximating D with polytopes. We show that if 0 < ε < 1and A is an arbitrary matrix of trace equal to one, any polytope P such that (1-ε) (D-A) ⊂ P ⊂ D-A must have linear programming extension complexity at least [Formula: see text], where c > 0 is a constant that depends on ε. Second, we show that any polytope P such that D ⊂ P and such that the Gaussian width of P is at most twice the Gaussian width of D must have extension complexity at least [Formula: see text]. Our bounds are both superpolynomial in n and demonstrate that there is no generic way of approximating semidefinite programs with compact linear programs. The main ingredient of our proofs is hypercontractivity of the noise operator on the hypercube.

Polyhedral approximations of the semidefinite cone and their application

We develop techniques to construct a series of sparse polyhedral approximations of the semidefinite cone. Motivated by the semidefinite (SD) bases proposed by Tanaka and Yoshise (Ann Oper Res 265:155–182, 2018), we propose a simple expansion of SD bases so as to keep the sparsity of the matrices composing it. We prove that the polyhedral approximation using our expanded SD bases contains the set of all diagonally dominant matrices and is contained in the set of all scaled diagonally dominant matrices. We also prove that the set of all scaled diagonally dominant matrices can be expressed using an infinite number of expanded SD bases. We use our approximations as the initial approximation in cutting plane methods for solving a semidefinite relaxation of the maximum stable set problem. It is found that the proposed methods with expanded SD bases are significantly more efficient than methods using other existing approximations or solving semidefinite relaxation problems directly.

The cone of Z-transformations on Lorentz cone

In this paper, the structural properties of the cone of $\calz$-transformations on the Lorentz cone are described in terms of the semidefinite cone and copositive/completely positive cones induced by the Lorentz cone and its boundary. In particular, its dual is described as a slice of the semidefinite cone as well as a slice of the completely positive cone of the Lorentz cone. This provides an example of an instance where a conic linear program on a completely positive cone is reduced to a problem on the semidefinite cone.