The many faces of degeneracy in conic optimization

arXiv1706.03705MaRDI QIDQ6287771FDOQ6287771

Henry Wolkowicz, D. Drusvyatskiy

Publication date: 12 June 2017

Abstract: Slater's condition -- existence of a "strictly feasible solution" -- is a common assumption in conic optimization. Without strict feasibility, first-order optimality conditions may be meaningless, the dual problem may yield little information about the primal, and small changes in the data may render the problem infeasible. Hence, failure of strict feasibility can negatively impact off-the-shelf numerical methods, such as primal-dual interior point methods, in particular. New optimization modelling techniques and convex relaxations for hard nonconvex problems have shown that the loss of strict feasibility is a more pronounced phenomenon than has previously been realized. In this text, we describe various reasons for the loss of strict feasibility, whether due to poor modelling choices or (more interestingly) rich underlying structure, and discuss ways to cope with it and, in many pronounced cases, how to use it as an advantage. In large part, we emphasize the facial reduction preprocessing technique due to its mathematical elegance, geometric transparency, and computational potential.

Has companion code repository: https://github.com/stephenbeckr/CambridgeOptimisationCourse

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