Random projections for conic programs
Optimization and Control
2021-01-13 v1 Numerical Analysis
Numerical Analysis
Probability
Abstract
We discuss the application of random projections to conic programming: notably linear, second-order and semidefinite programs. We prove general approximation results on feasibility and optimality using the framework of formally real Jordan algebras. We then discuss some computational experiments on randomly generated semidefinite programs in order to illustrate the practical applicability of our ideas
Cite
@article{arxiv.2101.04182,
title = {Random projections for conic programs},
author = {Leo Liberti and Pierre-Louis Poirion and Ky Vu},
journal= {arXiv preprint arXiv:2101.04182},
year = {2021}
}