Exact SDP relaxations of quadratically constrained quadratic programs with forest structures

DOI10.1007/S10898-021-01071-6zbMATH Open1486.90138arXiv2009.02638OpenAlexW3196749966MaRDI QIDQ2114577FDOQ2114577

Sunyoung Kim, Mituhiro Fukuda, Godai Azuma, Makoto Yamashita

Publication date: 15 March 2022

Published in: Journal of Global Optimization (Search for Journal in Brave)

Abstract: We study the exactness of the semidefinite programming (SDP) relaxation of quadratically constrained quadratic programs (QCQPs). With the aggregate sparsity matrix from the data matrices of a QCQP with $n$ variables, the rank and positive semidefiniteness of the matrix are examined. We prove that if the rank of the aggregate sparsity matrix is not less than $n-1$ and the matrix remains positive semidefinite after replacing some off-diagonal nonzero elements with zeros, then the standard SDP relaxation provides an exact optimal solution for the QCQP under feasibility assumptions. In particular, we demonstrate that QCQPs with forest-structured aggregate sparsity matrix, such as the tridiagonal or arrow-type matrix, satisfy the exactness condition on the rank. The exactness is attained by considering the feasibility of the dual SDP relaxation, the strong duality of SDPs, and a sequence of QCQPs with perturbed objective functions, under the assumption that the feasible region is compact. We generalize our result for a wider class of QCQPs by applying simultaneous tridiagonalization on the data matrices. Moreover, simultaneous tridiagonalization is applied to a matrix pencil so that QCQPs with two constraints can be solved exactly by the SDP relaxation.

Full work available at URL: https://arxiv.org/abs/2009.02638

zbMATH Keywords

quadratically constrained quadratic programsexact semidefinite relaxationsforest graphrank of aggregated sparsity matrix

Mathematics Subject Classification ID

Quadratic programming (90C20) Semidefinite programming (90C22)

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Cited In (4)

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Uses Software

• SDPNAL+
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