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Solving a Class of Semidefinite Programs via Nonlinear Programming

Sam Burer (samuel-burer***at***uiowa.edu)
Renato D.C. Monteiro (monteiro***at***isye.gatech.edu)
Yin Zhang (yzhang***at***caam.rice.edu)

Abstract: In this paper, we introduce a transformation that converts a class of linear and nonlinear semidefinite programming (SDP) problems into nonlinear optimization problems. For those problems of interest, the transformation replaces matrix-valued constraints by vector-valued ones, hence reducing the number of constraints by an order of magnitude. The class of transformable problems includes instances of SDP relaxations of combinatorial optimization problems with binary variables as well as other important SDP problems. We also derive gradient formulas for the objective function of the resulting nonlinear optimization problem and show that both function and gradient evaluations have affordable complexities that effectively exploit the sparsity of the problem data. This transformation, together with the efficient gradient formulas, enables the solution of very large-scale SDP problems by gradient-based nonlinear optimization techniques. In particular, we propose a first-order log-barrier method designed for solving a class of large-scale linear SDP problems. This algorithm operates entirely within the space of the transformed problem while still maintaining close ties with both the primal and the dual of the original SDP problem. Global convergence of the algorithm is established under mild and reasonable assumptions.

Keywords: transformation -- semidefinite program -- semidefinite relaxation -- nonlinear programming -- first-order methods -- log-barrier algorithms -- interior-point methods

Category 1: Linear, Cone and Semidefinite Programming (Semi-definite Programming )

Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: This paper is a combined and revised version of the technical reports TR99-17 and TR99-23, Dept. of Computational and Applied Mathematics, Rice University, Houston, Texas 77005, USA. This version has been submitted to Mathematical Programming A and been tentatively accepted.

Download: [Postscript]

Entry Submitted: 10/10/2001
Entry Accepted: 10/10/2001
Entry Last Modified: 10/10/2001

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