Affine scaling algorithm fails for semidefinite programming

In this paper, we introduce an affine scaling algorithm for semidefinite programming (SDP), and give an example of a semidefinite program such that the affine scaling algorithm converges to a non-optimal point. Both our program and its dual have interior feasible solutions and unique optimal solutions which satisfy strict complementarity, and they are non-degenerate everywhere.     

Hopfield neural networks in large-scale linear optimization problems

Hopfield neural networks and affine scaling interior point methods are combined in a hybrid approach for solving linear optimization problems. The Hopfield networks perform the early stages of the optimization procedures, providing enhanced feasible starting points for both primal and dual affine scaling interior point methods, thus facilitating the steps towards optimality. The hybrid approach is applied to a set of real world linear programming problems. The results show the potential of the integrated approach, indicating that the combination of neural networks and affine scaling interior point methods can be a good alternative to obtain solutions for large-scale optimization problems.     

A polynomial primal-dual affine scaling algorithm for symmetric conic optimization

The primal-dual Dikin-type affine scaling method was originally proposed for linear optimization and then extended to semidefinite optimization. Here, the method is generalized to symmetric conic optimization using the notion of Euclidean Jordan algebras. The method starts with an interior feasible but not necessarily centered primal-dual solution, and it features both centering and reducing the duality gap simultaneously. The method’s iteration complexity bound is analogous to the semidefinite optimization case. Numerical experiments demonstrate that the method is viable and robust when compared to SeDuMi, MOSEK and SDPT3.     

Perfect duality in semi–infinite and semidefinite programming

This paper develops new relationships between the recently constructed semidefinite programming perfect duality and the earlier perfect duality achieved for linear semi–infinite programming. Applying the linear semi–infinite perfect duality construction to semidefinite programming yields a larger feasible set than the one obtained by the newly constructed semidefinite programming regularized perfect dual. Received: November 10, 1997 / Accepted: March 5, 1999?Published online May 3, 2001     

Affine scaling interior Levenberg–Marquardt method for bound-constrained semismooth equations under local error bound conditions

We develop and analyze a new affine scaling Levenberg–Marquardt method with nonmonotonic interior backtracking line search technique for solving bound-constrained semismooth equations under local error bound conditions. The affine scaling Levenberg–Marquardt equation is based on a minimization of the squared Euclidean norm of linear model adding a quadratic affine scaling matrix to find a solution that belongs to the bounded constraints on variable. The global convergence results are developed in a very general setting of computing trial directions by a semismooth Levenberg–Marquardt method where a backtracking line search technique projects trial steps onto the feasible interior set. We establish that close to the solution set the affine scaling interior Levenberg–Marquardt algorithm is shown to converge locally Q-superlinearly depending on the quality of the semismooth and Levenberg–Marquardt parameter under an error bound assumption that is much weaker than the standard nonsingularity condition, that is, BD-regular condition under nonsmooth case. A nonmonotonic criterion should bring about speed up the convergence progress in the contours of objective function with large curvature.     

A Study of the Dual Affine Scaling Continuous Trajectories for Linear Programming

In this paper, a continuous method approach is adopted to study both the entire process and the limiting behaviors of the dual affine scaling continuous trajectories for linear programming. Our approach is different from the method presented by Adler and Monteiro (Adler and Monteiro, Math. Program. 50:29–51, 1991). Many new theoretical results on the trajectories resulting from the dual affine scaling continuous method model for linear programming are obtained.     

Regularization techniques in interior point methods

Regularization techniques, i.e., modifications on the diagonal elements of the scaling matrix, are considered to be important methods in interior point implementations. So far, regularization in interior point methods has been described for linear programming problems, in which case the scaling matrix is diagonal. It was shown that by regularization, free variables can be handled in a numerically stable way by avoiding column splitting that makes the set of optimal solutions unbounded. Regularization also proved to be efficient for increasing the numerical stability of the computations during the solutions of ill-posed linear programming problems. In this paper, we study the factorization of the augmented system arising in interior point methods. In our investigation, we generalize the methods developed and used in linear programming to the case when the scaling matrix is positive semidefinite, but not diagonal. We show that regularization techniques may be applied beyond the linear programming case.     

Partial Lagrangian relaxation for general quadratic programming

We give a complete characterization of constant quadratic functions over an affine variety. This result is used to convexify the objective function of a general quadratic programming problem (Pb) which contains linear equality constraints. Thanks to this convexification, we show that one can express as a semidefinite program the dual of the partial Lagrangian relaxation of (Pb) where the linear constraints are not relaxed. We apply these results by comparing two semidefinite relaxations made from two sets of null quadratic functions over an affine variety.      

Determination of optimal vertices from feasible solutions in unimodular linear programming

In this paper we consider a linear programming problem with the underlying matrix unimodular, and the other data integer. Given arbitrary near optimum feasible solutions to the primal and the dual problems, we obtain conditions under which statements can be made about the value of certain variables in optimal vertices. Such results have applications to the problem of determining the stopping criterion in interior point methods like the primal—dual affine scaling method and the path following methods for linear programming.This author's research is partially supported by NSF grant DDM-8921835 and Airforce Grant AFSOR-88-0088.     

一类非单调线性互补问题的高阶Dikin型仿射尺度算法

对于一类非单调线性互补问题提出了一个新算法：高阶Dikin型仿射尺度算法，算法的每步迭代．基于线性规划Dikin原始-对偶算法思想来求解一个线性方程组得到迭代方向，再适当选取步长，得到了算法的多项式复杂性。     

一类非单调线性互补问题的高阶仿射尺度算法

In this paper, a new interior point algorithm-high-order atone scaling for a class of nonmonotonic linear complementary problems is developed. On the basis of idea of primal-dual affine scaling method for linear programming , the search direction of our algorithm is obtained by a linear system of equation at each step . We show that, by appropriately choosing the step size, the algorithm has polynomial time complexity. We also give the numberical results of the algorithm for two test problems.     

On affine scaling and semi-infinite programming

We consider an extension of the affine scaling algorithm for linear programming problems with free variables to problems having infinitely many constraints, and explore the relationship between this algorithm and the finite affine scaling method applied to a discretization of the problem.This material is based on research supported by Air Force Office of Scientific Research Grant AFOSR 89-0410.     

An Algorithm for Approximate Multiparametric Convex Programming

For multiparametric convex nonlinear programming problems we propose a recursive algorithm for approximating, within a given suboptimality tolerance, the value function and an optimizer as functions of the parameters. The approximate solution is expressed as a piecewise affine function over a simplicial partition of a subset of the feasible parameters, and it is organized over a tree structure for efficiency of evaluation. Adaptations of the algorithm to deal with multiparametric semidefinite programming and multiparametric geometric programming are provided and exemplified. The approach is relevant for real-time implementation of several optimization-based feedback control strategies.     

On semidefinite representations of non-closed sets

Spectrahedra are sets defined by linear matrix inequalities. Projections of spectrahedra are called semidefinitely representable sets. Both kinds of sets are of practical use in polynomial optimization, since they occur as feasible sets in semidefinite programming. There are several recent results on the question which sets are semidefinitely representable. So far, all results focus on the case of closed sets.In this work we develop a new method to prove semidefinite representability of sets which are not closed. For example, the interior of a semidefinitely representable set is shown to be semidefinitely representable. More general, one can remove faces of a semidefinitely representable set and preserve semidefinite representability, as long as the faces are parametrized in a suitable way.     

A feasible direction method for the semidefinite program with box constraints

In this paper, we try to solve the semidefinite program with box constraints. Since the traditional projection method for constrained optimization with box constraints is not suitable to the semidefinite constraints, we present a new algorithm based on the feasible direction method. In the paper, we discuss two cases: the objective function in semidefinite programming is linear and nonlinear, respectively. We establish the convergence of our algorithm, and report the numerical experiments which show the effectiveness of the algorithm.     

Exterior Minimum-Penalty Path-Following Methods in Semidefinite Programming

A semidefinite programming problem is a mathematical program in which the objective function is linear in the unknowns and the constraint set is defined by a linear matrix inequality. This problem is nonlinear, nondifferentiable but convex. It covers several standard problems, such as linear and quadratic programming, and has many applications in engineering. In this paper, we introduce the notion of minimal-penalty path, which is defined as the collection of minimizers for a family of convex optimization problems, and propose two methods for solving the problem by following the minimal-penalty path from the exterior of the feasible set. Our first method, which is also a constraint-aggregation method, achieves the solution by solving a sequence of linear programs, but exhibits a zigzagging behavior around the minimal-penalty path. Our second method eliminates the above drawback by following efficiently the minimum-penalty path through the centering and ascending steps. The global convergence of the methods is proved and their performance is illustrated by means of an example.     

An exact algorithm for graph partitioning

An exact algorithm is presented for solving edge weighted graph partitioning problems. The algorithm is based on a branch and bound method applied to a continuous quadratic programming formulation of the problem. Lower bounds are obtained by decomposing the objective function into convex and concave parts and replacing the concave part by an affine underestimate. It is shown that the best affine underestimate can be expressed in terms of the center and the radius of the smallest sphere containing the feasible set. The concave term is obtained either by a constant diagonal shift associated with the smallest eigenvalue of the objective function Hessian, or by a diagonal shift obtained by solving a semidefinite programming problem. Numerical results show that the proposed algorithm is competitive with state-of-the-art graph partitioning codes.     

Semidefinite resolution and exactness of semidefinite relaxations for satisfiability

This paper explores new connections between the satisfiability problem and semidefinite programming. We show how the process of resolution in satisfiability is equivalent to a linear transformation between the feasible sets of the relevant semidefinite programming problems. We call this transformation semidefinite programming resolution, and we demonstrate the potential of this novel concept by using it to obtain a direct proof of the exactness of the semidefinite formulation of satisfiability without applying Lasserre’s general theory for semidefinite relaxations of 0/1 problems. In particular, our proof explicitly shows how the exactness of the semidefinite formulation for any satisfiability formula can be interpreted as the implicit application of a finite sequence of resolution steps to verify whether the empty clause can be derived from the given formula.     

A primal projective interior point method for linear programming

We present a new projective interior point method for linear programming with unknown optimal value. This algorithm requires only that an interior feasible point be provided. It generates a strictly decreasing sequence of objective values and within polynomial time, either determines an optimal solution, or proves that the problem is unbounded. We also analyze the asymptotic convergence rate of our method and discuss its relationship to other polynomial time projective interior point methods and the affine scaling method.This research was supported in part by NSF Grants DMS-85-12277 and CDR-84-21402 and ONR Contract N00014-87-K0214.     

Logarithmic barrier decomposition-based interior point methods for stochastic symmetric programming

We introduce and study two-stage stochastic symmetric programs with recourse to handle uncertainty in data defining (deterministic) symmetric programs in which a linear function is minimized over the intersection of an affine set and a symmetric cone. We present a Benders’ decomposition-based interior point algorithm for solving these problems and prove its polynomial complexity. Our convergence analysis proved by showing that the log barrier associated with the recourse function of stochastic symmetric programs behaves a strongly self-concordant barrier and forms a self-concordant family on the first stage solutions. Since our analysis applies to all symmetric cones, this algorithm extends Zhao’s results [G. Zhao, A log barrier method with Benders’ decomposition for solving two-stage stochastic linear programs, Math. Program. Ser. A 90 (2001) 507–536] for two-stage stochastic linear programs, and Mehrotra and Özevin’s results [S. Mehrotra, M.G. Özevin, Decomposition-based interior point methods for two-stage stochastic semidefinite programming, SIAM J. Optim. 18 (1) (2007) 206–222] for two-stage stochastic semidefinite programs.