Exploiting constant trace property in large-scale polynomial optimization
Optimization and Control
2020-12-17 v1
Abstract
We prove that every semidefinite moment relaxation of a polynomial optimization problem (POP) with a ball constraint can be reformulated as a semidefinite program involving a matrix with constant trace property (CTP). As a result such moment relaxations can be solved efficiently by first-order methods that exploit CTP, e.g., the conditional gradient-based augmented Lagrangian method. We also extend this CTP-exploiting framework to large-scale POPs with different sparsity structures. The efficiency and scalability of our framework are illustrated on second-order moment relaxations for various randomly generated quadratically constrained quadratic programs.
Cite
@article{arxiv.2012.08873,
title = {Exploiting constant trace property in large-scale polynomial optimization},
author = {Ngoc Hoang Anh Mai and Jean-Bernard Lasserre and Victor Magron and Jie Wang},
journal= {arXiv preprint arXiv:2012.08873},
year = {2020}
}
Comments
43 pages, 6 algorithms, 23 tables