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Exploiting Aggregate Sparsity in Second Order Cone Relaxations for Quadratic Constrained Quadratic Programming Problems

Heejune Sheen(brianshn1***at***gmail.com)
Makoto Yamashita(Makoto.Yamashita***at***c.titech.ac.jp)

Abstract: Among many approaches to increase the computational efficiency of semidefinite programming (SDP) relaxation for quadratic constrained quadratic programming problems (QCQPs), exploiting the aggregate sparsity of the data matrices in the SDP by Fukuda et al. (2001) and second-order cone programming (SOCP) relaxation have been popular. In this paper, we exploit the aggregate sparsity of SOCP relaxation of QCQPs. Specifically, we prove that exploiting the aggregate sparsity reduces the number of second-order cones in the SOCP relaxation, and that we can simplify the matrix completion procedure by Fukuda et al. in both primal and dual of the SOCP relaxation problem without losing the max-determinant property. For numerical experiments, QCQPs from the lattice graph and pooling problem are tested as their SOCP relaxations provide the same optimal value as the SDP relaxations. We demonstrate that exploiting the aggregate sparsity improves the computational efficiency of the SOCP relaxation for the same objective value as the SDP relaxation, thus much larger problems can be handled by the proposed SOCP relaxation than the SDP relaxation.

Keywords: Quadratic constrained quadratic programming, semidefinite programming, second-order cone programming, aggregate sparsity, chordal sparsity

Category 1: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

Category 2: Nonlinear Optimization (Quadratic Programming )

Category 3: Linear, Cone and Semidefinite Programming (Semi-definite Programming )

Citation:

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Entry Submitted: 11/05/2019
Entry Accepted: 11/05/2019
Entry Last Modified: 11/05/2019

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