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Optimization Methods and Software
Article . 2020 . Peer-reviewed
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https://dx.doi.org/10.48550/ar...
Article . 2019
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Exploiting aggregate sparsity in second-order cone relaxations for quadratic constrained quadratic programming problems

Authors: Heejune Sheen; Makoto Yamashita;

Exploiting aggregate sparsity in second-order cone relaxations for quadratic constrained quadratic programming problems

Abstract

Among many approaches to increase the computational efficiency of semidefinite programming (SDP) relaxation for quadratic constrained quadratic programming problems (QCQPs), exploiting the aggregate sparsity of the data matrices in the SDP by Fukuda et al. (2001) and second-order cone programming (SOCP) relaxation have been popular. In this paper, we exploit the aggregate sparsity of SOCP relaxation of QCQPs. Specifically, we prove that exploiting the aggregate sparsity reduces the number of second-order cones in the SOCP relaxation, and that we can simplify the matrix completion procedure by Fukuda et al. in both primal and dual of the SOCP relaxation problem without losing the max-determinant property. For numerical experiments, QCQPs from the lattice graph and pooling problem are tested as their SOCP relaxations provide the same optimal value as the SDP relaxations. We demonstrate that exploiting the aggregate sparsity improves the computational efficiency of the SOCP relaxation for the same objective value as the SDP relaxation, thus much larger problems can be handled by the proposed SOCP relaxation than the SDP relaxation.

Country
Japan
Keywords

Optimization and Control (math.OC), 90C20 Quadratic programming, 90C22 Semidefinite programming, 90C25 Convex programming, 90C26 Nonconvex programming, global optimization, FOS: Mathematics, Mathematics - Optimization and Control

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
4
Average
Average
Average
Green
hybrid