Semidefinite Programming Instances Research Articles

Random projections of linear and semidefinite problems with linear inequalities

The Johnson-Lindenstrauss Lemma states that there exist linear maps that project a set of points of a vector space into a space of much lower dimension such that the Euclidean distance between these points is approximately preserved. This lemma has been previously used to prove that we can randomly aggregate, using a random matrix whose entries are drawn from a zero-mean sub-Gaussian distribution, the equality constraints of an Linear Program (LP) while preserving approximately the value of the problem. In this paper we extend these results to the inequality case by introducing a random matrix with non-negative entries that allows to randomly aggregate inequality constraints of an LP while preserving approximately the value of the problem. By duality, the approach we propose allows to reduce both the number of constraints and the dimension of the problem while obtaining some theoretical guarantees on the optimal value. We will also show an extension of our results to certain semidefinite programming instances.

Scalable Semidefinite Programming

Semidefinite programming (SDP) is a powerful framework from convex optimization that has striking potential for data science applications. This paper develops a provably correct randomized algorithm for solving large, weakly constrained SDP problems by economizing on the storage and arithmetic costs. Numerical evidence shows that the method is effective for a range of applications, including relaxations of MaxCut, abstract phase retrieval, and quadratic assignment. Running on a laptop equivalent, the algorithm can handle SDP instances where the matrix variable has over $10^{14}$ entries.

Sparse PSD approximation of the PSD cone

While semidefinite programming (SDP) problems are polynomially solvable in theory, it is often difficult to solve large SDP instances in practice. One technique to address this issue is to relax the global positive-semidefiniteness (PSD) constraint and only enforce PSD-ness on smaller $$k\times k$$ principal submatrices—we call this the sparse SDP relaxation. Surprisingly, it has been observed empirically that in some cases this approach appears to produce bounds that are close to the optimal objective function value of the original SDP. In this paper, we formally attempt to compare the strength of the sparse SDP relaxation vis-a-vis the original SDP from a theoretical perspective. In order to simplify the question, we arrive at a data independent version of it, where we compare the sizes of SDP cone and the $$k$$ -PSD closure, which is the cone of matrices where PSD-ness is enforced on all $$k\times k$$ principal submatrices. In particular, we investigate the question of how far a matrix of unit Frobenius norm in the $$k$$ -PSD closure can be from the SDP cone. We provide two incomparable upper bounds on this farthest distance as a function of k and n. We also provide matching lower bounds, which show that the upper bounds are tight within a constant in different regimes of k and n. Other than linear algebra techniques, we extensively use probabilistic methods to arrive at these bounds. One of the lower bounds is obtained by observing a connection between matrices in the $$k$$ -PSD closure and matrices satisfying the restricted isometry property.

Nonlinear Dimensionality Reduction by Local Orthogonality Preserving Alignment

We present a new manifold learning algorithm called Local Orthogonality Preserving Alignment (LOPA). Our algorithm is inspired by the Local Tangent Space Alignment (LTSA) method that aims to align multiple local neighborhoods into a global coordinate system using affine transformations. However, LTSA often fails to preserve original geometric quantities such as distances and angles. Although an iterative alignment procedure for preserving orthogonality was suggested by the authors of LTSA, neither the corresponding initialization nor the experiments were given. Procrustes Subspaces Alignment (PSA) implements the orthogonality preserving idea by estimating each rotation transformation separately with simulated annealing. However, the optimization in PSA is complicated and multiple separated local rotations may produce globally contradictive results. To address these difficulties, we first use the pseudo-inverse trick of LTSA to represent each local orthogonal transformation with the unified global coordinates. Second the orthogonality constraints are relaxed to be an instance of semi-definite programming (SDP). Finally a two-step iterative procedure is employed to further reduce the errors in orthogonal constraints. Extensive experiments show that LOPA can faithfully preserve distances, angles, inner products, and neighborhoods of the original datasets. In comparison, the embedding performance of LOPA is better than that of PSA and comparable to that of state-of-the-art algorithms like MVU and MVE, while the runtime of LOPA is significantly faster than that of PSA, MVU and MVE.

Numerical block diagonalization of matrix *-algebras with application to semidefinite programming

Semidefinite programming (SDP) is one of the most active areas in mathematical programming, due to varied applications and the availability of interior point algorithms. In this paper we propose a new pre-processing technique for SDP instances that exhibit algebraic symmetry. We present computational results to show that the solution times of certain SDP instances may be greatly reduced via the new approach.

A new library of structured semidefinite programming instances

Solvers for semidefinite programming (SDP) have evolved a great deal in the last decade, and their development continues. In order to further support and encourage this development, we present a new test set of SDP instances. These instances arise from recent applications of SDP in the coding theory, computational geometry, graph theory and structural design. Most of these instances have a special structure that may be exploited during a pre-processing phase, e.g. algebraic symmetry, or low rank in the constraint matrices.

Primal-dual first-order methods with $${\mathcal {O}(1/\epsilon)}$$ iteration-complexity for cone programming

In this paper we consider the general cone programming problem, and propose primal-dual convex (smooth and/or nonsmooth) minimization reformulations for it. We then discuss first-order methods suitable for solving these reformulations, namely, Nesterov’s optimal method (Nesterov in Doklady AN SSSR 269:543–547, 1983; Math Program 103:127–152, 2005), Nesterov’s smooth approximation scheme (Nesterov in Math Program 103:127–152, 2005), and Nemirovski’s prox-method (Nemirovski in SIAM J Opt 15:229–251, 2005), and propose a variant of Nesterov’s optimal method which has outperformed the latter one in our computational experiments. We also derive iteration-complexity bounds for these first-order methods applied to the proposed primal-dual reformulations of the cone programming problem. The performance of these methods is then compared using a set of randomly generated linear programming and semidefinite programming instances. We also compare the approach based on the variant of Nesterov’s optimal method with the low-rank method proposed by Burer and Monteiro (Math Program Ser B 95:329–357, 2003; Math Program 103:427–444, 2005) for solving a set of randomly generated SDP instances.

A Semidefinite Programming Approach to Side Chain Positioning with New Rounding Strategies

Side chain positioning is an important subproblem of the general protein-structure-prediction problem, with applications in homology modeling and protein design. The side chain positioning problem takes a fixed backbone and a protein sequence and predicts the lowest energy conformation of the protein's side chains on this backbone. We study a widely used version of the problem where the side chain positioning procedure uses a rotamer library and an energy function that can be expressed as a sum of pairwise terms. The problem is NP-complete; we show that it cannot even be approximated. In practice, it is tackled by a variety of general search techniques and specialized heuristics. Here, we propose formulating the side chain positioning problem as an instance of semidefinite programming (SDP). We introduce two novel rounding schemes and provide theoretical justification for their effectiveness under various conditions. We apply our method on simulated data, as well as on the computational redesign of two naturally occurring protein cores, and show that our SDP approach generally finds good solutions. Beyond the context of side chain positioning, our very general rounding schemes should be applicable elsewhere.