A hierarchy of spectral relaxations for polynomial optimization
Abstract
We show that (i) any constrained polynomial optimization problem (POP) has an equivalent formulation on a variety contained in an Euclidean sphere and (ii) the resulting semidefinite relaxations in the moment-SOS hierarchy have the constant trace property (CTP) for the involved matrices. We then exploit the CTP to avoid solving the semidefinite relaxations via interior-point methods and rather use ad-hoc spectral methods that minimize the largest eigenvalue of a matrix pencil. Convergence to the optimal value of the semidefinite relaxation is guaranteed. As a result we obtain a hierarchy of nonsmooth "spectral relaxations" of the initial POP. Efficiency and robustness of this spectral hierarchy is tested against several equality constrained POPs on a sphere as well as on a sample of randomly generated quadratically constrained quadratic problems (QCQPs).
Cite
@article{arxiv.2007.09027,
title = {A hierarchy of spectral relaxations for polynomial optimization},
author = {Ngoc Hoang Anh Mai and Victor Magron and Jean-Bernard Lasserre},
journal= {arXiv preprint arXiv:2007.09027},
year = {2020}
}
Comments
38 pages, 6 figures, 11 tables