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Joint work with Kartik Krishnan. Multiscale Optimization Methods and Applications.pdf

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Joint work with Kartik Krishnan. Multiscale Optimization Methods and Applications

A unifying framework for several cutting plane methods for semidefinite programming John E. Mitchell Department of Mathematical Sciences Rensselaer Polytechnic Institute Troy, NY 12180 USA mitchj@ /?mitchj Joint work with Kartik Krishnan. Multiscale Optimization Methods and Applications University of Florida 28 February 2004 Cutting plane methods for SDP 1 Abstract Cutting plane methods provide the means to solve large scale semidefinite programs (SDP) cheaply and quickly. We give a survey of various cutting plane approaches for SDP in this paper. These cutting plane approaches arise from various perspectives, and include techniques based on interior point cutting plane approaches, and an approach which mimics the simplex method for lin- ear programming. We present an accessible introduction to various cutting plane approaches that have appeared in the literature. We place these methods in a unifying framework which illustrates how each approach arises as a natural enhancement of a primordial linear programming cutting plane scheme based on a semi-infinite formulation of the SDP. Cutting plane methods for SDP 2 Contents 1. Semidefinite programming 2. A semi-infinite linear program 3. Nonpolyhedral cutting plane models 4. Approximately solving the dual subproblem 5. Properties and a polar cone 6. Complexity of the algorithm 7. Conclusions Cutting plane methods for SDP 3 1 Semidefinite programming Standard form: min C ? X subject to A(X) = b (SDP ) X 0, with dual max bTy subject to ATy + S = C (SDD) S 0 ? C, X and S are square symmetric matrices. ? Require X and S be positive semidefinite (psd). ? Inner products are the Frobenius inner product, so C ? X = trace(CX). ? AX = ? ???????? A1 ? X ... Ak ? X ? ???????? , ATy = ∑ki=1 yjAj, where each Aj is a symmetric matrix. ? Denote Y := {y ∈ IRm : C ?ATy 0}. Cutting plane methods for SDP 4 Applications ? control ? developing approximation algorithms for combinato- rial optimization problems ? finance ? statistics ? .