On polyhedral and second-order cone decompositions of semidefinite optimization problems

DOI10.1016/J.ORL.2019.12.003MaRDI QIDQ2294533zbMATH OpenOpenAlexWikidataFDO

Authors Ryan Cory-Wright, Dimitris Bertsimas

Publication date 11 February 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.03143

zbMATH Keywords

nuclear normsparse PCAsemidefinite optimizationcutting plane

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• scientific article; zbMATH DE number 1818892 (Why is no real title available?)
• scientific article; zbMATH DE number 47926 (Why is no real title available?)
• A unifying framework for several cutting plane methods for semidefinite programming
• An exact duality theory for semidefinite programming and its complexity implications
• Approximation Limits of Linear Programs (Beyond Hierarchies)
• Bounds for eigenvalues using traces
• Certifiably optimal sparse principal component analysis
• Cutting-set methods for robust convex optimization with pessimizing oracles
• DSOS and SDSOS optimization: more tractable alternatives to sum of squares and semidefinite optimization
• Guaranteed minimum-rank solutions of linear matrix equations via nuclear norm minimization
• JuMP: a modeling language for mathematical optimization
• Partial facial reduction: simplified, equivalent SDPs via approximations of the PSD cone
• Second order cone programming relaxation of nonconvex quadratic optimization problems
• Solution of a Large-Scale Traveling-Salesman Problem
• Strong SOCP relaxations for the optimal power flow problem
• The Cutting-Plane Method for Solving Convex Programs

Cited in

(7)

• On Polyhedral and Second-Order Cone Decompositions of Semidefinite Optimization Problems
• Tighter bounds on transient moments of stochastic chemical systems
• Evaluating approximations of the semidefinite cone with trace normalized distance
• Mixed-Projection Conic Optimization: A New Paradigm for Modeling Rank Constraints
• The \(\mathcal{S}\)-cone and a primal-dual view on second-order representability
• A Scalable Algorithm for Sparse Portfolio Selection
• scientific article; zbMATH DE number 7625166 (Why is no real title available?)

Describes a project that uses

Uses Software

• UCI
• quantmod
• JuMP
• SPOTless
• Optimal-SPCA
• frlib

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