Seriation seeks to reconstruct a linear order between variables using unsorted, pairwise similarity information. It has direct applications in archeology and shotgun gene sequencing for example. We write seriation as an optimization problem by proving the equivalence between the seriation and combinatorial 2-SUM problems on similarity matrices (2-SUM is a quadratic minimization problem over permutations). The seriation problem can be solved exactly by a spectral algorithm in the noiseless case and we derive several convex relaxations for 2-SUM to improve the robustness of seriation solutions in noisy settings. These convex relaxations also allow us to impose structural constraints on the solution, hence solve semi-supervised seriation problems. We derive new approximation bounds for some of these relaxations and present numerical experiments on archeological data, Markov chains and DNA assembly from shotgun gene sequencing data.
The Birkhoff polytope (the convex hull of the set of permutation matrices) is frequently invoked in formulating relaxations of optimization problems over permutations. The Birkhoff polytope is represented using $Θ(n^2)$ variables and constraints, significantly more than the $n$ variables one could use to represent a permutation as a vector. Using a recent construction of Goemans (2010), we show that when optimizing over the convex hull of the permutation vectors (the permutahedron), we can reduce the number of variables and constraints to $Θ(n \log n)$ in theory and $Θ(n \log^2 n)$ in practice…
We develop techniques to convexify a set that is invariant under permutation and/or change of sign of variables and discuss applications of these results. First, we convexify the intersection of the unit ball of a permutation and sign-invariant norm with a cardinality constraint. This gives a nonlinear formulation for the feasible set of sparse principal component analysis (sparse PCA) and an alternative proof of the $K$-support norm. Second, we characterize the convex hull of sets of matrices defined by constraining their singular values. As a consequence, we generalize an earlier result that…
There is always a natural embedding of $S_s\wr S_k$ into the linear programming (LP) relaxation permutation symmetry group of an orthogonal array integer linear programming (ILP) formulation with equality constraints. The point of this paper is to prove that in the $2$ level, strength $1$ case the LP relaxation permutation symmetry group of this formulation is isomorphic to $S_2\wr S_k$ for all $k$, and in the $2$ level, strength $2$ case it is isomorphic to $S_2^k\rtimes S_{k+1}$ for $k\geq 4$. The strength $2$ result reveals previously unknown permutation symmetries that can not be captured …
We study convex relaxations of nonconvex quadratic programs. We identify a family of so-called feasibility preserving convex relaxations, which includes the well-known copositive and doubly nonnegative relaxations, with the property that the convex relaxation is feasible if and only if the nonconvex quadratic program is feasible. We observe that each convex relaxation in this family implicitly induces a convex underestimator of the objective function on the feasible region of the quadratic program. This alternative perspective on convex relaxations enables us to establish several useful proper…
Convex relaxations of the AC power flow equations have attracted significant interest in the power systems research community in recent years. The following collection of video lectures provides a brief introduction to the mathematics of AC power systems, continuous nonlinear optimization, and relaxations of the power flow equations. The aim of the videos is to provide the high level ideas of convex relaxations and their applications in power system optimization, and could be used as a starting point for researchers who want to study, use or develop new convex relaxations for use in their own …
This paper studies robust solutions and semidefinite linear programming (SDP) relaxations of a class of convex polynomial programs in the face of data uncertainty. The class of convex programs, called robust SOS-convex programs, includes robust quadratically constrained convex programs and robust separable convex polynomial programs. It establishes sums of squares polynomial representations characterizing robust solutions and exact SDP-relaxations of robust SOS-convex programs under various commonly used uncertainty sets. In particular, the results show that the polytopic and ellipsoidal uncer…
We consider coordinate descent methods on convex quadratic problems, in which exact line searches are performed at each iteration. (This algorithm is identical to Gauss-Seidel on the equivalent symmetric positive definite linear system.) We describe a class of convex quadratic problems for which the random-permutations version of cyclic coordinate descent (RPCD) outperforms the standard cyclic coordinate descent (CCD) approach, yielding convergence behavior similar to the fully-random variant (RCD). A convergence analysis is developed to explain the empirical observations.
Optimal power flow (OPF) is one of the key electric power system optimization problems. "Moment" relaxations from the Lasserre hierarchy for polynomial optimization globally solve many OPF problems. Previous work illustrates the ability of higher-order moment relaxations to approach the convex hulls of OPF problems' non-convex feasible spaces. Using a small test case, this paper focuses on the ability of the moment relaxations to globally solve problems with objective functions that have unconstrained minima at infeasible points inside the convex hull of the non-convex constraints.
This work addresses the occupation measure relaxation of calculus of variations problems, which is an infinite-dimensional linear programming relaxation amenable to numerical approximation by a hierarchy of semidefinite optimization problems. We address the problem of equivalence of this relaxation to the original problem. Our main result provides sufficient conditions for this equivalence. These conditions, revolving around the convexity of the data, are simple and apply in very general settings that may be of arbitrary dimensions and may include pointwise and integral constraints, thereby co…
We investigate new convex relaxations for the pooling problem, a classic nonconvex production planning problem in which input materials are mixed in intermediate pools, with the outputs of these pools further mixed to make output products meeting given attribute percentage requirements. Our relaxations are derived by considering a set which arises from the formulation by considering a single product, a single attibute, and a single pool. The convex hull of the resulting nonconvex set is not polyhedral. We derive valid linear and convex nonlinear inequalities for the convex hull, and demonstrat…
Non-convex optimization problems can be approximately solved via relaxation or local algorithms. For many practical problems such as optimal power flow (OPF) problems, both approaches tend to succeed in the sense that relaxation is usually exact and local algorithms usually converge to a global optimum. In this paper, we study conditions which are sufficient or necessary for such non-convex problems to simultaneously have exact relaxation and no spurious local optima. Those conditions help us explain the widespread empirical experience that local algorithms for OPF problems often work extremel…
To avoid simultaneous charging and discharging of storages, complementarity constraints are introduced to storage-concerned economic dispatch (ED), which makes the problem non-convex. This letter concerns the conditions under which the convex relaxation of storage-concerned ED with complementarity constraints is exact. Two new sufficient conditions are proposed, proved and verified to significantly reduce the conservatism of recent results [3], [4].
This paper proposes a general fixture layout design framework that directly integrates the system equation with the convex relaxation method. Note that the optimal fixture design problem is a large-scale combinatorial optimization problem, we relax it to a convex semidefinite programming (SDP) problem by adopting sparse learning and SDP relaxation techniques. It can be solved efficiently by existing convex optimization algorithms and thus generates a near-optimal fixture layout. A real case study in the half-to-half fuselage assembly process indicates the superiority of our proposed algorithm …
In this paper, we study the convex quadratic optimization problem with indicator variables. For the bivariate case, we describe the convex hull of the epigraph in the original space of variables, and also give a conic quadratic extended formulation. Then, using the convex hull description for the bivariate case as a building block, we derive an extended SDP relaxation for the general case. This new formulation is stronger than other SDP relaxations proposed in the literature for the problem, including Shor's SDP relaxation, the optimal perspective relaxation as well as the optimal rank-one rel…
This two-part paper is concerned with the problem of minimizing a linear objective function subject to a bilinear matrix inequality (BMI) constraint. In this part, we first consider a family of convex relaxations which transform BMI optimization problems into polynomial-time solvable surrogates. As an alternative to the state-of-the-art semidefinite programming (SDP) and second-order cone programming (SOCP) relaxations, a computationally efficient parabolic relaxation is developed, which relies on convex quadratic constraints only. Next, we developed a family of penalty functions, which can be…
This paper considers state-of-the-art convex relaxations for the AC power flow equations and introduces new valid cuts based on convex envelopes and lifted nonlinear constraints. These valid linear inequalities strengthen existing semidefinite and quadratic programming relaxations and dominate existing cuts proposed in the litterature. Together with model intersections and bound tightening, the new linear cuts close 8 of the remaining 16 open test cases in the NESTA archive for the AC Optimal Power Flow problem.
We consider the global optimization of nonconvex mixed-integer quadratic programs with linear equality constraints. In particular, we present a new class of convex quadratic relaxations which are derived via quadratic cuts. To construct these quadratic cuts, we solve a separation problem involving a linear matrix inequality with a special structure that allows the use of specialized solution algorithms. Our quadratic cuts are nonconvex, but define a convex feasible set when intersected with the equality constraints. We show that our relaxations are an outer-approximation of a semi-infinite con…
This paper aims to find efficient solutions to a multi-objective optimization problem (MP) with convex polynomial data. To this end, a hybrid method, which allows us to transform problem (MP) into a scalar convex polynomial optimization problem (P$_z$) and does not destroy the properties of convexity, is considered. First, we show an existence result for efficient solutions to problem (MP) under some mild assumption. Then, for problem (P$_z$), we establish two kinds of representations of non-negativity of convex polynomials over convex semi-algebraic sets, and propose two kinds of finite conve…
Graph matching or quadratic assignment, is the problem of labeling the vertices of two graphs so that they are as similar as possible. A common method for approximately solving the NP-hard graph matching problem is relaxing it to a convex optimization problem over the set of doubly stochastic (DS) matrices. Recent analysis has shown that for almost all pairs of isomorphic and asymmetric graphs, the DS relaxation succeeds in correctly retrieving the isomorphism between the graphs. Our goal in this paper is to analyze the case of symmetric isomorphic graphs. This goal is motivated by shape match…
The first part of this paper proposed a family of penalized convex relaxations for solving optimization problems with bilinear matrix inequality (BMI) constraints. In this part, we generalize our approach to a sequential scheme which starts from an arbitrary initial point (feasible or infeasible) and solves a sequence of penalized convex relaxations in order to find feasible and near-optimal solutions for BMI optimization problems. We evaluate the performance of the proposed method on the H2 and Hinfinity optimal controller design problems with both centralized and decentralized structures. Th…
In this paper we introduce the Ameso optimization problem, a special class of discrete optimization problems. We establish its basic properties and investigate the relation between Ameso optimization and the convex optimization. Further, we design an algorithm to solve a multi-dimensional Ameso problem by solving a sequence of one-dimensional Ameso problems. Finally, we demonstrate how the knapsack problem can be solved using the Ameso optimization framework.
In this paper, we consider the optimal power flow (OPF) problem which consists in determining the power production at each bus of an electric network by minimizing the production cost. Our contribution is an exact solution algorithm for the OPF problem. It consits in a spatial branch-and-bound algorithm based on a compact quadratically constrained convex relaxation. This compact relaxation is computed by solving the rank relaxation once at the beginning of the algorithm. The key point of this approach is that the lower bound at the root node of the branch-and-bound tree is equal to the rank re…
In this paper, we study the mixed-integer nonlinear set given by a separable quadratic constraint on continuous variables, where each continuous variable is controlled by an additional indicator. This set occurs pervasively in optimization problems with uncertainty and in machine learning. We show that optimization over this set is NP-hard. Despite this negative result, we characterize the structure of the convex hull, and show that it can be formally studied using polyhedral theory. Moreover, we show that although perspective relaxation in the literature for this set fails to match the struct…
Nonconvex optimal-control problems governed by evolution problems in infinite-dimensional spaces (as e.g. parabolic boundary-value problems) needs a continuous (and possibly also smooth) extension on some (preferably convex) compactification, called relaxation, to guarantee existence of their solutions and to facilitate analysis by relatively conventional tools. When the control is valued in some subsets of Lebesgue spaces, the usual extensions are either too coarse (allowing in fact only very restricted nonlinearities) or too fine (being nonmetrizable). To overcome these drawbacks, a compromi…
This paper considers the problem of finding a low rank matrix from observations of linear combinations of its elements. It is well known that if the problem fulfills a restricted isometry property (RIP), convex relaxations using the nuclear norm typically work well and come with theoretical performance guarantees. On the other hand these formulations suffer from a shrinking bias that can severely degrade the solution in the presence of noise. In this theoretical paper we study an alternative non-convex relaxation that in contrast to the nuclear norm does not penalize the leading singular value…
We consider coordinate descent (CD) methods with exact line search on convex quadratic problems. Our main focus is to study the performance of the CD method that use random permutations in each epoch and compare it to the performance of the CD methods that use deterministic orders and random sampling with replacement. We focus on a class of convex quadratic problems with a diagonally dominant Hessian matrix, for which we show that using random permutations instead of random with-replacement sampling improves the performance of the CD method in the worst-case. Furthermore, we prove that as the …
Distribution networks are usually multiphase and radial. To facilitate power flow computation and optimization, two semidefinite programming (SDP) relaxations of the optimal power flow problem and a linear approximation of the power flow are proposed. We prove that the first SDP relaxation is exact if and only if the second one is exact. Case studies show that the second SDP relaxation is numerically exact and that the linear approximation obtains voltages within 0.0016 per unit of their true values for the IEEE 13, 34, 37, 123-bus networks and a real-world 2065-bus network.
We consider several basic questions pertaining to the geometry of image of a general quadratic map. In general the image of a quadratic map is non-convex, although there are several known classes of quadratic maps when the image is convex. Remarkably, even when the image is not convex it often exhibits hidden convexity: a surprising efficiency of convex relaxation to address various geometric questions by reformulating them in terms of convex optimization problems. In this paper we employ this strategy and put forward several algorithms that solve the following problems pertaining to the image…
This article presents a new method for computing guaranteed convex and concave relaxations of nonlinear stochastic optimal control problems with final-time expected-value cost functions. This method is motivated by similar methods for deterministic optimal control problems, which have been successfully applied within spatial branch-and-bound (B&B) techniques to obtain guaranteed global optima. Relative to those methods, a key challenge here is that the expected-value cost function cannot be expressed analytically in closed form. Nonetheless, the presented relaxations provide rigorous lower and…
Recently, there has been significant interest in convex relaxations of the optimal power flow (OPF) problem. A semidefinite programming (SDP) relaxation globally solves many OPF problems. However, there exist practical problems for which the SDP relaxation fails to yield the global solution. Conditions for the success or failure of the SDP relaxation are valuable for determining whether the relaxation is appropriate for a given OPF problem. To move beyond existing conditions, which only apply to a limited class of problems, a typical conjecture is that failure of the SDP relaxation can be rela…
Traditional largest normalize residual (LNR) test for bad data identification relies on state estimation residuals and thus can only be implemented after running Power System State Estimation (PSSE). LNR may fail to detect bad data in leverage point measurements and multiple interacting and conforming bad data. This paper proposes an optimization problem formulation for joint state estimation and bad data identification based on second-order cone programming (SOCP) convex relaxation. L1 -norm of the sparse residuals is added in the objective function of the state estimation problem in order to…
This paper investigates the water network's potential ability to provide demand response services to the power grid under the framework of a distribution-level water-energy nexus (micro-WEN). In particular, the hidden controllability of water loads, such as irrigation systems, was closely studied to improve the flexibility of electrical grids. A optimization model is developed for the demand-side management (DSM) of micro-WEN, and the simulation results assert that grid flexibility indeed benefits from controllable water loads. Although the proposed optimal DSM model is an intractable mixed-in…
This paper concerns with a noisy structured low-rank matrix recovery problem which can be modeled as a structured rank minimization problem. We reformulate this problem as a mathematical program with a generalized complementarity constraint (MPGCC), and show that its penalty version, yielded by moving the generalized complementarity constraint to the objective, has the same global optimal solution set as the MPGCC does whenever the penalty parameter is over a threshold. Then, by solving the exact penalty problem in an alternating way, we obtain a multi-stage convex relaxation approach. We prov…
Given a nonlinear, univariate, bounded, and differentiable function $f(x)$, this article develops a sequence of Mixed Integer Linear Programming (MILP) and Linear Programming (LP) relaxations that converge to the graph of $f(x)$ and its convex hull, respectively. Theoretical convergence of the sequence of relaxations to the graph of the function and its convex hull is established. For nonlinear non-convex optimization problems, the relaxations presented in this article can be used to construct tight MILP and LP relaxations. These MILP and the LP relaxations can also be used with MILP-based and…
Given a sample covariance matrix, we examine the problem of maximizing the variance explained by a linear combination of the input variables while constraining the number of nonzero coefficients in this combination. This is known as sparse principal component analysis and has a wide array of applications in machine learning and engineering. Unfortunately, this problem is also combinatorially hard and we discuss convex relaxation techniques that efficiently produce good approximate solutions. We then describe several algorithms solving these relaxations as well as greedy algorithms that iterati…
The Lasserre hierarchy of semidefinite programming (SDP) relaxations is an effective scheme for finding computationally feasible SDP approximations of polynomial optimization over compact semi-algebraic sets. In this paper, we show that, for convex polynomial optimization, the Lasserre hierarchy with a slightly extended quadratic module always converges asymptotically even in the face of non-compact semi-algebraic feasible sets. We do this by exploiting a coercivity property of convex polynomials that are bounded below. We further establish that the positive definiteness of the Hessian of the …
We address the sensor network localization problem given noisy range measurements between pairs of nodes. We approach the non-convex maximum-likelihood formulation via a known simple convex relaxation. We exploit its favorable optimization properties to the full to obtain an approach that: is completely distributed, has a simple implementation at each node, and capitalizes on an optimal gradient method to attain fast convergence. We offer a parallel but also an asynchronous flavor, both with theoretical convergence guarantees and iteration complexity analysis. Experimental results establish le…
We consider a parametric convex quadratic programming, CQP, relaxation for the quadratic knapsack problem, QKP. This relaxation maintains partial quadratic information from the original QKP by perturbing the objective function to obtain a concave quadratic term. The nonconcave part generated by the perturbation is then linearized by a standard approach that lifts the problem to the matrix space. We present a primal-dual interior point method to optimize the perturbation of the quadratic function, in a search for the tightest upper bound for the \QKPp. We prove that the same perturbation approa…
In this paper, we present new convex relaxations for nonconvex quadratically constrained quadratic programming (QCQP) problems. While recent research has focused on strengthening convex relaxations using reformulation-linearization technique (RLT), the state-of-the-art methods lose their effectiveness when dealing with (multiple) nonconvex quadratic constraints in QCQP. In this research, we decompose and relax each nonconvex constraint to two second order cone (SOC) constraints and then linearize the products of the SOC constraints and linear constraints to construct some effective new valid c…
Flexible transmission line impedances on one hand are a promising control resource for facilitating grid flexibility, but on the other hand add much complexity to the concerned optimization problems. This paper develops a convexification method for the AC optimal power flow with flexible line impedances. First, it is discovered that a flexible-impedance line is equivalent to a constant-impedance line linking a pair of transformers with correlated and continuously adjustable tap ratios. Then, with this circuit equivalent, the original optimization problem is reformulated into a semi-definite pr…
The affine inverse eigenvalue problem consists of identifying a real symmetric matrix with a prescribed set of eigenvalues in an affine space. Due to its ubiquity in applications, various instances of the problem have been widely studied in the literature. Previous algorithmic solutions were typically nonconvex heuristics and were often developed in a case-by-case manner for specific structured affine spaces. In this short note we describe a general family of convex relaxations for the problem by reformulating it as a question of checking feasibility of a system of polynomial equations, and th…
Hydro-thermal coordination is the problem of determining the optimal economic dispatch of hydro and thermal power plants over time. The physics of hydroelectricity generation is commonly simplified in the literature to account for its fundamentally nonlinear nature. Advances in convex relaxation theory have allowed the advent of Shor's semidefinite programming (SDP) relaxations of quadratic models of the problem. This paper shows how a recently published SDP relaxation is only exact if a very strict condition regarding turbine efficiency is observed, failing otherwise. It further proposes the …
The optimal power flow (OPF) problem determines power generation/demand that minimize a certain objective such as generation cost or power loss. It is nonconvex. We prove that, for radial networks, after shrinking its feasible set slightly, the global optimum of OPF can be recovered via a second-order cone programming (SOCP) relaxation under a condition that can be checked a priori. The condition holds for the IEEE 13-, 34-, 37-, 123-bus networks and two real-world networks, and has a physical interpretation.
We consider the freeway network control problem where the aim is to optimize the operation of traffic networks modeled by the Cell Transmission Model via ramp metering and partial mainline demand control. Optimal control problems using the Cell Transmission Model are usually non-convex, due to the nonlinear fundamental diagram, but a convex relaxation in which demand and supply constraints are relaxed is often used. Previous works have established conditions under which solutions of the relaxation can be made feasible with respect to the original constraints. In this work, we generalize these …
This article considers nonconvex global optimization problems subject to uncertainties described by continuous random variables. Such problems arise in chemical process design, renewable energy systems, stochastic model predictive control, etc. Here, we restrict our attention to problems with expected-value objectives and no recourse decisions. In principle, such problems can be solved globally using spatial branch-and-bound (B&B). However, B&B requires the ability to bound the optimal objective value on subintervals of the search space, and existing techniques are not generally applicable bec…
