Strong duality in Lasserre's hierarchy for polynomial optimization
Abstract
A polynomial optimization problem (POP) consists of minimizing a multivariate real polynomial on a semi-algebraic set described by polynomial inequalities and equations. In its full generality it is a non-convex, multi-extremal, difficult global optimization problem. More than an decade ago, J.~B.~Lasserre proposed to solve POPs by a hierarchy of convex semidefinite programming (SDP) relaxations of increasing size. Each problem in the hierarchy has a primal SDP formulation (a relaxation of a moment problem) and a dual SDP formulation (a sum-of-squares representation of a polynomial Lagrangian of the POP). In this note, when the POP feasibility set is compact, we show that there is no duality gap between each primal and dual SDP problem in Lasserre's hierarchy, provided a redundant ball constraint is added to the description of set . Our proof uses elementary results on SDP duality, and it does not assume that has an interior point.
Cite
@article{arxiv.1405.7334,
title = {Strong duality in Lasserre's hierarchy for polynomial optimization},
author = {Cédric Josz and Didier Henrion},
journal= {arXiv preprint arXiv:1405.7334},
year = {2014}
}