Linear Conic Programming: A New Modeling Tool for Analytical Decision Making Professor Shu-Cherng Fang Department of Industrial and Systems Engineering Graduate Program in Operations Research North Carolina State University Raleigh, North Carolina, USA July 2, 2013 Summer Workshop in Taiwan 2013 Summer Workshop Taiwan Linear Conic Programming 1 / 219
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Linear Conic Programming:A New Modeling Tool for Analytical Decision
Making
Professor Shu-Cherng Fang
Department of Industrial and Systems EngineeringGraduate Program in Operations Research
North Carolina State UniversityRaleigh, North Carolina, USA
July 2, 2013
Summer Workshop in Taiwan
2013 Summer Workshop Taiwan Linear Conic Programming 1 / 219
Topics
• Introduction to Linear Conic Programming
• General Models
• Essential Concepts
• Basic Theory
• Solution Methods
• Recent Research Directions
2013 Summer Workshop Taiwan Linear Conic Programming 2 / 219
• Bertsekas D.P., Nedic A. and Ozdaglar A.E., Convex Analysis andOptimization, Athena Scientific: Belmont, MA USA 2003.
• Boyd S. and Vandenberghe L., Convex Optimization, Cambridge UniversityPress: Cambridge, UK 2004
• Fang S.-C. and Puthenpura S., Linear Optimization and Extensions: Theoryand Algorithms, Prentice-Hall Inc.: Englewood Cliffs, NJ USA 1993.
• Nemirovski A., Lectures on Modern Convex Optimization: Analysis,Algorithms, and Engineering Applications, Society for Industrial and AppliedMathematics: Philadelphia, PA USA 2001.
• Renegar J., A Mathematical View of Interior-point Methods in ConvexOptimization, Society for Industrial and Applied Mathematics: Philadelphia,PA USA 2001.
2013 Summer Workshop Taiwan Linear Conic Programming 3 / 219
References II
• Wolkowicz H., Saigal R. and Vandenberghe L. (edited), Handbook ofSemidefinite Programming: Theory, Algorithms, and Applications, KluwerAcademic Publisher: Norwell, MA USA 2000.
• Fast computing algorithms• Polynomial time complexity• Large scale problems• Excel LP solver
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Limitations of Linear Programming Model
• Nature involves nonlinearity and nonconvexity.
• Linearity only provides the first order information forapproximation.
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Extensions of Linear Programming Model
• Semidefinite Programming (SDP)
• Second Order Cone Programming (SOCP)
• Copositive Programming (CoP)
• Completely Postive Programming (CPP)
Linear Conic Programming (LCoP)
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What is Linear Conic Programming?
Min cTxs.t. (ai)Tx = bi, i = 1, . . . ,m
x ≥ 0(x ∈ Rn)
(LP)
where ai = (ai1, ai2, . . . , a
in)T ∈ Rn, bi ∈ R and c ∈ Rn.
Min C •Xs.t. Ai •X = bi, i = 1, . . . ,m
X ∈ K(LCoP)
where K is a closed, convex cone; bi ∈ R and C, Ai are in the space ofinterests with “•” being a linear operator.
2013 Summer Workshop Taiwan Linear Conic Programming 15 / 219
Basic Definitions
• Let En be an n-dimensional Euclidean space and K is a subset ofEn. If “λx ∈ K,∀x ∈ K and λ ≥ 0,” then K is a cone in En.
• Cone K is convex, if the line segment formed by any two points of Kis contained in K.
• Cone K is closed, if all accumulation points of K are contained in K.
Figure : A closed, convex cone
• The dual cone K∗ of cone K is defined by
K∗ = {y ∈ En|〈x, y〉 ≥ 0,∀x ∈ K}.
2013 Summer Workshop Taiwan Linear Conic Programming 16 / 219
Linear Conic Programming
Min C •Xs.t. Ai •X = bi, i = 1, . . . ,m
X ∈ K(LCoP)
where K is a closed, convex cone; bi ∈ R and C, Ai are in the space ofinterests (usually, an n-dimensional Euclidean space En) with “•” being alinear operator.
By using the concept of dual cone, the dual problem of (LCoP) has thefollowing form:
Max bT ys.t.
∑mi=1 yiAi + S = C
S ∈ K∗(LCoD)
where y ∈ Rm and K∗ is the dual cone of K.
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Power of Linear Conic Programming
• Nonlinearity and nonconvexity may be absorbed by thecone.
• Shares a very similar structure as Linear Programming.
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Exampling Model
Torricelli Point ProblemThe problem was proposed by Pierre de Fermat in 17th century. Giventhree points a, b and c on the R2 plane, find the point in the plane thatminimizes the total distance to the three given points. The solutionmethod was found by Torricelli, hence know as Torricelli point.
Figure : Torricelli Point Problem
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Torricelli Point Problem
Hint
t1 ≥ ‖x− a‖2 ⇔[x− at1
]∈ L3,
t2 ≥ ‖x− b‖2 ⇔[x− bt2
]∈ L3,
t3 ≥ ‖x− c‖2 ⇔[x− ct3
]∈ L3.
SOCP Formulation
Min t1 + t2 + t3
s.t.
[x− at1
]∈ L3,
[x− bt2
]∈ L3,
[x− ct3
]∈ L3
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Exampling Model
Weber ProblemIn 1909, the German economist Alfred Weber introduced the problem offinding a best location for the warehouse of a company, such that the totaltransportation cost to serve the customers is minimum. Suppose thatthere are m customers needing to be served. Let the location ofcustomer i be ai ∈ R2, i = 1, . . . ,m. Suppose that customer may havedifferent demands, to be translated as weight ωi for customer i,i = 1, . . . ,m. Denote the desired location of the warehouse to be x.
SOCP Formulation
Minm∑i=1
ωiti
s.t.
[x− aiti
]∈ L3, i = 1, . . . ,m.
2013 Summer Workshop Taiwan Linear Conic Programming 38 / 219
Exampling Model
Correlation Matrix Verification
Given three random variables A, B and C with the correlationcoefficients ρAB , ρAC and ρBC , respectively. Suppose we know fromsome prior knowledge (e.g., empirical results of experiments) that−0.2 ≤ ρAB ≤ −0.1 and 0.4 ≤ ρBC ≤ 0.5. What are the smallest andlargest values that ρAC can take?
HintThe correlation coefficients are valid if and only if 1 ρAB ρAC
ρAB 1 ρBCρAC ρBC 1
� 0
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Correlation Matrix Verification
SDP formulationThe above problem can be formulated as following problem:
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Exampling Model
Robust Portfolio DesignAssume there are n investment options in the market having an uncertainreward r with E[r] = r and V ar[r] = Σ. Find a robust portfolio thatoptimizes the worst possible reward.
HintWe may consider the rewards r are in an ellipsoid
E = {r = r + κΣ1/2u : ‖u‖2 ≤ 1}.
where r is the expected return, Σ is the empirical covariance matrix,0 < κ < 1 is a given constant.robust counterpart: (optimize the worst case)
maxω
minr∈E{rTω : eTω = 1, ω ≥ 0}.
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Robust Portfolio Design
SOCP FormulationNotice that
minr∈E
rTω
= min‖u‖2≤1
{rTω + κuTΣ1/2ω}
= rTω − κ‖Σ1/2ω‖2
rˆT ω − κ‖Σ1/2ω‖2 ≥ t ⇐⇒[κΣ1/2ωrTω − t
]∈ Ln+1
Robust portfolio problem becomes an SOCP
Max rTω − κ‖Σ1/2ω‖2s.t. eTω = 1, ω ≥ 0
⇐⇒
Max ts.t. eTω = 1, ω ≥ 0[
κΣ1/2ωrTω − t
]∈ Ln+1
2013 Summer Workshop Taiwan Linear Conic Programming 42 / 219
Exampling Model
Stochastic Queue Location Problem
Suppose there is a deliverer who serves m potential customers in theregion. Customers’ requests by call are random. Once a customer call isreceived, then the deliverer is dispatched in the First Come First Servemanner. In case the deliverer is out, the customer will have to wait. Thegoal is to find a good location for the deliverer to station in order tominimize the expected waiting time of service.
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Stochastic Queue Location Problem
Hint
Assume one delivery each time and the probability of customer i to call ispi, i = 1, . . . ,m. The demand/request process follows the Poissondistribution with overall arrival rate λ. The problem can be treated asM/G/1 queue in Queueing theory such that the expected service time,including waiting time and traveling, can be explicitly computed. To thisend, denote the speed of the deliverer by v, the location of customer i byai and the location of the deliverer’s station by x.
ReferenceMamnoon Jamil, Alok Baveja, Rajan Batta: The stochastic queue centerproblem. Computers and Operations Research. 26, 1999, pp.1423-1436
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Stochastic Queue Location Problem
Problem formulation
According to queueing theory, the expected waiting time for customer i isgiven by
ωi(x) =
(2λ/v2)m∑i=1
pi‖x− ai‖22
1− (2λ/v)m∑i=1
pi‖x− ai‖2+
1
v‖x− ai‖2,
where the first term is the expected waiting time for the deliverer to befree and the second the term is the waiting time for the deliverer to travelafter his departure at the station.
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Stochastic Queue Location Problem
Note that
‖x− ai‖2 ≤ t0i ⇐⇒[x− ait0i
]∈ L3
‖x− ai‖22/s ≤ ti, s > 0 ⇐⇒∥∥∥∥[x− aiti−s
2
]∥∥∥∥2
≤ ti+s2
We can formulate this problem as an SOCP:
Min (2mλ/v2)m∑i=1
piti + (1/v)m∑i=1
t0i
s.t. s = 1− (2λ/v)m∑i=1
pit0i ,[
x− ait0i
]∈ L3,
x− aiti−s2
ti+s2
∈ L4, i = 1, ...,m.
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Exampling Model
Convex QCQP =⇒ SOCPThe popularity of SOCP is also due to the fact that it is a generalized formof convex QCQP (Quadratically Constrained Quadratic Programming).Specifically, consider the following QCQP:
Min xTA0x+ 2bT0 x+ c0s.t. xTAix+ 2bTi x+ ci ≤ 0, i = 1, . . . ,m
where A0 � 0, Ai � 0 for i = 1, . . . ,m.Note that
t ≥n∑i=1
x2i ⇐⇒
∣∣∣∣∣∣∣∣∣
∣∣∣∣∣∣∣∣∣
x1
...xn
(t− 1)/2
∣∣∣∣∣∣∣∣∣
∣∣∣∣∣∣∣∣∣2
≤ t+ 1
2⇐⇒
x1
...xn
(t− 1)/2(t+ 1)/2
∈ Ln+2
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Convex QCQP =⇒ SOCP
Therefore, for each i = 0, . . . ,m
xTAix+ 2bTi x+ ci ≤ ui ⇐⇒
A1/2i x
−bTi x− ci/2− 1/2 + ui/2−bTi x− ci/2 + 1/2 + ui/2
∈ Ln+2
Convex QCQP can be equivalently written as
Min u
s.t.
A1/20 x
−bT0 x− c0/2− 1/2 + u/2−bT0 x− c0/2 + 1/2 + u/2
∈ Ln+2
A1/2i x
−bTi x− ci/2− 1/2−bTi x− ci/2 + 1/2
∈ Ln+2, i = 1, . . . ,m.
2013 Summer Workshop Taiwan Linear Conic Programming 48 / 219
General QCQP
Define
Dn+1 =
{U ∈ Sn+1
∣∣∣∣ U • [ 1 xT
x xxT
]≥ 0,∀x ∈ feas(QCQP)
}D∗n+1 = cl cone
{X =
[1x
] [1x
]T ∣∣∣∣ x ∈ feas(QCQP)
}
General QCQP becomes LCoP:
Min
[c0 bT0b0 A0
]• Y
s.t. Y11 = 1,Y ∈ D∗n+1.
(LCoP)
2013 Summer Workshop Taiwan Linear Conic Programming 49 / 219
Exampling Model
MAX CUT ProblemGiven a graph G = (V,E,W ), find an optimal partition of the node set intotwo subsets V1 and V2 such that the weighted cut is maximized.
max∑ni=1
∑nj=1 wij
1−xixj
2
s.t. xi ∈ {−1, 1}, i = 1, . . . , n(MAX − CUT )
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MAX CUT Problem
Hint
• xi ∈ {−1, 1} ⇐⇒ x2i = 1, Max-cut is a QCQP.
• Sn+1+ is contained in Dn+1.
TheoremIf wij ≥ 0, ∀i 6= j. Then the expected value of randomized algorithm is atleast α ≈ 0.878 times the value of the maximum cut.
ReferenceMichel X. Goemans, David P. Williamson: Improved approximationalgorithms for maximum cut and satisfiability problems using semidefiniteprogramming. Journal of ACM, 42(6), 1995, pp.1116-1145
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Concluding Recommendation
Update your toolbox withLinear Conic Programming models!
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III. Essential Concepts
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Basic Knowledge
Content• Vectors, Matrices, and Spaces• Inner Products and Norms• Open, Closed, Interior, and Boundary Sets• Functions• Linear Systems• Convex Sets and Functions
Key Concepts• Relative interior of a given set• Conjugate function/transform of a given function• Dual cone of a given cone
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Vectors, Matrices and Spaces
• Real numbers: R, R+, R++
• Euclidean space: Rn
• First orthant: Rn+• n-dimensional (column) vector:
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Convex Functions and Properties
−3 −2 2 3
−6
−4
−2
1
2
4
x = −2y + 1
x = −4y + 4x = 4y + 4
x = 2y + 1
y
g(y) = −y2
Figure : (y, g(y) = −y2)→ (m, b(m) = m2
4) : x = my + b
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Convex Functions and Properties
y
x
Figure : (m, b(m) = m2
4) : x = my + b↔ (y, g(y) = −y2)
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Convex Functions and Properties
• Conjugate (transform) of f : X ⊂ Rn → R:
h(y) = supx∈X{y • x− f(x)}
with h being defined on Y = {y ∈ Rn|h(y) < +∞}.
Lemmah : Y is a closed, convex function.
Lemma (Fenchel’s inequality)Given f : X and its conjugate h : Y, then
x • y ≤ f(x) + h(y), ∀ x ∈ X and y ∈ Y.
Moreover,x • y = f(x) + h(y) ⇐⇒ y ∈ ∂f(x)
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Conjugate Functions and Properties
Let f : X ⊂ Rn → R be a function with its conjugate transform h : Y.• For α ∈ R, the conjugate of f + α is h− α.• For a ∈ Rn, the conjugate of f(x) = f(x) + x • a on X ish(y) = h(y − a), ∀ y ∈ Y.
• For a ∈ Rn, the conjugate of f(x) = f(x− a) on X ish(y) = h(y) + y • a, ∀ y ∈ Y.
• For λ > 0, the conjugate of f1(x) = λf(x) on X is h1(y) = λh( yλ ),∀ y ∈ λY.
• For λ > 0, the conjugate of f2(x) = f(xλ ) on λX is h2(y) = h(λy),∀ y ∈ Y/λ.
TheoremAssume that f1 : X and f2 : X have the same convex hull function. Thenthey have the same conjugate transform h : Y when it exists.
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Conjugate Functions and Properties
We know the dual problem of LD is LP again. When will the conjugatetransform of h : Y become f : X?
Proper functionA convex function f is proper if its epigraph is non-empty and contains novertical lines, i.e. if f(x) < +∞ for at least one x and f(x) > −∞ forevery x.
TheoremLet f : X ⊂ Rn → R be a proper closed convex function with conjugatetransform h : Y. Then the conjugate transform of h : Y is f : X . Moreover,y ∈ ∂f(x) if and only if x ∈ ∂h(y). In this case,
x • y = f(x) + h(y) ⇐⇒ y ∈ ∂f(x) or x ∈ ∂h(y)
2013 Summer Workshop Taiwan Linear Conic Programming 78 / 219
Convex Cone Structure
Content
• Convex Cones and Properties
• Partial Order and Ordered Vector Space
• Some Examples
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Convex Cones and Properties
• A set K ⊂ Rn is a cone if
∀x ∈ K and λ ≥ 0⇒ λx ∈ K;
• A cone K ⊂ Rn is pointed if
K ∩ −K = {0};
• A cone K ⊂ Rn is solid ifintK 6= ∅;
• A cone K ⊂ Rn is proper if it is pointed, solid, closed and convex.
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Convex Cones and Properties
• Conic combination: a linear combination∑mi=1 λix
i with λi ≥ 0,xi ∈ Rn for all i = 1, . . . ,m.
• The conic hull of a set X ⊂ Rn is
Cone(X ) = {x ∈ Rn|x =∑mi=1 λix
i, for some m ∈ N+
and xi ∈ X , λi ≥ 0, i = 1, . . . ,m.}
• The dual cone K∗ ⊂ Rn of a cone K ⊂ Rn is
K∗ = {y ∈ Rn|y • x ≥ 0,∀ x ∈ K}
K∗ is a closed, convex cone.• If K∗ = K, then K is a self-dual cone.
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Convex Cones and Properties
K, K1, K2 are convex cones in Rn.• (K∗)∗ = cl(K)
• K1 ∩K2, K1 ∪K2, K1 +K2 are all cones• (K1 +K2)∗ = K∗1 ∩K∗2• K1 and K2 are both closed⇒ K1 +K2 is closed.• ri(K1 +K2) = ri(K1) + ri(K2)
• The supporting hyperplane of K always contains the origin• If K is solid (pointed), then K∗ is pointed (solid).
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Partial Order and Ordered Vector Space
• A relation “≥” is a partial order on a set X if it has:
1. reflexivity: a ≥ a for all a ∈ X ;
2. antisymmetry: a ≥ b and b ≥ a imply a = b;
3. transitivity: a ≥ b and b ≥ c imply a ≥ c.
• An ordered vector space X is equipped with a partial order “≥” whichalso satisfies:
• homogeneity: a ≥ b and λ ∈ R+ imply λa ≥ λb;
• additivity: a ≥ b and c ≥ d imply a+ c ≥ b+ d.
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Partial Order and Ordered Vector Space
• A proper cone K in a vector space can induce a partial order “≥K”
a ≥K b⇔ a− b ∈ K
which leads to an ordered vector space.• Similarly, we can define “≤K”
a ≤K b⇔ b ≥K a,
• Closeness of K allows passing limits in ≥K :
ai ≥K bi, ai → a, bi → b as i→∞ ⇒ a ≥K b.
• Solidness of K allows us to define a strict inequality:
a >K b⇔ a− b ∈ intK,
anda <K b⇔ b >K a.
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Examples: Rn+
• Rn+ is a proper cone.
• Inner product: x • y = xT y
• (Rn+)∗ = Rn+ (self-dual)
• Partial order: “≥Rn+
”
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Examples: Ln
• Ln / SOC(n− 1)Lorentz cone (secondorder cone)
Ln = {x ∈ Rn|xn ≥√x2
1 + · · ·+ x2n−1}
• Ln is a proper cone.
• Inner product: x • y = xT y
• (Ln)∗ = Ln (self-dual)
• Partial order: “≥Ln ”
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Examples: Sn+
• Sn+ ⊂ Sn: the set of symmetric positive semidefinite matrices• Sn+ is a proper cone.• Inner product:
X • Y = tr(XTY )
• Another view:
vec(X) = [X11,√
2X12, X22,√
2X13,√
2X23, X33, · · · , Xnn]T ∈ Rn(n+1)
2
ThenX • Y = vec(X) • vec(Y ) =
∑i,j
XijYij
• Partial order: “≥Sn+
” or “�”
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Examples: Sn+
Lemma(Sn+)∗ = Sn+ (self-dual)
Proof.“⊆”: If X ∈ (Sn+)∗, then zTXz = X • zzT ≥ 0, for all z ∈ Rn.Therefore, X ∈ Sn+.
“⊇”: For any Y ∈ Sn+,
Y =∑ni=1 λiz
i(zi)T ,
with λi ≥ 0.If X ∈ Sn+, then
X • Y =
n∑i=1
λiX • zi(zi)T =
n∑i=1
λi(zi)TXzi ≥ 0.
Therefore, X ∈ (Sn+)∗.
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Examples: Cn and C∗n
• Copositive cone:
Cn = {X ∈ Sn|zTXz ≥ 0,∀ z ≥Rn+
0}
• Completely positive(nonnegative) cone:
C∗n =
{X ∈ Sn
∣∣∣∣∣ X =∑mi=1 z
i(zi)T , for some m ∈ N+
and zi ≥Rn+
0, i = 1, . . . ,m
}
• (Cn)∗ = C∗n and Cn = (C∗n)∗
• C∗n ⊂ Sn+ ⊂ Cn
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Examples: Cones of Nonnegative QuadraticFunctions — Homogeneous
• F ⊂ Rn
• Nonnegative homogeneous quadratic functions over F
f(x) = xTAx ≥ 0,∀x ∈ F
f ⇔ A
• HDF = {A ∈ Sn|xTAx ≥ 0,∀x ∈ F} is a closed, convex cone.(i) Closeness:
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Examples: Cones of Nonnegative QuadraticFunctions — Homogeneous
• HD∗F = cl(Cone{xxT |x ∈ F})
• (HDF )∗ = HD∗F and (HD∗F )∗ = HDF
• Examples:• F = Rn
HDF = HD∗F = Sn+• F = Rn+HDF = Cn and HD∗F = C∗n
• F = {x ∈ Rn+|eTx = 1}HDF = Cn and HD∗F = C∗n
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Examples: Cones of Nonnegative QuadraticFunctions — Nonhomogeneous
• Nonnegative quadratic functions over F ⊂ Rn
f(x) = xTAx+ 2bTx+ c ≥ 0,∀x ∈ F
f ⇔[c bT
b A
]
• DF =
{[c bT
b A
]∈ Sn+1
∣∣∣ [1x
]T [c bT
b A
] [1x
]≥ 0,∀x ∈ F
}is a closed,
convex cone.
• D∗F = cl(
Cone{[
1 xT
x xxT
] ∣∣∣x ∈ F})• (D∗F )∗ = DF and (DF )∗ = D∗F
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Examples: Cones of Nonnegative QuadraticFunctions — Nonhomogeneous
Examples:
• F = Rn
DF = D∗F = Sn+1+
• F = Rn+DF = Cn+1 and D∗F = C∗n+1
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IV. Basic Theory
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Duality Theory of Linear Conic Programming
Content
• Definition of LCoP and LCoD
• Conjugate Duality Theory
• Deriving LCoD from LCoP
• Conic Duality Theorems for LCoP
• Duality Theorems of LP, SOCP and SDP
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Linear Conic Programs
Recall that
Min C •Xs.t. Ai •X = bi, i = 1, ...,m
X ∈ K(LCoP)
where K is a closed, convex cone; bi ∈ R and C, Ai are in the space ofinterests with “•” being an appropriate linear operator.
Note that when K = Rn+ or Ln, X is a vector; when K = Sn+, X is ann× n matrix.
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Linear Conic Programs
Min c • xs.t. ai • x = bi, i = 1, . . . ,m
x ∈ K(LCoP)
where K is a closed, convex cone, such as Rn+, Ln and Sn+.
Max bT ys.t.
∑mi=1 yia
i + s = cs ∈ K∗, y ∈ Rm
(LCoD)
where K∗ is the dual cone of K.
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Conjugate Duality Theory
Conjugate Program
inf f(x)s.t. x ∈ X ∩K (CP)
where f : X ⊂ Rn → R and K is a cone in Rn.
Conjugate Dual
inf h(y)s.t. y ∈ Y ∩K∗ (CD)
where h : Y is the conjugate transform of f : X and K∗ is the dual coneof K.
• feas(*) denotes the feasible domain of problem (*)• opt(*) denotes the optimal solution set of problem (*)• v(*) denotes the optimal value of problem (*)
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Conjugate Duality Theory
Theorem (Conjugate duality theorem)If x ∈ feas(CP) and y ∈ feas(CD), then
0 ≤ x • y ≤ f(x) + h(y)
with the equality holding if and only if
x • y = 0 and y ∈ ∂f(x),
in which casex ∈ opt(CP) and y ∈ opt(CD).
ProofThe inequality follows from Fenchel’s inequality and the definition of dualcone. The rest follows easily.
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Conjugate Duality Theory
Theorem (Weak duality theorem)If both CP and CD are feasible, then
(i) v(CP) is finite and
v(CP) + h(y) ≥ 0,∀ y ∈ feas(CD);
(ii) v(CD) is finite and
v(CP) + v(CD) ≥ 0.
ProofThis theorem follows from the previous conjugate duality theorem.
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Conjugate Duality Theory
Theorem (Fenchel’s theorem/Strong duality theorem)Suppose that f : X and K are closed and convex. If v(CD) is finite andone of the following conditions holds:
(i) ri(K∗) ∩ ri(Y) 6= ∅,(ii) both K∗ and Y are polyhedrons,
thenv(CP) + v(CD) = 0 and opt(CP) 6= ∅.
Similarly, if v(CP) is finite and one of the following conditions holds:(i) ri(K) ∩ ri(X ) 6= ∅,(ii) both K and X are polyhedrons,
thenv(CP) + v(CD) = 0 and opt(CD) 6= ∅.
Proof: See Rockafellar’s book “Convex Analysis” Section 31.
2013 Summer Workshop Taiwan Linear Conic Programming 101 / 219
Deriving LCoD from LCoP
LCoP
Min c • xs.t. ai • x = bi, i = 1, . . . ,m
x ∈ K(LCoP)
Deriving LCoD in the framework of conjugate program.
2013 Summer Workshop Taiwan Linear Conic Programming 102 / 219
Deriving LCoD from LCoP
LCoP as CP
Variables: uT = (u0, u1, . . . , um) ∈ Rm+1;
f(u) = u0;
X = {u ∈ Rm+1|ui = bi, i = 1, . . . ,m};
K0 = {u ∈ Rm+1|u0 = c • x, ui = ai • x, x ∈ K, i = 1, . . . ,m}.
inf f(u)s.t. u ∈ X ∩K0
2013 Summer Workshop Taiwan Linear Conic Programming 103 / 219
Deriving LCoD from LCoP
Corresponding CD
Variables: vT = (v0, v1, . . . , vm) ∈ Rm+1;
h(v) = supu∈X{u • v − f(u)} < +∞
= supu0∈R{(v0 − 1)u0 +
m∑i=1
bivi}
Hence
h(v) =∑mi=1 bivi;
Y = {v ∈ Rm+1|v0 = 1};
2013 Summer Workshop Taiwan Linear Conic Programming 104 / 219
Deriving LCoD from LCoP
Corresponding CD
Moreover,
K∗0 = {v ∈ Rm+1|v • u ≥ 0,∀u ∈ K0}
= {v ∈ Rm+1|(v0c+∑mi=1 via
i) • x ≥ 0,∀x ∈ K}
= {v ∈ Rm+1|v0c+∑mi=1 via
i ∈ K∗}.
Hence
Y ∩K∗0 = {v ∈ Rm+1|c+
m∑i=1
viai = s, s ∈ K∗}.
inf∑mi=1 bivi
s.t. c+∑mi=1 via
i = ss ∈ K∗
2013 Summer Workshop Taiwan Linear Conic Programming 105 / 219
Deriving LCoD from LCoP
CD to LCoDDefine variables: y = −(v1, . . . , vm)T , we have
Max bT ys.t.
∑mi=1 yia
i + s = cs ∈ K∗, y ∈ Rm
(LCoD)
Therefore, the duality theorems of conjugate programs may apply toLCoP.
2013 Summer Workshop Taiwan Linear Conic Programming 106 / 219
Conic Duality Theorems for LCoP
Theorem (Weak duality theorem)If both LCoP and LCoD are feasible, then
c • x ≥ bT y,∀x ∈ feas(LCoP) and (y, s) ∈ feas(LCoD).
Theorem (Strong duality theorem)
(i) If feas(LCoP) ∩ int(K) 6= ∅ and v(LCoP) is finite, then there exists(y∗, s∗) ∈ feas(LCoD) such that bT y∗ = v(LCoP).
(ii) If feas(LCoD) ∩ int(K∗) 6= ∅ and v(LCoD) is finite, then there existsx∗ ∈ feas(LCoP) such that c • x = v(LCoD).
Proof: See Aharon Ben-Tal and Arkadi Nemirovski’s book “Lectures onmodern convex optimization” Chapter 2.
2013 Summer Workshop Taiwan Linear Conic Programming 107 / 219
Conic Duality Theorems for LCoP
TheoremIf feas(LCoP) and feas(LCoD) are both nonempty andfeas(LCoP) ∩ int(K) 6= ∅, then x∗ is optimal for LCoP if and only if thefollowing conditions hold:
(i) x∗ ∈ feas(LCoP);
(ii) There exists (y∗, s∗) ∈ feas(LCoD);
(iii) c • x∗ = bT y∗ (or equivalently x∗ • s∗ = c • x∗ − bT y∗ = 0).Proof: =⇒ follows from strong duality theorem.
⇐= is obvious.
2013 Summer Workshop Taiwan Linear Conic Programming 108 / 219
Linear Program (LP)
Min cTxs.t. Ax = b
x ≥Rn+
0(LP)
Max bT ys.t. AT y + s = c
s ≥Rn+
0(LD)
2013 Summer Workshop Taiwan Linear Conic Programming 109 / 219
Linear Program (LP)
Theorem (LP duality theorem)
(i) If either LP or LD is unbounded, then the other one is infeasible.
(ii) If either v(LP) or v(LD) is finite, then there exist x∗ ∈ feas(LP) and(y∗, s∗) ∈ feas(LD) such that v(LP) = cTx∗ = bT y∗ = v(LD).
(iii) If LP is feasible and v(LP) is finite, then x∗ is optimal for LP if andonly if the following conditions hold:
(a) Ax∗ = b, x∗ ≥Rn+
0;
(b) there exists (y∗, s∗) satisfying AT y∗ + s∗ = c, s ≥Rn+
0;
(c) (x∗)T s∗ = cTx∗ − bT y∗ = 0.
2013 Summer Workshop Taiwan Linear Conic Programming 110 / 219
Second Order Cone Program (SOCP)
Min cTxs.t. Ax = b
x ≥K 0(SOCP)
where K = Ln1 × · · · × Lnr = {x ∈ Rn|n1 + · · ·+ nr = n, (x1, ..., xn1)T ∈
Ln1 , ..., (xn−nr+1, ..., xn)T ∈ Lnr}.
Max bT ys.t. AT y + s = c
s ≥K 0(SOCD)
2013 Summer Workshop Taiwan Linear Conic Programming 111 / 219
Second Order Cone Program (SOCP)
Theorem (SOCP duality theorem)
(i) If either SOCP or SOCD is unbounded, then the other one isinfeasible.
(ii) If there exists a feasible solution x such that x ∈ int(K), andv(SOCP) is finite, then there exist (y∗, s∗) ∈ feas(SOCD) such thatv(SOCP) = bT y∗ = v(SOCD).
(iii) If there exists a feasible solution (y, s) such that s ∈ int(K), andv(SOCD) is finite, then there exist x∗ ∈ feas(SOCP) such thatv(SOCP) = cTx∗ = v(SOCD).
2013 Summer Workshop Taiwan Linear Conic Programming 112 / 219
Second Order Cone Program (SOCP)
Theorem (SOCP duality theorem)
(iv) If both SOCP and SOCD are feasible, and there exists a feasiblesolution x such that x ∈ int(K), then x∗ is optimal for SOCP if andonly if the following conditions hold:
(a) Ax∗ = b, x∗ ≥K 0;
(b) there exists (y∗, s∗) satisfying AT y∗ + s∗ = c, s∗ ≥K 0;
(c) (x∗)T s∗ = cTx∗ − bT y∗ = 0.
2013 Summer Workshop Taiwan Linear Conic Programming 113 / 219
Difference between LP and SOCP (interior feasible solution):
Min −x2
s.t. x1 − x3 = 0x ∈ L3
Max 0 · y
s.t.
0−10
− y 1
0−1
=
−y−1y
∈ L3
v(SOCP ) = 0 but SOCD is infeasible.
Figure : Feasible domain is a ray x1 = x3 in hyperplane x2 = 0. No feasibleinterior point.
2013 Summer Workshop Taiwan Linear Conic Programming 114 / 219
Second Order Cone Program (SOCP)
Finite nonzero duality gap:
Min −x2
s.t. x1 + x3 − x4 + x5 = 0x2 + x4 = 1x ∈ L3 × L2
Max y2
s.t.
y1 +s1 = 0y2 +s2 = −1
y1 +s3 = 0−y1 +y2 +s4 = 0y1 +s5 = 0
s ∈ L3 × L2
x∗ =
−101
× [11
]y∗ =
[−1−1
]s∗ =
101
× [01
]
v(SOCP) = 0 6= −1 = v(SOCD)
2013 Summer Workshop Taiwan Linear Conic Programming 115 / 219
Second Order Cone Program (SOCP)
Zero duality gap with non-attainable value:
Min x1
s.t. −x2 −x3 = 0x2 = −1
x ∈ L3
Max −y2
s.t. s1 = 1−y1 +y2 +s2 = 0−y1 +s3 = 0
s ∈ L3
x∗ =
0−11
v(SOCD) = 0 but not attainable.
2013 Summer Workshop Taiwan Linear Conic Programming 116 / 219
Semidefinite Program (SDP)
Min C •Xs.t. AX = b
X � 0(SDP)
Max bT ys.t. A∗y + S = C
S � 0(SDD)
Note:
A∗y =
m∑i=1
yiAi
2013 Summer Workshop Taiwan Linear Conic Programming 117 / 219
Semidefinite Program (SDP)
Theorem (SDP duality theorem)
(i) If either SDP or SDD is unbounded, then the other one is infeasible.
(ii) If there exists a feasible solution X such that X � 0, and v(SDP) isfinite, then there exist (y∗, S∗) ∈ feas(SDD) such thatv(SDP) = bT y∗ = v(SDD).
(iii) If there exists a feasible solution (y, S) such that S � 0, and v(SDD)is finite, then there exist X∗ ∈ feas(SDP) such thatv(SDP) = C •X∗ = v(SDD).
2013 Summer Workshop Taiwan Linear Conic Programming 118 / 219
Semidefinite Program (SDP)
Theorem (SDP duality theorem)
(iv) If both SDP and SDD are feasible, and there exists a feasiblesolution X such that X � 0, then X∗ is optimal for SDP if and only ifthe following conditions hold:
2013 Summer Workshop Taiwan Linear Conic Programming 138 / 219
Newton Method for SDP
Linear transformation: Given an invertible matrix L ∈ Rn×n, letA = (A1, . . . , Am), Ai = LTAiL for i = 1, . . . ,m.X0 = L−1X0L−T , S0 = LTS0L, C = LTCL.
A4X = 0
A∗dy + 4S = 0
4XS0 + X04S = γµ0I − X0S0
X0 +4X � 0, S0 +4S � 0
• L = (X0)1/2: X0 = I ⇒ X0 +4X � 0, ∀‖4X‖F < 1 (Primal)• L = (S0)−1/2: S0 = I ⇒ S0 +4S � 0, ∀‖4S‖F < 1 (Dual)• LLT = (S0)−1/2[(S0)1/2X0(S0)1/2]1/2(S0)−1/2:V 0 = X0 = S0 (Primal-dual)
2013 Summer Workshop Taiwan Linear Conic Programming 139 / 219
Primal-Dual Interior-Point Method for SDP
LLT = (S0)−12 [(S0)
12X0(S0)
12 ]
12 (S0)−
12 :A 0 0
0 A∗ II 0 I
4Xdy4S
=
00
γµ0(V 0)−1 − V 0
X0 +4X � 0, S0 +4S � 0
One can solveAA∗dy = −A(γµ0(V 0)−1 − V 0)
And then solve 4S and 4X:
4S = −A∗dy4X = −4S + γµ0(V 0)−1 − V 0
2013 Summer Workshop Taiwan Linear Conic Programming 140 / 219
Neighborhood of Central Path for LP
Notice that x0 = s0 = v0
• Distance to central path: u >Rn+0
δ(u) = ‖e− n
uTuΛuu‖2
• Neighborhood of the central path
N2(β) = {u|u >Rn+
0, δ(u) ≤ β}
N−∞(β) = {u|u >Rn+
0,Λuu ≥Rn+
(1− β)uTu
nI}
2013 Summer Workshop Taiwan Linear Conic Programming 141 / 219
• Short Step Algorithm• Long Step Algorithm• Predictor-Corrector Algorithm• Largest Step Algorithm
Reference: Handbook of Semidefinite Programming: Theory, Algorithms,and Applications, edited by Wolkowicz H., Saigal R. and VandenbergheL., Kluwer Academic Publisher: Norwell, MA USA 2000.
2013 Summer Workshop Taiwan Linear Conic Programming 156 / 219
VI. Recent ResearchDirections
2013 Summer Workshop Taiwan Linear Conic Programming 157 / 219
2013 Summer Workshop Taiwan Linear Conic Programming 161 / 219
Application I: Portfolio Optimization Problem
What is the best portfolio selection for your investment?
Invest instead of saving in your pocket!
2013 Summer Workshop Taiwan Linear Conic Programming 162 / 219
Application I: Portfolio Optimization Problem
The classical mean-variance(MV) model developed byMarkowitz(1952) uses mean and variance of the portfolioto measure the expected value and risk of the selection.
Let x be the vector of weights investing on n securities.
Let ξ be the random vector of expected returns ofn risky assets. µi = E(ξi), i = 1, . . . , n, σ2(ξTx) = xTQx.
min xTQxs.t. µTx ≥ ρ,
Ax ≤ b,(MV)
where ρ is a prescribed return level, Ax ≤ b isused for representing some real-world trading conditions.
2013 Summer Workshop Taiwan Linear Conic Programming 163 / 219
Application I: Portfolio Optimization Problem withHard Constraints
• Cardinality constraint: the number of assets in the optimal portfoliocould be limited,
|supp(x)| ≤ K,
where supp(x) = {i | xi 6= 0}, 1 ≤ K � n.The need to account for this limit is due to the transaction cost andmanagerial concerns.
• Minimum buy-in threshold:
αi ≤ xi ≤ βi, i ∈ supp(x) or xi ∈ {0} ∪ [αi, βi], i = 1, . . . , n.
Difficulty: testing the feasibility of the domain defined by the newconstraints is already NP-complete when A has three rows, seeBienstock(1996).
2013 Summer Workshop Taiwan Linear Conic Programming 164 / 219
Application I: Reformulation of PortfolioOptimization Problem as QCQP
• The cardinality constraint can be represented by
eT y ≤ K, 0 ≤ xi ≤ βiyi, i = 1, . . . , n, y ∈ {0, 1}n.
• The minimum buy-in threshold can be expressed as
y2i − yi = 0, (yi ∈ {0, 1}), i = 1, . . . , n,αiyi ≤ xi ≤ βiyi, i = 1, . . . , n.
(CMV)
2013 Summer Workshop Taiwan Linear Conic Programming 165 / 219
Application II: Quadratic Knapsack Problem
Which items will you pick for your weight-limited bag?
2013 Summer Workshop Taiwan Linear Conic Programming 166 / 219
Application II: Quadratic Knapsack Problem
• Given n items, where item j has a positive integer weight wj .
• Given an n× n nonnegative integer matrix Q, where Qii is the profitachieved if item i is selected and Qij = Qji is the profit achieved ifboth items i and j are selected.
• Quadratic knapsack problem selects an item subset whose overallweight does not exceed a given knapsack capacity c, so as tomaximize the overall profit.
2013 Summer Workshop Taiwan Linear Conic Programming 167 / 219
Application II: Quadratic Knapsack Problem asQCQP
Let wT = (w1, w2, . . . , wn), by introducing the binary variable,the problem can be reformulated as
max xTQxs.t. wTx ≤ c,
xi ∈ {0, 1}, i = 1, . . . , n.(x2i − xi = 0)
(QKP)
Difficulty: quadratic knapsack problem is NP-Hard, see Galloet al.(1980).
Gallo, G., Hammer, P. and Simeone, B., 1980. Quadratic knapsack problems.Mathematical Programming Study, 12, 132-149.
2013 Summer Workshop Taiwan Linear Conic Programming 168 / 219
Application III: Location-Allocation Problem
Where to locate these factories?
2013 Summer Workshop Taiwan Linear Conic Programming 169 / 219
Application III: Location-Allocation problem
• Given the flow fij between facility i and j, the distancedkp between location k and p, for i, j, k, p = 1, . . . , n.
• Assigning facilities to locations in such a way that eachfacility is designated to exactly one location andvice-versa.
• The location-allocation problem aims to find a minimumcost allocation of facilities into locations, taking the costsas the sum of all possible distance-flow products.
• The location-allocation problem is equivalent to thequadratic assignment problem.
2013 Summer Workshop Taiwan Linear Conic Programming 170 / 219
Application III: Location-Allocation Problem asQCQP
Difficulty: quadratic assignment problem is NP-Hard, seeSahni and Gonzales(1976).Sahni, S. and Gonzales, T., 1976. P-complete approximation problems. Journalof the Association for Computing Machinery, 23, 555-565.
2013 Summer Workshop Taiwan Linear Conic Programming 171 / 219
Application IV: Information Network Security
For a hacker, what is the biggest damage to the informationflow by destroying some edges in the network?
The problem of information network security is equivalent to the max-cut problem.
2013 Summer Workshop Taiwan Linear Conic Programming 172 / 219
Application IV: Information Network Security asQCQP
• Given the weight wij = wji for the edge between node i and j.• Introduce binary variable xi ∈ {−1, 1}, i = 1, . . . , n to indicate the
partition.
max∑n
i=1
∑nj=1wij
1−xixj2
s.t. xi ∈ {−1, 1}, i = 1, . . . , n.
(x2i = 1)
(MC)
• Difficulty: max-cut problem is NP-Complete, see Karp(1972).
• If wij ≥ 0,∀i 6= j. Then the expected value of randomized algorithmis at least α ≈ 0.878 times the value of the maximum cut by usingSemidefinite Programming, see Goemans and Williamson(1995).Goemans, M.X. and Williamson, D.P., 1995. Improved approximation algorithms formaximum cut and satisfiability problems using semidefinite programming. Journal ofACM, 42, 1116-1145.
2013 Summer Workshop Taiwan Linear Conic Programming 173 / 219
How Difficult are QCQP Problems?
Difficulty:Pardalos and Vavasis(1991) have proved that thequadratic programming problem is NP-Hard. Therefore,QCQP problems and their extensions are all NP-Hardproblems.
Reference:Pardalos, P.M. and Vavasis, S.A., 1991. Quadraticprogramming with one negative eigenvalue is NP-Hard.Journal of Global Optimization, 1, 15-22.
2013 Summer Workshop Taiwan Linear Conic Programming 174 / 219
Current Research Directions of QCQP Problems
• Find sufficient global optimality conditions.
• Characterize the structures of QCQP problems with fewconstraints or special constraints.
• Identify polynomial-time solvable subclasses of QCQPproblems.
• Develop approximations for some difficult QCQPproblems.
2013 Summer Workshop Taiwan Linear Conic Programming 175 / 219
How can we deal with QCQP?
• It is difficult to solve QCQP problems directly.
• New reformulations and tools are needed for QCQPproblems.
We need a “Magic stick"!
2013 Summer Workshop Taiwan Linear Conic Programming 176 / 219
New Tool for QCQP: Linear Conic Programming
(LP) (LCoP)Min cTx Min C •Xs.t. (ai)Tx = bi, i = 1, ..,m, s.t. Ai •X = bi, i = 1, ..,m,
x ≥ 0. X ∈ K.(x ∈ Rn
+) (K is a cone)
K is a closed, convex cone; bi ∈ R and C, Ai are in thespace of interests with “•” being an appropriate linearoperator.
2013 Summer Workshop Taiwan Linear Conic Programming 177 / 219
2013 Summer Workshop Taiwan Linear Conic Programming 182 / 219
Nonconvex Quadratic Programming and LinearConic Programming
For the following nonconvex quadratic programming problem (NQP):
Min xTP 0x+ 2(q0)Tx+ γ0
s.t. x ∈ F (NPQ)
where ∅ 6= F ⊆ Rn is a possibly nonconvex domain, it is equivalent to thelinear conic programming problem (MP) defined as
Min
[γ0 (q0)T
q0 P 0
]•X
s.t. X11 = 1, X ∈ D∗F .(MP)
Problem (MP) is still NP-hard in general because decomposing anoptimal solution of problem (MP) to find a solution of problem (NQP) maynot be polynomial-time [Sturm2003].
2013 Summer Workshop Taiwan Linear Conic Programming 183 / 219
Conic Duality Theorems
Weak Conic Duality Theorem [Ben-Tal2001]Assume problems (LCoP) and (LCoD) are both feasible. Then, theoptimal value of problem (LCoD) is a lower bound for the optimal value ofproblem (LCoP).
Strong Conic Duality Theorem [Ben-Tal2001]
a. If problem (LCoP) is bounded below and strictly feasible, thenproblem (LCoD) is feasible, an optimal solution is attainable forproblem (LCoD) and the optimal values of problems (LCoP) and(LCoD) are equal.
b. If problem (LCoD) is bounded above and strictly feasible, thenproblem (LCoP) is feasible, an optimal solution is attainable forproblem (LCoP) and the optimal values of problems (LCoP) and(LCoD) are equal.
2013 Summer Workshop Taiwan Linear Conic Programming 184 / 219
Computational Complexity
• (LCoP) has polynomial-time interior-point algorithms when
(i) K = Rn+ (ii) K = Ln (iii) K = Sn+ (iv) K = Sn+ +Nn+.
• When K = Cn+1, (LCoP) becomes NP-Hard.
• P or NP is somewhere in-between (Sn+ +Nn+) and Cn+1.
2013 Summer Workshop Taiwan Linear Conic Programming 185 / 219
Polynomial-time Approximation
• Since D∗Rn = DRn = Sn+1+ and D∗F ⊆ S
n+1+ ⊆ DF , ∀F ⊆ Rn,
(SDP) relaxation always provides a lower bound for (CoP) inpolynomial-time.
(SDD) relaxation always provides an upper bound for (CoD) inpolynomial-time.
• Replacing Sn+1+ by (Sn+ +Nn
+) may provide a better lower bound for(CoP) in polynomial-time.
• Same scheme works for (NPQ) and (MP).
2013 Summer Workshop Taiwan Linear Conic Programming 186 / 219
Rank-one Decomposition
For any X in Sn+, X has a rank-one decomposition, that is
X =
r∑i=1
xi(xi)T
where r ∈ N is the rank of X and xi ∈ Rn for i = 1, . . . , r (ref.[Horn1990]).
Ye and Zhang [Ye2003]Let Y be a given symmetric matrix in Sn and X be a positive semidefinitematrix with rank 0 < r ≤ n. Suppose that X • Y ≤ 0, then there exists arank-one decomposition of X running in polynomial time to find xi ∈ Rn,i = 1, . . . , r, such that
X =∑ri=1 x
i(xi)T ,
(xi)TY xi ≤ 0.
2013 Summer Workshop Taiwan Linear Conic Programming 187 / 219
Linear Matrix Inequality
A linear matrix inequality (LMI) is an expression of the form
A0 + y1A1 + · · ·+ ymAm < 0
where A0, . . . , Am are n× n given symmetric matrices, y = (y1, . . . , ym) isa vector of real variables, and B < 0 means B is a positive semidefinitematrix.• The form of an LMI is very general. It includes linear inequalities,
convex quadratic inequalities, etc.
(x− xc)TQ−1(x− xc) ≤ 1, Q ∈ Sn++ ⇔[
1 (x− xc)T(x− xc) Q
]< 0
• SDP with additional LMI constraints can be solved efficiently[Gahinet1993]. ⇒ Improve the bounds generated by SDPrelaxations.
2013 Summer Workshop Taiwan Linear Conic Programming 188 / 219
Reformulation-Linearization Technique (RLT)
RLT generates LMIs for SDP relaxations.
RLT originated in 1986 [Adams1986], which is applied in solving 0-1,mixed 0-1 linear and polynomial programming problems [Sherali1990,Sherali1994], and continuous, nonconvex polynomial programmingproblems [Sherali1995, Sherali2001].
RLT involves two steps:1 Reformulation Step - additional valid nonlinear inequalities are
generated.2 Linearization Step - each product term in the valid nonlinear
inequalities is replaced by a single continuous variable.
2013 Summer Workshop Taiwan Linear Conic Programming 189 / 219
Completely Positive Programming (CPP) Problem
Min f(X) = C •Xs.t. Ai •X = bi, i = 1, 2, . . . ,m
X ∈ C∗n,(CCP)
where C ∈ Sn, Ai ∈ Sn, bi ∈ R, i = 1, 2, . . . ,m, and C∗n is the completelypositive cone of order n.
• Quadratic programming problem with linear and binary constraintscan be written as a completely positive programming (CPP) problem[Burer2009].
2013 Summer Workshop Taiwan Linear Conic Programming 190 / 219
Literature Review
Quadratic programming problem with linear and binaryconstraints⇒ Completely positive programming (CPP)problem [Burer2009].
2013 Summer Workshop Taiwan Linear Conic Programming 191 / 219
Literature Review
• The study of copositivity and complete positivity can be traced backto 1965 [Motzkin1965].
• Structure of Cn and C∗n• Checking copositivity and complete positivity: co-NP-complete
[Murty1987].• Matrices with special structures (polynomial-time solvable): tridiagonal
and acyclic [Bomze2000, Ikramov2002].• C∗n ⊆ (Sn+ ∩Nn
+) ⊂ (Sn+ +Nn+) ⊆ Cn:
It was showed in [Maxfield1963] that
C∗n=(Sn+ ∩Nn+) ⊂ (Sn+ +Nn
+) = Cn (n ≤ 4),
andC∗n⊂(Sn+ ∩Nn
+) ⊂ (Sn+ +Nn+) ⊂ Cn (n ≥ 5).
2013 Summer Workshop Taiwan Linear Conic Programming 192 / 219
Literature Review
Algorithms of CPP problem
• Global optimization techniques: [Bundfuss and Dür 2009].• Difference-of-convex (d.c.) decompositions: [Bomze and Eichfelder
2010].• Hierarchy on cones: [Parrilo2000], [Bomze and Klerk 2002] and
[Peña et al. 2007].
2013 Summer Workshop Taiwan Linear Conic Programming 193 / 219
New Results Obtained for The CPP Problem
• Computable representation of the cone of nonnegative quadraticforms over a general nontrivial second-order cone by linear matrixinequalities (LMIs).
• Approximation to the underlying cone of completely positivematrices.
• Adaptive algorithm with “reformulation-linearization technique” (RLT)constraints.
2013 Summer Workshop Taiwan Linear Conic Programming 194 / 219
Cone of Nonnegative Quadratic Forms: A Special Case
of Cone of Nonnegative Quadratic Functions
Given a nonempty set F ⊆ Rn, the cone of nonnegative quadratic formsover F [Strum2003]:
CF = {M ∈ Sn| xTMx ≥ 0 for all x ∈ F}.
Its dual cone isC∗F =cl Cone{xxT ∈ Sn| x ∈ F}.
Example:Cn = {M ∈ Sn| xTMx ≥ 0 for all x ∈ Rn+},
C∗n =cl Cone{xxT ∈ Sn| x ∈ Rn+}.
Lemma:F1 ⊆ F2 ⇒ CF1
⊇ CF2and C∗F1
⊆ C∗F2.
Motivation:Use a smallest set F covering Rn+ such that C∗F is computable.
2013 Summer Workshop Taiwan Linear Conic Programming 195 / 219
Approximating CPP Problem
• Using the second-order cones to cover the first orthant
Figure : Approximation based on SOCs
2013 Summer Workshop Taiwan Linear Conic Programming 196 / 219
Cone of Nonnegative Quadratic Functions overSecond-order Cone
Consider the cone of nonnegative quadratic forms over a nontrivialsecond-order cone FSOC= { x ∈ Rn |
√xTQx ≤ fTx}, where Q ∈ Sn++
and f ∈ Rn.• Theorem A. A matrix M ∈ Sn satisfies M ∈ CFSOC if and only if there exists
a λ ≥ 0 such that
M + λ(Q− ffT ) ∈ Sn+.
• Theorem B. A matrix X ∈ Sn satisfies X ∈ C∗FSOCif and only if X satisfies
that
(Q− ffT ) ·X ≤ 0X ∈ Sn+.
Theorems A and B lead to LMI representations of CFSOCand C∗FSOC
.
2013 Summer Workshop Taiwan Linear Conic Programming 197 / 219
Second-order Cone Covering a Simplex
• Let V be a simplex generated by a set of vertices {v1, v2, ..., vn}, withvi ∈ Rn, i = 1, 2, ..., n, being linearly independent.
• The system of linear equations vTi y = 1, i = 1, 2, ..., n, must have aunique solution y = f .
• We solve the following SDP problem to get a second-order coneFSOC= { x ∈ Rn|
√xTQx ≤ fTx} such that V ⊆ FSOC:
Min log det(Q−1)s.t. Q · [vivTi ] = 1, i = 1, 2, ..., n
Q ∈ Sn++.
2013 Summer Workshop Taiwan Linear Conic Programming 198 / 219
Approximation
Basic Idea: Partition the standard simplex ∆ = {x ∈ Rn+| (en)Tx = 1},where en ∈ Rn is a vector of all ones, into several small simplices∆ = ∆1
⋃∆2...
⋃∆k, then use F iSOC to cover each ∆i. As the partition
becomes finer, these second-order cones cover Rn+ more precisely.
Theorem If ∆ = ∆1
⋃∆2...
⋃∆k and ∆i ⊆ F iSOC for i = 1, 2, ..., k, then⋂k
i=1 CFiSOC⊆ C and
∑ki=1 C∗Fi
SOC⊇ C∗.
The approximation problem under the simplex partition can be formulatedas following:
Min C •Xs.t. Ai •X = bi, i = 1, 2, ...,m,
X = X1 + ...+Xk,(Qi −B) •Xi ≤ 0,Xi ∈ Sn+, i = 1, 2, ..., k,
(RACP)
where B = en(en)T .
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Adaptive Scheme
Intuitive Idea: For an optimization problem, the importance of each feasible pointis not the same. A sensitive subregion, which has a high potential to contain anoptimal solution, should be paid more attentions [Lu2011].
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Adaptive Scheme
Assume X =∑ki=1
∑rij=1 µijxijx
Tij is a decomposition of a optimal
solution of problem (RACP). Let I = {(i, j)|1 ≤ i ≤ k, 1 ≤ j ≤ ri} be theindex set of the decomposition solution andIp = {(i, j)|(i, j) ∈ I, xij /∈ Rn+} be the index set of the infeasiblesolutions.
Definition Define any x∗ = argminx∈{xij |(i,j)∈Ip}xTDx to be a sensitive
point. Let t be the smallest number of the first index i among all sensitivepoints x∗, then ∆t is defined to be the “corresponding sensitive simplex”
Definition Let F ⊆ Rn. For any σ > 0, the σ-neighborhood of F isNσ,F = {x ∈ Rn| ∃y ∈ F s.t. ‖x− y‖∞ < σ}.
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Algorithm
Step 1 (Initialization Step): Set the initial second-order coneF0
SOC= {x ∈ Rn |√xT Inx ≤ (en)Tx} to cover ∆. Let k = 1.
Step 2: Solve (RACP) with approximation cones to obtain the optimalsolution X∗ = X∗1 + ...+X∗k . Record the optimal value of (RACP) as lk.
Step 3: Decompose X∗. If there is no sensitive point, then return X∗ asthe optimal solution of problem (CPP). Otherwise, find all sensitive pointsx∗ and the corresponding sensitive simplex ∆t.
Step 4: Check stopping criteria. If all sensitive points x∗ /∈ Cone(Nσ,∆)and the computation time is less than the pre-assigned maximum time,go to Step 5. Otherwise, return max{l1, ..., lk} as a lower bound for theproblem (CPP).
Step 5: Drop F tSOC from the approximation cones. Split ∆t into two newsimplices. After that, approximate each of these two simplices by twosmaller second-order cones. Set k = k + 1 and go to Step 2.
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Numerical Results
Four different problems are tested:• Box constrained quadratic programming problem.• Standard quadratic programming problem.• Maximum clique problem.• Binary constrained quadratic programming problem.
Algorithm was implemented using MATLAB 7.9.0 on a computer with Intel Core 2CPU 2.8 Ghz and 4G memory. The solvers cvx [Grant2010] and SeDuMi 1.3[Sturm1999] were incorporated in solving problems. The optimal values of thetesting problems were calculated by the commercial software BARON[Sahinidis2010].
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Algorithm can efficiently approximate the optimal values for small andmiddle size problems and obtained good lower bounds for large sizeproblems by taking much more computational efforts.
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Summary
• The computable representation of the cone of nonnegative quadratic formsover a general nontrivial second-order cone has been given.
• An approximation algorithm based on the computable cone over a union ofsecond-order cones has been provided for solving the CPP problem.
• An adaptive scheme and RLT constraints have been used to improve theefficiency.
Publications:
• Tian, Y., Fang, S.-C., Deng, Z. and Lu, C. (2013) Computable representation of the cone of
nonnegative quadratic forms over a general second-order cone and its application to completely
positive programming, J. of Industrial and Management Optimization, vol. 9, 701-709.
• Jin, Q., Tian, Y., Deng, Z., Fang S.-C. and Xing W. (2013) Exact computable representation of
some quadratically constrained quadratic programming problems, J. of Operations Research
Society of China, vol. 1, 107-134.
• Deng, Z., Fang, S.-C., Jin, Q. and Xing W. (2013) Detecting copositivity of asymmetric matrix by an
adaptive ellipsoid-based approximation scheme, European Journal of Operational Research, vol.
229, 21-28.
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Concluding Recommendation
Update your toolbox withLinear Conic Programming models!
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References I
• Adams, W. P. and H.D. Sherali (1986). A tight linearization and an algorithmfor zero-one quadratic programming problems. Management Science,32(10), 1274-1290.
• Ben-Tal, A. and A. Nemirovskii (2001). Lectures on Modern ConvexOptimization: Analysis, Algorithms and Engineering Applications, Society forIndustrial and Applied Mathematics: Philadelphia, PA.
• Bertsekas D.P., Nedic A. and A.E. Ozdaglar (2003). Convex Analysis andOptimization, Athena Scientific: Belmont, MA.
• Bomze, I.M. (2000). Linear-time copositivity detection for tridiagonalmatrices and extension to block-trdiagonality. SIAM Journal on MatrixAnalysis and Application, 21, 840-848.
• Bomze, I.M. and G. Eichfelder (2013). Copositivity detection bydifference-of-convex decomposition and ω-subdivision. MathematicalProgramming, 138, 365-400.
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References II
• Bomze, I.M. and E. de Klerk (2002). Solving standard quadratic optimizationproblem via linear, semidefinite and copositive programming. Journal ofGlobal Optimization, 24, 163-185.
• Boyd S. and L. Vandenberghe (2004). Convex Optimization, CambridgeUniversity Press: Cambridge, UK.
• Bundfuss, S. and M. Dür (2009). An adaptive linear approximation algorithmfor copositive programs. SIAM Journal on Optimization, 20, 30-53.
• Burer, S. (2009). On the copositive representation of binary and continuousnonconvex quadratic programs, Mathematical Programming, 120, 479-495.
• Fang S.-C. and S. Puthenpura (1993). Linear Optimization and Extensions:Theory and Algorithms, Prentice-Hall Inc.: Englewood Cliffs, NJ.
• Gahinet P. and A. Nemirovsky (1993). LMI: A Package for Manipulating andSolving LMIs. National Institute for Research in Computer Science andControl.
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References III
• Grant, M. and Boyd, S. (2010). CVX: matlab software for disciplinedprogramming, version 1.2. <http://cvxr.com/cvx>
• Horn, R.A. and C.R. Johnson (1990). Matrix Analysis, Cambridge UniversityPress: Cambridge, UK.
• Ikramov, K.D. (2002). Linear-time algorithm for verifying the copositivity of anacyclic matrix. Computational Mathematics and Mathmetical Physics, 42,1701-1703.
• Lu, C., Jin, Q., Fang, S.-C., Wang, Z. and W. Xing (2011). An LMI basedadaptive approximation scheme to cones of nonnegative quadratic functions.Submitted to Mathematical Programming.
• Motzkin, T.S. and Straus, E.G. (1965). Maxima for graphs and a new proof ofa theorem of Turan. Canadian Journal of Mathematics, 17, 533-540.
• Murty, K.G. and Kabadi, S.N. (1987). Some NP-complete problems inquadratic and nonlinear programming. Mathematical Programming, 39,117-129.
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• Nemirovski A. (2001). Lectures on Modern Convex Optimization: Analysis,Algorithms, and Engineering Applications, Society for Industrial and AppliedMathematics: Philadelphia, PA.
• Parrilo, P. (2000). Structured Semidefinite Programs and Semi-AlgebraicGeometry Methods in Robustness and Optimization. Ph.D. Thesis,California Institute of Technology. Available at: <http://etd.caltech.edu/etu/available/etd-05062004-055516/>
• Peña, J., Vera, J. and L. Zuluaga (2007). Computing the stability number of agraph via linear and semidefinite programing. SIAM Journal on Optimization,18, 87-105.
• Renegar J. (2001). A Mathematical View of Interior-point Methods in ConvexOptimization, Society for Industrial and Applied Mathematics: Philadelphia,PA.
• Rockafellar R.T. (1970). Convex Analysis, Princeton University Press:Princeton, NJ.
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• Sherali, H.D. and W.P. Adams (1990). A hierarchy of relaxations between thecontinuous and convex hull representations for zero-one programmingproblems. SIAM Journal on Discrete Mathematics, 3(3), 411-430.
• Sherali, H.D. and W.P. Adams (1994). A hierarchy of relaxations and convexhull characterizations for mixed-integer zero-one programming problems.Discrete Applied Mathematics, 52(1), 83-106.
• Sherali, H.D. and C.H. Tuncbilek (1995). A reformulation-convexificationapproach for solving nonconvex quadratic programming problems. Journalof Global Optimization, 7(1), 1-31.
• Sherali, H.D. and H. Wang (2001). Global optimization of nonconvexfactorable programming problems. Mathematical Programming, 89(3),459-478.
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References VI
• Sturm, J. (1999). SeDuMi 1.02, a matlab tool box for optimization oversymmetric cones. Optimization Methods and Software, 11&12, 625-653.
• Sturm, J.F. and S. Zhang (2003). On cones of nonnegative quadraticfunctions. Mathematics of Operations Research, 28(2), 246-267.
• Handbook of Semidefinite Programming: Theory, Algorithms, andApplications, edited by Wolkowicz H., Saigal R. and Vandenberghe L.,published in 2000 by Kluwer Academic Publisher: Norwell, MA.
• Wright. S. (1997). Primal-Dual Interior-Point Methods, Society for Industrialand Applied Mathematics: Philadelphia, PA.
• Ye, Y. and S. Zhang (2003). New results on quadratic minimization. SIAMJournal on Optimization, 14(1), 245-267.
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References VII
Others
• Ye Y., Linear Conic Programming, lecture notes online:http://www.stanford.edu/class/msande314/sdpmain.pdf
• A very popular general purpose SDP solver, SeDuMi, of Jos F. Sturm can befound in: http://sedumi.ie.lehigh.edu/
• Another very popular convex programming problems solver, CVX, can befound in: cvxr.com/cvx/
• Sahinidis, N.V. and Tawarmalani, M. (2010). BARON 9.0.4: GlobalOptimization of Mixed-Integer Nonlinear Programs.<http://archimedes.cheme.cmu.edu/baron/baron.html>
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