Solution refinement at regular points of conic problems
| Autor: | Enzo Busseti, Walaa M. Moursi, Stephen Boyd |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
021103 operations research
Control and Optimization Applied Mathematics Numerical analysis MathematicsofComputing_NUMERICALANALYSIS 0211 other engineering and technologies 010103 numerical & computational mathematics 02 engineering and technology 01 natural sciences Exponential function law.invention Computational Mathematics Invertible matrix Conic section law Applied mathematics Embedding Dual polyhedron Differentiable function 0101 mathematics Matrix calculus Mathematics |
| Zdroj: | Computational Optimization and Applications. 74:627-643 |
| ISSN: | 1573-2894 0926-6003 |
| Popis: | Many numerical methods for conic problems use the homogenous primal–dual embedding, which yields a primal–dual solution or a certificate establishing primal or dual infeasibility. Following Themelis and Patrinos (IEEE Trans Autom Control, 2019), we express the embedding as the problem of finding a zero of a mapping containing a skew-symmetric linear function and projections onto cones and their duals. We focus on the special case when this mapping is regular, i.e., differentiable with nonsingular derivative matrix, at a solution point. While this is not always the case, it is a very common occurrence in practice. In this paper we do not aim for new theorerical results. We rather propose a simple method that uses LSQR, a variant of conjugate gradients for least squares problems, and the derivative of the residual mapping to refine an approximate solution, i.e., to increase its accuracy. LSQR is a matrix-free method, i.e., requires only the evaluation of the derivative mapping and its adjoint, and so avoids forming or storing large matrices, which makes it efficient even for cone problems in which the data matrices are given and dense, and also allows the method to extend to cone programs in which the data are given as abstract linear operators. Numerical examples show that the method improves an approximate solution of a conic program, and often dramatically, at a computational cost that is typically small compared to the cost of obtaining the original approximate solution. For completeness we describe methods for computing the derivative of the projection onto the cones commonly used in practice: nonnegative, second-order, semidefinite, and exponential cones. The paper is accompanied by an open source implementation. |
| Databáze: | OpenAIRE |
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