On computing the nonlinearity interval in parametric semidefinite optimization

DOI10.1287/MOOR.2021.1234MaRDI QIDQ6324301arXivWikidataFDO

Authors Jonathan D. Hauenstein, Ali Mohammad Nezhad, Tingting Tang, Tamás Terlaky

Publication date 27 August 2019

Published in arXiv

Full work available at URL https://doi.org/10.1287/MOOR.2021.1234

Mathematics Subject Classification ID

Semidefinite programming (90C22) Sensitivity, stability, parametric optimization (90C31) Interior-point methods (90C51)

arXiv classification

math.AGmath.OC

Abstract: This paper revisits the parametric analysis of semidefinite optimization problems with respect to the perturbation of the objective function along a fixed direction. We review the notions of invariancy set, nonlinearity interval, and transition point of the optimal partition, and we investigate their characterizations. We show that the set of transition points is finite and the continuity of the optimal set mapping, on the basis of Painlev'e-Kuratowski set convergence, might fail on a nonlinearity interval. Under a local nonsingularity condition, we then develop a methodology, stemming from numerical algebraic geometry, to efficiently compute nonlinearity intervals and transition points of the optimal partition. Finally, we support the theoretical results by applying our procedure to some numerical examples.

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