Fast ADMM for sum-of-squares programs using partial orthogonality
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Accepted version
Author(s)
Zheng, Y
Fantuzzi, G
Papachristodoulou, A
Type
Journal Article
Abstract
IEEE When sum-of-squares (SOS) programs are recast as semidefinite programs (SDPs) using the standard monomial basis, the constraint matrices in the SDP possess a structural property that we call partial orthogonality. In this paper, we leverage partial orthogonality to develop a fast first-order method, based on the alternating direction method of multipliers (ADMM), for the solution of the homogeneous self-dual embedding of SDPs describing SOS programs. Precisely, we show how a “diagonal plus low rank” structure implied by partial orthogonality can be exploited to project efficiently the iterates of a recent ADMM algorithm for generic conic programs onto the set defined by the affine constraints of the SDP. The resulting algorithm, implemented as a new package in the solver CDCS, is tested on a range of large-scale SOS programs arising from constrained polynomial optimization problems and from Lyapunov stability analysis of polynomial dynamical systems. These numerical experiments demonstrate the effectiveness of our approach compared to common state-of-the-art solvers.
Date Issued
2019-09
Date Acceptance
2018-12-01
Citation
IEEE Transactions on Automatic Control, 2019, 64 (9), pp.3869-3876
ISSN
0018-9286
Publisher
Institute of Electrical and Electronics Engineers
Start Page
3869
End Page
3876
Journal / Book Title
IEEE Transactions on Automatic Control
Volume
64
Issue
9
Copyright Statement
© 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Grant Number
EPSRC DTP, award ref. EP/N509486/1
Subjects
Science & Technology
Technology
Automation & Control Systems
Engineering, Electrical & Electronic
Engineering
Alternating direction method of multipliers (ADMM)
large-scale optimization
sum-of-squares (SOS)
GLOBAL OPTIMIZATION
RELAXATIONS
MATLAB
POLYNOMIALS
math.OC
math.OC
0906 Electrical and Electronic Engineering
0102 Applied Mathematics
0913 Mechanical Engineering
Industrial Engineering & Automation
Publication Status
Published
Date Publish Online
2018-12-10