Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	Professor Toh Kim Chuan, National University of Singapore
Inviter:	Professor Xin Liu
Title:	A feasible method for general convex low-rank SDP problems
Language:	Chinese
Time & Venue:	2023.12.27 10:00-11:00 Z311
Abstract:	In this work, we consider the low rank decomposition (SDPR) of general convex semidefinite programming problems (SDP) that contain both a positive semidefinite matrix and a nonnegative vector as variables. We develop a rank-support-adaptive feasible method to solve (SDPR). The method is able to escape from a saddle point to ensure its convergence to a global optimal solution for generic constraint vectors. We prove its global convergence and local linear convergence without assuming that the objective function is twice differentiable. The iteration complexity of our algorithm is better than previous results in the literature. In order to overcome the degeneracy issues of SDP problems, we develop two strategies based on random perturbation and dual refinement. These techniques enable us to solve some primal degenerate SDP problems efficiently, for example, Lovasz theta SDPs. Our work is a step forward in extending the application range of Riemannian optimization approaches for solving SDP problems. Numerical experiments are conducted to verify the efficiency and robustness of our method.