Ngoc Hoang Anh Mai, J. B. Lasserre, Victor Magron, Jie Wang
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Exploiting Constant Trace Property in Large-scale Polynomial Optimization
We prove that every semidefinite moment relaxation of a polynomial optimization problem (POP) with a ball constraint can be reformulated as a semidefinite program involving a matrix with constant trace property (CTP). As a result, such moment relaxations can be solved efficiently by first-order methods that exploit CTP, e.g., the conditional gradient-based augmented Lagrangian method. We also extend this CTP-exploiting framework to large-scale POPs with different sparsity structures. The efficiency and scalability of our framework are illustrated on some moment relaxations for various randomly generated POPs, especially second-order moment relaxations for quadratically constrained quadratic programs.
期刊介绍:
As a scientific journal, ACM Transactions on Mathematical Software (TOMS) documents the theoretical underpinnings of numeric, symbolic, algebraic, and geometric computing applications. It focuses on analysis and construction of algorithms and programs, and the interaction of programs and architecture. Algorithms documented in TOMS are available as the Collected Algorithms of the ACM at calgo.acm.org.