Convergence of the Lasserre hierarchy of SDP relaxations for convex polynomial programs without compactness

Abstract

We show that the Lasserre hierarchy of semidefinite programming (SDP) relaxations with a slightly extended quadratic module for convex polynomial optimization problems always converges asymptotically even in the case of non-compact semi-algebraic feasible sets. We then prove that the positive definiteness of the Hessian of the associated Lagrangian at a saddle-point guarantees the finite convergence of the hierarchy. We do this by establishing a new sum-of-squares polynomial representation of convex polynomials over convex semi-algebraic sets.