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Error bounds for rank constrained optimization problems and applications

Shujun Bi(bishj***at***scut.edu.cn)
Shaohua Pan(shhpan***at***scut.edu.cn)

Abstract: This paper is concerned with the rank constrained optimization problem whose feasible set is the intersection of the rank constraint set $\mathcal{R}=\!\big\{X\in\mathbb{X}\ |\ {\rm rank}(X)\le \kappa\big\}$ and a closed convex set $\Omega$. We establish the local (global) Lipschitzian type error bounds for estimating the distance from any $X\in \Omega$ ($X\in\mathbb{X}$) to the feasible set and the solution set, respectively, under the calmness of a multifunction associated to the feasible set at the origin, which is specially satisfied by three classes of common rank constrained optimization problems. As an application of the local Lipschitzian type error bounds, we show that the penalty problem yielded by moving the rank constraint into the objective is exact in the sense that its global optimal solution set coincides with that of the original problem when the penalty parameter is over a certain threshold. This particularly offers an affirmative answer to the open question whether the penalty problem (32) in \cite{GS-Major} is exact or not. As another application, we derive the error bounds of the iterates generated by a multi-stage convex relaxation approach to those three classes of rank constrained problems and show that the bounds are nonincreasing as the number of stages increases.

Keywords: Rank constrained optimization, Error bounds, Calmness, Exact penalty

Category 1: Applications -- OR and Management Sciences

Citation: Operations Research Letters 44 (2016) 336341

Download: [PDF]

Entry Submitted: 05/21/2017
Entry Accepted: 05/21/2017
Entry Last Modified: 05/21/2017

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