exploiting structure in sdps with chordal...
TRANSCRIPT
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Exploiting Structure in SDPs with Chordal Sparsity
Antonis PapachristodoulouDepartment of Engineering Science, University of Oxford
Joint work with Yang Zheng, Giovanni Fantuzzi, Paul Goulart and Andrew Wynn
CDC 2016 Pre-conference Workshop
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OUTLINE
22 ADMM for Primal and Dual Sparse SDPs
11 Chordal Graphs and Positive Semidefinite Matrices
33 CDCS: Cone Decomposition Conic Solver
44 Conclusion
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graph ( , ) is chordal if every cycle of 4 chorlen hagth .ds a A =
≥G V E
1
2 3
4 12
3
45
6
7
8
910
11
12
Can recognise chordal graphs in (| | | |) timeO +V E
Chordal Graphs
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1
2 3
4 12
3
45
6
7
8
910
11
12
Chordal Graphs
Can recognise chordal graphs in (| | | |) timeO +V E
graph ( , ) is chordal if every cycle of 4 chorlen hagth .ds a A =
≥G V E
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1
A maximal clique is a clique that is nota subset of another clique
{1,2,6}.
.e.g. =C
1
2 3
4
56
C1C3
C2
C4
Can find the maximal cliques of a chordal graph in (| | | |) time.O +V E
Maximal Cliques
1
2 3
4
56
1C
2C
3C
4C
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a)
b)
c)
d)
Examples of Chordal Graphs
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{ }( ,0) | 0, ( , )n nijZ Z i jZ = ∈ = ∀ ∉∈ SS E E
( ,0) { 0}( ,0) |n n ZZ+ ∈=E ES S
41
2 3
4
56
( ) ( , )Z =G V E
Z
z11
z12
0 0 0 z16
z12
z22
z23
z24
0 z26
0 z23
z33
z34
0 00 z
24z
34z
44z
45z
46
0 0 0 z45
z55
z56
z16
z26
0 z46
z56
z66
⎡
⎣
⎢⎢⎢⎢⎢⎢⎢⎢⎢
⎤
⎦
⎥⎥⎥⎥⎥⎥⎥⎥⎥
Sparse Matrices
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1 2
1 2
{ , , , }. Suppose
tha
Theorem: Let ( , ) be a chordal graph withset of maximal cliques
( ,0). Then ( ,0) if and only ifthere exists a set of matrices
t { , , , } such
t
hat ,
n
k
n
p
p
k
ZZ
Z Z Z
Z Z Z
+
= …
∈ ∈
=
=
…
S SC C C C
G V E
E E
10, 0 if ( , .)
pkij k k
kZ i j
=
= ∈ ×/∑ E E
Agler’s Theorem
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1
2 3
4
56
1C
Example: Applying Agler’s Theorem
2C
3C
4C
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4
5
3
1
2
6
2
6
4
2
6
4
Example: Applying Agler’s Theorem
2C
3C
4C
1C
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• Applications: control theory, fluid mechanics, machine learning, polynomial optimization, combinatorics, operations research, finance, etc.
• Second-order solvers : SeDuMi, SDPA, SDPT3 • Large-scale cases: exploit the inherent structure of the
instances (De Klerk, 2010):Low Rank and Algebraic Symmetry.Chordal Sparsity:
Second-order methods: Fukuda et al., 2001; Nakata et al., 2003; Andersen et al., 2010;First-order methods: Madani et al., 2015; Sun et al., 2014.
1. SDPs with Chordal Sparsity
Dual
SDPs with Chordal Sparsity
min ,
subject to ( )
X
n
C X
X bX +
=∈S
A,
max ,
subject to ( ) Z
y Z
n
b y
y CZ
∗
+
+ =∈SA
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Primal SDP Dual SDP
DecomposedDual SDPDuality
Grone’sTheorem
ChordalGraphs
DecomposedPrimal SDP
Duality
Agler’sTheorem
Decomposing Sparse SDPs
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1. SDPs with Chordal SparsitySDPs with Chordal Sparsity
( , )=G V E
{ }( ,0) | 0, ( , )n nijX X i j= ∈ = ∀ ∉S SE E
( ,0) { 0}( ,0) |n n XX+ ∈=E ES S
( ,?) partial symmetric matrices with entries defined on n n n= ×S E E
( ,?) ( ,?) | 0, , ( , ){ }n nij ijM M XX i j+ = ∃ ≥ = ∀∈ ∈S SE E E
( ,?) ( ,0) are dual cones o an f each ot ed h rn n+ +E ES S
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1. SDPs with Chordal Sparsity
Grone’s Theorem:
i.e., matrix X is PSD
completable
Grone’s theorem
1
Consider a choral graph , with a set of maximal cliques ,
(, .
)
p
=G V EC C…
( ,?) if and only if ( ) 0, 1, , .nkX X k p+∈ = …S E C
1( ) 0X C
2( ) 0X C
3( ) 0X C
( ,?)nX +∈S E
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,
1
max ,
s.t ( )
Z , 1, ,
k k
k
y Z
pT
kk
b y
y E Z E C
k p
∗
=
+
+ =
∈ = …
∑S
C C
C
A
min ,
s.t. ( ) , 1, ,k
k k
X
T
C X
X bE XE k p+
=∈ = …S C
C C
A
,max ,
subject to ( ) Z
y Z
n
b y
y CZ
∗
+
+ =∈SA
min ,
subject to ( )
X
n
C X
X bX +
=∈S
A
2. ADMM for Primal and Dual Sparse SDPs
Primal Dual
Cone Decomposition of Primal and Dual SDPs
( ,?)nX +∈S E ( ,0)nZ +∈S E
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OUTLINE
22 ADMM for Primal and Dual Sparse SDPs
11 Chordal Graphs and Positive Semidefinite Matrices
33 CDCS: Cone Decomposition Conic Solver
44 Conclusion
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2. ADMM for Primal and Dual Sparse SDPsAlternating Direction Method of Multipliers
min ( ) ( )s.t.
f x g zx z
+=
2
1
2
2
1 1
2
1 1 1
1argmin ( )2
1argmin ( )2
( )
n n n
x
n n n
z
n n n n
x f x x z
z g z x z
x z
ρ λρ
ρ λρ
λ λ ρ
+
+ +
+ + +
⎛ ⎞= + − +⎜ ⎟⎜ ⎟
⎝ ⎠⎛ ⎞
= + − +⎜ ⎟⎜ ⎟⎝ ⎠
= + −
An operator splitting method for a problem of the form
f, g may be nonsmooth.
ADMM:
2
2
1( ) ( )2
f x g z x zρ λρ
= + + − +LLagrangian:
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2. ADMM for Primal and Dual Sparse SDPsReformulation and decomposition of the PSD constraint
min ,s.t. ( ) , 1, , , 1, ,
k k
k
X
Tk
k
C XX b
X E XE k pX k p+
== = …∈ = …
C C
C
A
S
1, , ,min s.t. , 1, , , 1, ,
p
T
x x x
k k
k k
c xAx bx H x k px k p
== = …∈ = …S
…
• Using indicator functions
• Augmented Lagrangian
• Regroup the variables
10, ,
1
min ( ) ( )
s.t. , 1, ,
kp
pT
kx x xk
k k
c x Ax b x
x H x k p
δ δ=
+ − +
= = …
∑ S…
2
01
1( ) ( )2k
pT
k k k kk
c x Ax b x x H xρδ δ λρ=
⎡ ⎤= + − + + − +⎢ ⎥
⎢ ⎥⎣ ⎦∑ SL
{ } { } { }1 1; , ; ,p px x x λ λ… …X Y Z
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2. ADMM for Primal and Dual Sparse SDPs
1) Minimization over
2) Minimization over
3) Update multipliers
Projections in parallel
QP with linear constraint
the KKT system matrix only depends on the problem data.
ADMM for Primal SDPs
2
( ) ( )
1
1min 2
s.t.
pT n n
k k kxk
c x x H x
Ax b
ρ λρ=
+ − +
=
∑
2
( 1) ( )1min
s.t.
k
n nk k kx
k k
x H x
x
λρ
+− +
∈S
( )( 1) ( ) ( 1) ( 1)n n n nk k k kx H xλ λ ρ+ + += + −
2
01
1( ) ( )2k
pT
k k k kk
c x Ax b x x H xρδ δ λρ=
⎡ ⎤= + − + + − +⎢ ⎥
⎢ ⎥⎣ ⎦∑ SL
{ } { } { }1 1; , ; ,p px x x λ λ… …X Y Z
X
Y
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2. ADMM for Primal and Dual Sparse SDPs
The duality between the primal and dual SDP is inherited by the decomposed problems by virtue of the duality between Grone’s and Agler’s theorems.
ADMM for Primal and Dual SDPs
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,z
1
min
s.t.
z 0, 1, , , 1, ,
k
T
yp
T Tk k
k
k k
k k
b y
A y H v c
v k pz k p
=
−
+ =
− = = …∈ = …
∑
S
,min s.t. , 1, ,
k
T
x x
k k
k k
c xAx bx H xx k p
==∈ = …S
3. ADMM for the Homogenous Self-dual Embedding
• Notational simplicity
• KKT conditionsPrimal feasible
Dual feasible
Zero-duality gap
ADMM for the Homogeneous self-dual embedding
1 1 1 1
, , ,
p p p p
x z v Hs z v H
x z v H
⎡ ⎤ ⎡ ⎤ ⎡ ⎤ ⎡ ⎤⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥⎣ ⎦ ⎣ ⎦ ⎣ ⎦ ⎣ ⎦
, 0,, 0,
Ax r b rs w Hx w s
∗ ∗ ∗
∗ ∗ ∗ ∗ ∗
− = =+ = = ∈S
, 0,0,
T TA y H v h c hz v z
∗ ∗ ∗ ∗
∗ ∗ ∗
+ + = =− = ∈S
0T Tc x b y∗ ∗− =
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3. ADMM for the Homogenous Self-dual Embedding
• Notational simplicity
• Feasibility problem
ADMM for the Homogeneous self-dual embedding
0 00 0 0 0
0 0 00 0 0
0 0 0
T T
T T
h xA H cz sIr yA bw vH I
c bκ τ
− −⎡ ⎤⎡ ⎤ ⎡ ⎤⎢ ⎥⎢ ⎥ ⎢ ⎥⎢ ⎥⎢ ⎥ ⎢ ⎥
= ⎢ ⎥⎢ ⎥ ⎢ ⎥−⎢ ⎥⎢ ⎥ ⎢ ⎥−⎢ ⎥⎢ ⎥ ⎢ ⎥⎢ ⎥⎢ ⎥ ⎢ ⎥−⎣ ⎦ ⎣ ⎦⎣ ⎦
, are two non-negativeand complementary variables
τ κ
2
0 00 0 0 0
, , , 0 0 00 0 0
0 0 0
d
T T
nn m
T T
h x A H cz s I
v u Qr y A bw v H I
c bκ τ
+
− −⎡ ⎤⎡ ⎤ ⎡ ⎤⎢ ⎥⎢ ⎥ ⎢ ⎥⎢ ⎥⎢ ⎥ ⎢ ⎥
= × × × ×⎢ ⎥⎢ ⎥ ⎢ ⎥ −⎢ ⎥⎢ ⎥ ⎢ ⎥ −⎢ ⎥⎢ ⎥ ⎢ ⎥⎢ ⎥⎢ ⎥ ⎢ ⎥ −⎣ ⎦ ⎣ ⎦ ⎣ ⎦
K S
find ( , )s.t. ( , )
u vv Quu v ∗
=∈ ×K K
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Block elimination can be applied here to speed up the projection;Then, the per-iteration cost is the same as applying a splitting method to the primal or dual alone.
[1] O’Donoghue, B., Chu, E., Parikh, N. and Boyd, S. (2016). Conic optimization via operator splitting and homogeneous self-dual embedding. Journal of Optimization Theory and Applications, 169(3), 1042– 1068
• ADMM steps (similar to solver SCS [1])
Q is highly structured and sparse
Projection to a subspaceProjection to cones
ADMM for the Homogeneous self-dual embedding
find ( , )s.t. , ( , )
u vv Qu u v ∗= ∈ ×K K
1 1
1 1
1 1 1
ˆ ( ) ( )ˆP ( )ˆ
k k k
k k k
k k k k
u I Q u vu u vv v u u
+ −
+ +
+ + +
= + += −= − +
K
0 00 0 0 0
0 0 00 0 0
0 0 0
T T
T T
A H cI
Q A bH Ic b
− −⎡ ⎤⎢ ⎥⎢ ⎥⎢ ⎥−⎢ ⎥−⎢ ⎥⎢ ⎥−⎣ ⎦
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OUTLINE
22 ADMM for Primal and Dual Sparse SDPs
11 Chordal Graphs and Positive Semidefinite Matrices
33 CDCS: Cone Decomposition Conic Solver
44 Conclusion
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4. CDCS: Cone Decomposition Conic Solver
• An open source MATLAB solver for partially decomposable conic programs;
• CDCS supports constraints on the following cones:Free variablesnon-negative orthantsecond-order conethe positive semidefinite cone.
• Input-output format is aligned with SeDuMi;• Works with latest YALMIP release.
Download from https://github.com/OxfordControl/CDCS
[x,y,z,info] = cdcs(At,b,c,K,opts);
Syntax:
CDCS: Cone Decomposition Conic Solver
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4. CDCS: Cone Decomposition Conic SolverRandom SDPs with block-arrow pattern
• Block size: d• Number of Blocks: l• Arrow head: h• Number of constraints: m
Numerical Comparison• SeDuMi• sparseCoLO+SeDuMi• SCS• sparseCoLO+SCS= 10CDCS and SCSNumerical Result
CDCS: Cone Decomposition Conic Solver
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32
4. CDCS: Cone Decomposition Conic SolverBenchmark problems in SDPLIB
Three sets of benchmark problems in SDPLIB (Borchers, 1999):
1) Four small and medium-sized SDPs ( theta1, theta2, qap5 and qap9);
2) Four large-scale sparse SDPs (maxG11, maxG32, qpG11 and qpG51);
3) Two infeasible SDPs (infp1 and infd1).
CDCS: Cone Decomposition Conic Solver
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4. CDCS: Cone Decomposition Conic SolverResult: small and medium-sized instances
CDCS: Cone Decomposition Conic Solver
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4. CDCS: Cone Decomposition Conic SolverResult: large-sparse instances
CDCS: Cone Decomposition Conic Solver
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4. CDCS: Cone Decomposition Conic SolverResult: Infeasible instances
CDCS: Cone Decomposition Conic Solver
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4. CDCS: Cone Decomposition Conic SolverResult: CPU time per iteration
Our codes are currently written in MATLAB SCS is implemented in C.
CDCS: Cone Decomposition Conic Solver
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5. Conclusion
• Introduced a conversion framework for sparse SDPs• Developed efficient ADMM algorithms
Primal and dual standard form;The homogeneous self-dual embedding;
Ongoing work• Develop ADMM algorithms for sparse SDPs arising in SOS.• Applications in networked systems and power systems
suitable for first-order methods
Conclusion
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Thank you for your attention!
1. Zheng, Y., Fantuzzi G., Papachristodoulou A., Goulart, P., and Wynn, A. (2016) Fast ADMM for Semidefinite Programs with Chordal Sparsity. arXiv preprint arXiv:1609.06068
2. Zheng, Y., Fantuzzi, G., Papachristodoulou, A., Goulart, P., & Wynn, A. (2016) Fast ADMM for homogeneous self-dual embeddings of sparse SDPs. arXiv preprint arXiv:1611.01828
• CDCS: Download from https://github.com/OxfordControl/CDCS