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The numerical performance of algorithms can be studied using test sets or procedures that generate such problems. This paper proposes various methods for generating linear, semidefinite, and secondorder cone optimization problems. Specifically, we are interested in problem instances requiring a known optimal solution, a known optimal partition, a specific interior solution, or all these together. In the proposed problem generators, different characteristics of optimization problems, including dimension, size, condition number, degeneracy, optimal partition, and sparsity, can be chosen to facilitate comprehensive computational experiments. We also develop procedures to generate instances with a maximally complementary optimal solution with a predetermined optimal partition to generate challenging semidefinite and second-order cone optimization problems. Generated instances enable us to evaluate efficient interior-point methods for conic optimization problems.
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Inner Approximations of the Positive-Semidefinite Cone via Grassmannian Packings
We investigate the problem of finding tight inner approximations of large dimensional positive semidefinite (PSD) cones. To solve this problem, we develop a novel decomposition framework of the PSD cone by means of conical combinations of smaller dimensional sub-cones. We show that many inner approximation techniques could be summarized within this framework, including the set of (scaled) diagonally dominant matrices, Factor-width k matrices, and Chordal Sparse matrices. Furthermore, we provide a more flexible family of inner approximations of the PSD cone, where we aim to arrange the sub-cones so that they are maximally separated from each other. In doing so, these approximations tend to occupy large fractions of the volume of the PSD cone. The proposed approach is connected to a classical packing problem in Riemannian Geometry. Precisely, we show that the problem of finding maximally distant sub-cones in an ambient PSD cone is equivalent to the problem of packing sub-spaces in a Grassmannian Manifold. We further leverage the existing computational methods for constructing packings in Grassmannian manifolds to build tighter approximations of the PSD cone. Numerical experiments show how the proposed framework can balance accuracy and computational complexity, to efficiently solve positive-semidefinite programs.
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- PAR ID:
- 10325002
- Date Published:
- Journal Name:
- Conference on Decision and Control
- Page Range / eLocation ID:
- 981 to 986
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/10.1109/CDC45484.2021.9682923
