Preprocessing and Reduction for Semidefinite Programming via Facial Reduction: Theory and Practice

Abstract

Semidefinite programming is a powerful modeling tool for a wide range of optimization and feasibility problems. Its prevalent use in practice relies on the fact that a (nearly) optimal solution of a semidefinite program can be obtained efficiently in both theory and practice, provided that the semidefinite program and its dual satisfy the Slater condition.

This thesis focuses on the situation where the Slater condition (i.e., the existence of positive definite feasible solutions) does not hold for a given semidefinite program; the failure of the Slater condition often occurs in structured semidefinite programs derived from various applications. In this thesis, we study the use of the facial reduction technique, originally proposed as a theoretical procedure by Borwein and Wolkowicz, as a preprocessing technique for semidefinite programs. Facial reduction can be used either in an algorithmic or a theoretical sense, depending on whether the structure of the semidefinite program is known a priori.

The main contribution of this thesis is threefold. First, we study the numerical issues in the implementation of the facial reduction as an algorithm on semidefinite programs, and argue that each step of the facial reduction algorithm is backward stable. Second, we illustrate the theoretical importance of the facial reduction procedure in the topic of sensitivity analysis for semidefinite programs. Finally, we illustrate the use of facial reduction technique on several classes of structured semidefinite programs, in particular the side chain positioning problem in protein folding.