A Feasible Method for General Convex Low-Rank SDP Problems

Abstract

SIAM Journal on Optimization, Volume 34, Issue 3, Page 2169-2200, September 2024.
Abstract. In this work, we consider the low-rank decomposition (SDPR) of general convex semidefinite programming (SDP) problems that contain both a positive semidefinite matrix and a nonnegative vector as variables. We develop a rank-support-adaptive feasible method to solve (SDPR) based on Riemannian optimization. The method is able to escape from a saddle point to ensure its convergence to a global optimal solution for generic constraint vectors. We prove its global convergence and local linear convergence without assuming that the objective function is twice differentiable. Due to the special structure of the low-rank SDP problem, our algorithm can achieve better iteration complexity than existing results for more general smooth nonconvex problems. In order to overcome the degeneracy issues of SDP problems, we develop two strategies based on random perturbation and dual refinement. These techniques enable us to solve some primal degenerate SDP problems efficiently, for example, Lovász theta SDPs. Our work is a step forward in extending the application range of Riemannian optimization approaches for solving SDP problems. Numerical experiments are conducted to verify the efficiency and robustness of our method.