 Award ID(s):
 1835443
 NSFPAR ID:
 10387772
 Date Published:
 Journal Name:
 INFORMS Journal on Computing
 Volume:
 34
 Issue:
 5
 ISSN:
 10919856
 Page Range / eLocation ID:
 2686 to 2699
 Format(s):
 Medium: X
 Sponsoring Org:
 National Science Foundation
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Abstract In recent work, we provide computational arguments for expanding the class of proper cones recognized by conic optimization solvers, to permit simpler, smaller, more natural conic formulations. We define an exotic cone as a proper cone for which we can implement a small set of tractable (i.e. fast, numerically stable, analytic) oracles for a logarithmically homogeneous selfconcordant barrier for the cone or for its dual cone. Our extensible, opensource conic interior point solver, Hypatia, allows modeling and solving any conic problem over a Cartesian product of exotic cones. In this paper, we introduce Hypatia’s interior point algorithm, which generalizes that of Skajaa and Ye (Math. Program. 150(2):391–422, 2015) by handling exotic cones without tractable primal oracles. To improve iteration count and solve time in practice, we propose four enhancements to the interior point stepping procedure of Skajaa and Ye: (1) loosening the central path proximity conditions, (2) adjusting the directions using a third order directional derivative barrier oracle, (3) performing a backtracking search on a curve, and (4) combining the prediction and centering directions. We implement 23 useful exotic cones in Hypatia. We summarize the complexity of computing oracles for these cones and show that our new third order oracle is not a bottleneck. From 37 applied examples, we generate a diverse benchmark set of 379 problems. Our computational testing shows that each stepping enhancement improves Hypatia’s iteration count and solve time. Altogether, the enhancements reduce the geometric means of iteration count and solve time by over 80% and 70% respectively.more » « less

Spectral functions on Euclidean Jordan algebras arise frequently in convex optimization models. Despite the success of primaldual conic interior point solvers, there has been little work on enabling direct support for spectral cones, that is, proper nonsymmetric cones defined from epigraphs and perspectives of spectral functions. We propose simple logarithmically homogeneous barriers for spectral cones and we derive efficient, numerically stable procedures for evaluating barrier oracles such as inverse Hessian operators. For two useful classes of spectral cones—the rootdeterminant cones and the matrix monotone derivative cones—we show that the barriers are selfconcordant, with nearly optimal parameters. We implement these cones and oracles in our opensource solver Hypatia, and we write simple, natural formulations for four applied problems. Our computational benchmarks demonstrate that Hypatia often solves the natural formulations more efficiently than advanced solvers such as MOSEK 9 solve equivalent extended formulations written using only the cones these solvers support. Funding: This work was supported by Office of Naval Research [Grant N000141812079] and the National Science Foundation [Grant OAC1835443].more » « less

We present alfonso, an opensource Matlab package for solving conic optimization problems over nonsymmetric convex cones. The implementation is based on the authors’ corrected analysis of a method of Skajaa and Ye. It enables optimization over any convex cone as long as a logarithmically homogeneous selfconcordant barrier is available for the cone or its dual. This includes many nonsymmetric cones, for example, hyperbolicity cones and their duals (such as sumofsquares cones), semidefinite and secondorder cone representable cones, power cones, and the exponential cone. Besides enabling the solution of problems that cannot be cast as optimization problems over a symmetric cone, algorithms for nonsymmetric conic optimization also offer performance advantages for problems whose symmetric cone programming representation requires a large number of auxiliary variables or has a special structure that can be exploited in the barrier computation. The worstcase iteration complexity of alfonso is the best known for nonsymmetric cone optimization: [Formula: see text] iterations to reach an εoptimal solution, where ν is the barrier parameter of the barrier function used in the optimization. Alfonso can be interfaced with a Matlab function (supplied by the user) that computes the Hessian of a barrier function for the cone. A simplified interface is also available to optimize over the direct product of cones for which a barrier function has already been built into the software. This interface can be easily extended to include new cones. Both interfaces are illustrated by solving linear programs. The oracle interface and the efficiency of alfonso are also demonstrated using an optimal design of experiments problem in which the tailored barrier computation greatly decreases the solution time compared with using stateoftheart, offtheshelf conic optimization software. Summary of Contribution: The paper describes an opensource Matlab package for optimization over nonsymmetric cones. A particularly important feature of this software is that, unlike other conic optimization software, it enables optimization over any convex cone as long as a suitable barrier function is available for the cone or its dual, not limiting the user to a small number of specific cones. Nonsymmetric cones for which such barriers are already known include, for example, hyperbolicity cones and their duals (such as sumofsquares cones), semidefinite and secondorder cone representable cones, power cones, and the exponential cone. Thus, the scope of this software is far larger than most current conic optimization software. This does not come at the price of efficiency, as the worstcase iteration complexity of our algorithm matches the iteration complexity of the most successful interiorpoint methods for symmetric cones. Besides enabling the solution of problems that cannot be cast as optimization problems over a symmetric cone, our software can also offer performance advantages for problems whose symmetric cone programming representation requires a large number of auxiliary variables or has a special structure that can be exploited in the barrier computation. This is also demonstrated in this paper via an example in which our code significantly outperforms Mosek 9 and SCS 2.more » « less

Embedding properties of network realizations of dissipative reduced order models Jörn Zimmerling, Mikhail Zaslavsky,Rob Remis, Shasri Moskow, Alexander Mamonov, Murthy Guddati, Vladimir Druskin, and Liliana Borcea Mathematical Sciences Department, Worcester Polytechnic Institute https://www.wpi.edu/people/vdruskin Abstract Realizations of reduced order models of passive SISO or MIMO LTI problems can be transformed to tridiagonal and blocktridiagonal forms, respectively, via dierent modications of the Lanczos algorithm. Generally, such realizations can be interpreted as ladder resistorcapacitorinductor (RCL) networks. They gave rise to network syntheses in the rst half of the 20th century that was at the base of modern electronics design and consecutively to MOR that tremendously impacted many areas of engineering (electrical, mechanical, aerospace, etc.) by enabling ecient compression of the underlining dynamical systems. In his seminal 1950s works Krein realized that in addition to their compressing properties, network realizations can be used to embed the data back into the state space of the underlying continuum problems. In more recent works of the authors Krein's ideas gave rise to socalled nitedierence Gaussian quadrature rules (FDGQR), allowing to approximately map the ROM statespace representation to its full order continuum counterpart on a judicially chosen grid. Thus, the state variables can be accessed directly from the transfer function without solving the full problem and even explicit knowledge of the PDE coecients in the interior, i.e., the FDGQR directly learns" the problem from its transfer function. This embedding property found applications in PDE solvers, inverse problems and unsupervised machine learning. Here we show a generalization of this approach to dissipative PDE problems, e.g., electromagnetic and acoustic wave propagation in lossy dispersive media. Potential applications include solution of inverse scattering problems in dispersive media, such as seismic exploration, radars and sonars. To x the idea, we consider a passive irreducible SISO ROM fn(s) = Xn j=1 yi s + σj , (62) assuming that all complex terms in (62) come in conjugate pairs. We will seek ladder realization of (62) as rjuj + vj − vj−1 = −shˆjuj , uj+1 − uj + ˆrj vj = −shj vj , (63) for j = 0, . . . , n with boundary conditions un+1 = 0, v1 = −1, and 4n real parameters hi, hˆi, ri and rˆi, i = 1, . . . , n, that can be considered, respectively, as the equivalent discrete inductances, capacitors and also primary and dual conductors. Alternatively, they can be viewed as respectively masses, spring stiness, primary and dual dampers of a mechanical string. Reordering variables would bring (63) into tridiagonal form, so from the spectral measure given by (62 ) the coecients of (63) can be obtained via a nonsymmetric Lanczos algorithm written in Jsymmetric form and fn(s) can be equivalently computed as fn(s) = u1. The cases considered in the original FDGQR correspond to either (i) real y, θ or (ii) real y and imaginary θ. Both cases are covered by the Stieltjes theorem, that yields in case (i) real positive h, hˆ and trivial r, rˆ, and in case (ii) real positive h,r and trivial hˆ,rˆ. This result allowed us a simple interpretation of (62) as the staggered nitedierence approximation of the underlying PDE problem [2]. For PDEs in more than one variables (including topologically rich datamanifolds), a nitedierence interpretation is obtained via a MIMO extensions in block form, e.g., [4, 3]. The main diculty of extending this approach to general passive problems is that the Stieltjes theory is no longer applicable. Moreover, the tridiagonal realization of a passive ROM transfer function (62) via the ladder network (63) cannot always be obtained in portHamiltonian form, i.e., the equivalent primary and dual conductors may change sign [1]. 100 Embedding of the Stieltjes problems, e.g., the case (i) was done by mapping h and hˆ into values of acoustic (or electromagnetic) impedance at grid cells, that required a special coordinate stretching (known as travel time coordinate transform) for continuous problems. Likewise, to circumvent possible nonpositivity of conductors for the nonStieltjes case, we introduce an additional complex sdependent coordinate stretching, vanishing as s → ∞ [1]. This stretching applied in the discrete setting induces a diagonal factorization, removes oscillating coecients, and leads to an accurate embedding for moderate variations of the coecients of the continuum problems, i.e., it maps discrete coecients onto the values of their continuum counterparts. Not only does this embedding yields an approximate linear algebraic algorithm for the solution of the inverse problems for dissipative PDEs, it also leads to new insight into the properties of their ROM realizations. We will also discuss another approach to embedding, based on KreinNudelman theory [5], that results in special datadriven adaptive grids. References [1] Borcea, Liliana and Druskin, Vladimir and Zimmerling, Jörn, A reduced order model approach to inverse scattering in lossy layered media, Journal of Scientic Computing, V. 89, N1, pp. 136,2021 [2] Druskin, Vladimir and Knizhnerman, Leonid, Gaussian spectral rules for the threepoint second dierences: I. A twopoint positive denite problem in a semiinnite domain, SIAM Journal on Numerical Analysis, V. 37, N 2, pp.403422, 1999 [3] Druskin, Vladimir and Mamonov, Alexander V and Zaslavsky, Mikhail, Distance preserving model order reduction of graphLaplacians and cluster analysis, Druskin, Vladimir and Mamonov, Alexander V and Zaslavsky, Mikhail, Journal of Scientic Computing, V. 90, N 1, pp 130, 2022 [4] Druskin, Vladimir and Moskow, Shari and Zaslavsky, Mikhail LippmannSchwingerLanczos algorithm for inverse scattering problems, Inverse Problems, V. 37, N. 7, 2021, [5] Mark Adolfovich Nudelman The Krein String and Characteristic Functions of Maximal Dissipative Operators, Journal of Mathematical Sciences, 2004, V 124, pp 49184934 Go back to Plenary Speakers Go back to Speakers Go backmore » « less

Abstract Polynomial nonnegativity constraints can often be handled using the
sum of squares condition. This can be efficiently enforced using semidefinite programming formulations, or as more recently proposed by Papp and Yildiz (Papp D in SIAM J O 29: 822–851, 2019), using the sum of squares cone directly in an interior point algorithm. Beyond nonnegativity, more complicated polynomial constraints (in particular, generalizations of the positive semidefinite, second order and norm cones) can also be modeled through structured sum of squares programs. We take a different approach and propose using more specialized cones instead. This can result in lower dimensional formulations, more efficient oracles for interior point methods, or selfconcordant barriers with smaller parameters.$$\ell _1$$ ${\ell}_{1}$