We give explicit polynomial-sized (in @math n and @math k) semidefinite representations of the hyperbolicity cones associated with the elementary symmetric polynomials of degree @math k in @math n variables. These convex cones form a family of non-polyhedral outer approximations of the non-negative orthant that preserve low-dimensional faces while successively discarding high-dimensional faces. More generally we construct explicit semidefinite representations (polynomial-sized in @math k,m, and @math n) of the hyperbolicity cones associated with @math kth directional derivatives of polynomials of the form @math p(x)=det(?i=1nAixi) where the @math Ai are @math m×m symmetric matrices. These convex cones form an analogous family of outer approximations to any spectrahedral cone. Our representations allow us to use semidefinite programming to solve the linear cone programs associated with these convex cones as well as their (less well understood) dual cones.
From a computational perspective, G " u ler @cite_11 showed that if @math has degree @math and is hyperbolic with respect to @math then @math is a self-concordant barrier function (with barrier parameter @math ) for the hyperbolicity cone @math . As such, as long as @math and its gradient and Hessian can be computed efficiently, one can use interior point methods to minimize a linear functional over an affine slice of @math efficiently. Renegar [Section 9] renegar2006hyperbolic gave an efficient interpolation-based method for computing @math (and its gradient and Hessian) whenever @math (and its gradient and Hessian) can be evaluated efficiently. G " u ler and Renegar's observations together yield efficient computational methods to optimize a linear functional over an affine slice of a derivative relaxation of a spectrahedral cone. Our results complement these, giving a method to solve optimization problems of this type using existing numerical procedures for semidefinite programming.
@cite_11
2655474054 2129732816 1982831910 2153400929
We focus on nonconvex and nonsmooth minimization problems with a composite objective, where the differentiable part of the objective is freed from the usual and restrictive global Lipschitz gradient continuity assumption. This longstanding smoothness restriction is pervasive in first order methods (FOM), and was recently circumvent for convex composite optimization by Bauschke, Bolte and Teboulle, through a simple and elegant framework which captures, all at once, the geometry of the function and of the feasible set. Building on this work, we tackle genuine nonconvex problems. We first complement and extend their approach to derive a full extended descent lemma by introducing the notion of smooth adaptable functions. We then consider a Bregman-based proximal gradient methods for the nonconvex composite model with smooth adaptable functions, which is proven to globally converge to a critical point under natural assumptions on the problem's data. To illustrate the power and potential of our general framework and results, we consider a broad class of quadratic inverse problems with sparsity constraints which arises in many fundamental applications, and we apply our approach to derive new globally convergent schemes for this class. We study the convergence properties of an alternating proximal minimization algorithm for nonconvex structured functions of the type: L(x,y)=f(x)+Q(x,y)+g(y), where f and g are proper lower semicontinuous functions, defined on Euclidean spaces, and Q is a smooth function that couples the variables x and y. The algorithm can be viewed as a proximal regularization of the usual Gauss-Seidel method to minimize L. We work in a nonconvex setting, just assuming that the function L satisfies the Kurdyka-Łojasiewicz inequality. An entire section illustrates the relevancy of such an assumption by giving examples ranging from semialgebraic geometry to “metrically regular” problems. Our main result can be stated as follows: If L has the Kurdyka-Łojasiewicz property, then each bounded sequence generated by the algorithm converges to a critical point of L. This result is completed by the study of the convergence rate of the algorithm, which depends on the geometrical properties of the function L around its critical points. When specialized to @math and to f, g indicator functions, the algorithm is an alternating projection mehod (a variant of von Neumann's) that converges for a wide class of sets including semialgebraic and tame sets, transverse smooth manifolds or sets with “regular” intersection. To illustrate our results with concrete problems, we provide a convergent proximal reweighted l1 algorithm for compressive sensing and an application to rank reduction problems. In this paper, we consider conic programming problems whose constraints consist of linear equalities, linear inequalities, a nonpolyhedral cone, and a polyhedral cone. A convenient way for solving this class of problems is to apply the directly extended alternating direction method of multipliers (ADMM) to its dual problem, which has been observed to perform well in numerical computations but may diverge in theory. Ideally, one should find a convergent variant which is at least as efficient as the directly extended ADMM in practice. We achieve this goal by designing a convergent semiproximal ADMM (called sPADMM3c for convenience) for convex programming problems having three separable blocks in the objective function with the third part being linear. At each iteration, the proposed sPADMM3c takes one special block coordinate descent (BCD) cycle with the order @math , instead of the usual @math Gauss--Seidel BCD cycle used in the nonconvergent directly extended 3-block ADMM, for updating the variable blocks. Our numerical experiments demonstrate that the convergent method is at least 20 faster than the directly extended ADMM with unit step-length for the vast majority of about 550 large-scale doubly nonnegative semidefinite programming problems with linear equality and or inequality constraints. This confirms that at least for conic convex programming, one can design a convergent and efficient ADMM with a special BCD cycle of updating the variable blocks. Hyperbolic polynomials have their origins in partial differential equations. We show in this paper that they have applications in interior point methods for convex programming. Each homogeneous hyperbolic polynomial p has an associated open and convex cone called its hyperbolicity cone. We give an explicit representation of this cone in terms of polynomial inequalities. The function Fx = -log px is a logarithmically homogeneous self-concordant barrier function for the hyperbolicity cone with barrier parameter equal to the degree of p. The function Fx possesses striking additional properties that are useful in designing long-step interior point methods. For example, we show that the long-step primal potential reduction methods of Nesterov and Todd and the surface-following methods of Nesterov and Nemirovskii extend to hyperbolic barrier functions. We also show that there exists a hyperbolic barrier function on every homogeneous cone.