Weighted Geometric Mean, Minimum Mediated Set, and Optimal Simple Second-Order Cone Representation

Abstract

SIAM Journal on Optimization, Volume 34, Issue 2, Page 1490-1514, June 2024.
Abstract. We study optimal simple second-order cone representations (a particular subclass of second-order cone representations) for weighted geometric means, which turns out to be closely related to minimum mediated sets. Several lower bounds and upper bounds on the size of optimal simple second-order cone representations are proved. In the case of bivariate weighted geometric means (equivalently, one-dimensional mediated sets), we are able to prove the exact size of an optimal simple second-order cone representation and give an algorithm to compute one. In the genenal case, fast heuristic algorithms and traversal algorithms are proposed to compute an approximately optimal simple second-order cone representation. Finally, applications to polynomial optimization, matrix optimization, and quantum information are provided.