English

On the Burer-Monteiro method for general semidefinite programs

Optimization and Control 2020-03-03 v2

Abstract

Consider a semidefinite program (SDP) involving an n×nn\times n positive semidefinite matrix XX. The Burer-Monteiro method uses the substitution X=YYTX=Y Y^T to obtain a nonconvex optimization problem in terms of an n×pn\times p matrix YY. Boumal et al. showed that this nonconvex method provably solves equality-constrained SDPs with a generic cost matrix when p2mp \gtrsim \sqrt{2m}, where mm is the number of constraints. In this note we extend their result to arbitrary SDPs, possibly involving inequalities or multiple semidefinite constraints. We derive similar guarantees for a fixed cost matrix and generic constraints. We illustrate applications to matrix sensing and integer quadratic minimization.

Keywords

Cite

@article{arxiv.1904.07147,
  title  = {On the Burer-Monteiro method for general semidefinite programs},
  author = {Diego Cifuentes},
  journal= {arXiv preprint arXiv:1904.07147},
  year   = {2020}
}

Comments

10 pages

R2 v1 2026-06-23T08:40:02.277Z