Iterative Inner/outer Approximations for Scalable Semidefinite Programs using Block Factor-width-two Matrices

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Publication date: 14 April 2022

Abstract: In this paper, we propose iterative inner/outer approximations based on a recent notion of block factor-width-two matrices for solving semidefinite programs (SDPs). Our inner/outer approximating algorithms generate a sequence of upper/lower bounds of increasing accuracy for the optimal SDP cost. The block partition in our algorithms offers flexibility in terms of both numerical efficiency and solution quality, which includes the approach of scaled diagonally dominance (SDD) approximation as a special case. We discuss both the theoretical results and numerical implementation in detail. Our main theorems guarantee that the proposed iterative algorithms generate monotonically decreasing upper (increasing lower) bounds. Extensive numerical results confirm our findings.

Has companion code repository: https://github.com/soc-ucsd/iterative_sdpfw

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