Bounding duality gap for separable problems with linear constraints

DOI10.1007/S10589-015-9819-4zbMATH Open1351.90135arXiv1410.4158OpenAlexW2297878663WikidataQ59831367 ScholiaQ59831367MaRDI QIDQ288396FDOQ288396

Stephen Boyd, Madeleine Udell

Publication date: 25 May 2016

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Abstract: We consider the problem of minimizing a sum of non-convex functions over a compact domain, subject to linear inequality and equality constraints. Approximate solutions can be found by solving a convexified version of the problem, in which each function in the objective is replaced by its convex envelope. We propose a randomized algorithm to solve the convexified problem which finds an $epsilon$-suboptimal solution to the original problem. With probability one, $epsilon$ is bounded by a term proportional to the maximal number of active constraints in the problem. The bound does not depend on the number of variables in the problem or the number of terms in the objective. In contrast to previous related work, our proof is constructive, self-contained, and gives a bound that is tight.

Full work available at URL: https://arxiv.org/abs/1410.4158

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zbMATH Keywords

convex relaxationrandomized algorithmsduality gapseparable problemsShapley-Folkman theorem

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Nonconvex programming, global optimization (90C26)

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Cited In (9)

• A decentralized approach to multi-agent MILPs: finite-time feasibility and performance guarantees
• A characterization of Delsarte's linear programming bound as a ratio bound
• Duality Gap Estimation via a Refined Shapley--Folkman Lemma
• Duality gap in interval linear programming
• Tax-aware portfolio construction via convex optimization
• Approximation Bounds for Sparse Programs
• Dual decomposition for multi-agent distributed optimization with coupling constraints
• Vanishing Price of Decentralization in Large Coordinative Nonconvex Optimization
• Separating tight metric inequalities by bilevel programming

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