Lecture 6: Conic Optimization September 8

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1 IE 598: Big Data Optimization Fall 2016 Lecture 6: Conic Optimization September 8 Lecturer: Niao He Scriber: Juan Xu Overview In this lecture, we finish up our previous discussion on optimality conditions for constrained convex programs. We will then introduce an important class of well-structured convex optimization problems conic programming. 6.1 Recap In the previous lecture, we have discussed the optimality condition for simple constrained or unconstrained convex problems If f(x) is a convex and differentiable function defined on a convex set X, then x arg min x X f(x) f(x ) (x x ) 0 x X, If f(x) is a convex and differentiable function defined on R n, then What about constrained convex problems? x arg min x R n f(x) f(x ) = 0. Primal: Opt(P) = min f(x) s.t. g i (x) 0 i = 1,..., m, x X. Lagrangian dual: Opt(D) = sup L(λ) Recall the Lagrangian duality theorem, Weak duality: Opt(D) Opt(P); Strong duality: Under slater condition, Opt(P)=Opt(D). where L(λ) = inf {f(x) + m λ i g i (x)}. x X Solving the primal problem is essentially the same as solving its Lagrangian dual problem. 6-1

2 Lecture 6: Conic Optimization September Constrained Convex Optimization (cont d) Saddle Point Formulation Recall the Lagrangian function: L(x, λ) = f(x) + λ i g i (x). We can rewrite the primal and its Lagrangian dual problems in the following form. Opt(D) = sup inf L(x, λ) x X }{{} :=L(λ) Opt(P) = inf sup x X L(x, λ) }{{} :=L(x) Note that L(x) = { f(x) gi (x) 0, i + otherwise. Hence, inf x X L(x) = Opt(P). Definition 6.1 (Saddle Point) We call (x, λ ), where x X and λ 0 a saddle point of L(x, λ) if and only if L(x, λ ) L(x, λ ) L(x, λ), x X, λ 0. Figure 6.1: Saddle point (Source: Remark. From Figure (6.1), we can see that the saddle point (the red point) is the local minimum point in the x-axis direction, and the local maximum point in the y-axis direction.

3 Lecture 6: Conic Optimization September Theorem 6.2 (x, λ ) is a saddle point of L(x, λ) if and only if x is optimal for (P), λ is optimal for (D), and Opt(P)=Opt(D). Proof: ( ): On the one hand, we have Opt(D) = sup inf x X L(x, λ) inf x X L(x, λ ) = L(x, λ ). The last equality is due to the fact that L(x, λ ) L(x, λ ), x X. On the other hand, we have Opt(D) = inf sup x X L(x, λ) sup L(x, λ) = L(x, λ ). The last equality is due to the fact that L(x, λ ) L(x, λ), λ 0. We arrive at Opt(D) L(x, λ ) Opt(P), and by weak duality, Opt(D) Opt(P)); it can then be shown that Opt(P)=Opt(D), x is optimal for (P), and λ is optimal for (D). ( ): Since x is optimal for (P), λ is optimal for (D), we have Opt(D) = L(λ ) = inf x X L(x, λ ) L(x, λ ) Opt(P ) = L(x ) = sup L(x, λ) L(x, λ ) Now that Opt(P ) = Opt(D), we must have Opt(P ) = L(x, λ ) = Opt(D). That is, which implies that (x, λ ) is a saddle point. inf L(x, x X λ ) = L(x, λ ) = sup L(x, λ) Optimality conditions for constrained convex problem Theorem 6.3 (Saddle point condition) If (P) is a convex optimization problem, and x is a feasible solution to (P), then x is optimal for (P) under slater condition (x, λ ) is a saddle point of L(x, λ) (6.1) Proof: ( ): Under the slater condition, if x is the optimal solution of (P), we can find an optimal solution λ for the Lagrangian dual problem such that Opt(P)=Opt(D). By Theorem (6.2), (x, λ ) is a saddle point of L(x, λ). ( ): By Theorem (6.2), if (x, λ ) is a saddle point of L(x, λ), then x is optimal for (P). Theorem 6.4 (Karush-Kuhn-Tucker (KKT) condition) If (P) is convex, x is a feasible solution to (P), and f(x), g i (x) s are all differentiable at x, then x is optimal for (P) under slater condition λ 0 s.t. (a) (b) f(x ) + m λ i g i(x ) N X (x ); λ i g i(x ) = 0, i = 1,..., m (6.2) where N X (x ) represents the normal cone of x (N X (x ) = {g : g (x x ) 0, x X}).

4 Lecture 6: Conic Optimization September We refer to (a) as the Lagrangian stationarity condition, (b) the complementary slackness condition. Both (a) and (b) consist of the KKT condition. Proof: The proof follows directly from the previous theorem. First, L(x, λ ) L(x, λ ), x X L x (x, λ ) (x x ) 0, x X condition (a) This is because L x (x, λ ) = f(x ) + m λ i g i(x )). Second, L(x, λ ) L(x, λ), λ 0 f(x ) + λ i g i (x ) f(x ) + λ i g i (x ) λ 0 λ i g i (x ) λ i g i (x ) λ 0 condition (b) (because g i (x ) 0, i = 1,..., m, and λ 0). Therefore, (x, λ ) is a saddle point if and only if (a) and (b) hold true. 6.3 Conic Optimization A bit of history Mid-1940s Mid-1970s Mid-1980s Dantzig Simplex method for solving linear programming Worst cast exponential time (however, fast when implemented) Shor, Khachiyan, Nemirovski, Yudin Ellipsoid method for linear programming and convex optimization Polynomial time (however, very slow for large problems) Complexity: O(n 2 log( 1 ɛ )) O(n2 ) Karmarkar, Nemirovski, Nesterov Interior point method for linear programming and well-structured convex problem Polynomial time Complexity: O(ν log( ν ɛ )) O(n3 ) The poor performance of some algorithms (e.g. Ellipsoid method) despite of polynomial time stems from their black box oriented nature - these algorithms do not adjust themselves to the structure of the problem and only utilize local information, e.g. the values and (sub)gradients of the objective and the constraints at query points. While in contrast, interior point method is designed to take advantage of the problem s structure and is much more efficient From linear programming to conic programming When passing from a linear program to a nonlinear convex program, we can act as follows

5 Lecture 6: Conic Optimization September (Linear Programming) min{c x : Ax b 0} ( is component-wise) = min{c x : Ax b R n +}. (Conic Programming) min{c x : Ax b K 0} ( K is some order) = min{c x : Ax b K}, where K is a regular (closed, pointed, nonempty interior) cone. The order K is defined as x K y if and only if x y K. It is easy to see that linear programming is a special case of conic programming which will be shown below Three typical conic problems 1. Linear programming (LP) K = R n + = R + R +. (LP): min{c x : a i x b i 0, i = 1,..., k} 2. Second-order cone programming (SOCP, also called conic quadratic programming) K = L n1 L n k, where L n = {(ν 1,..., ν n ), ν n ν ν2 n 1 }. (SOCP): min{c x : A i x b i 2 c i x d i, i = 1,..., k} One can treat Ax b = [ A 1 x b 1, c 1 x d 1 ; ; A k x b k, c k x d k]. 3. Semi-definite programming (SDP) k = S n1 + S n k +, where S n + = {X : X 0, X = X }. (SDP): min{c x : A i x b i 0, i = 1,..., k}; This can be simplified as (SDP): min{c x : Ax b 0}, because Ax b := A 1 x b 1... A k x b k 0 A i x b i 0, i = 1,..., k. Lemma. [ (Schur ] complement for symmetric positive semidefinite matrices) P R If S = is symmetric with Q 0, then S 0 P R R Q Q 1 R 0. Remark. We show that (LP) (SOCP) (SDP).

6 Lecture 6: Conic Optimization September (LP) (SOCP) (SOCP) (SDP) x 1. x m L m [ ] a 0 i x b i 0 a i x b L 2 0. i x m x 1... x m 1 x 1 x m.... x m 1 x m by Schur lemma 0 ========== x m x x2 m 1. Note that the above matrix is linear in x and can be written as i x ia i with properly defined A i Calculus of Conic Programming Let K be a family of regular cones, e.g., R n +, L n, S n +, or their inner points. Definition 6.5 X is K-representable if K K, s.t. X = {x : u, Ax + Bu b K}. Definition 6.6 f(x) is K-representable if epi(f) is K-representable, i.e., K K, s.t., epi(f) = {(x, t) : v, Cx + dt + Dv e K}. Remark It can be shown that many convexity-preserving operations preserve K-representability, e. g taking intersections, direct product, affine image of K-representable sets; taking conic combination, affine composition, partial minimization of K-representable functions. Here we provide some examples: Examples (SOCP-r functions) f(x) = x 2 [ x epi(f) = {(x, t) : t x 2 } {(x, t) : L t] n+1 }. f(x) = x x 2x epi(f) = {(x, t) : t x x} {(x, t) : (t + 1) 2 (t 1) 2 + 4x x} {(x, t) : t 1 L n+2 }. t + 1 f(x) = x Qx + q x + t, where Q = L L 2L x epi(f) = {(x, t) : t x Qx + q x + t} {(x, t) : t q x r 1 L n+2 }. t q x r + 1

7 Lecture 6: Conic Optimization September Figure 6.2: Relationships among LP, QCQP, SOCP, SDP (QCQP refers to quadratically constrained quadratic programming.) References [BV04] [DN01] Boyd, S. and Vandenberghe, L. (2004). Convex optimization. Cambridge university press. Ben-Tal, A. and Nemirovski, A. (2001). Lectures on modern convex optimization: analysis, algorithms, and engineering applications, (Vol. 2). SIAM.

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