DSOS and SDSOS optimization: More tractable alternatives to sum of squares and semidefinite optimization

Research output: Contribution to journalArticle

Abstract

In recent years, optimization theory has been greatly impacted by the advent of sum of squares (SOS) optimization. The reliance of this technique on large-scale semidefinite programs, however, has limited the scale of problems to which it can be applied. In this paper, we introduce diagonally dominant sum of squares (DSOS) and scaled diagonally dominant sum of squares (SDSOS) optimization as linear programming and second-order cone programming-based alternatives to sum of squares optimization that allow one to trade off computation time with solution quality. These are optimization problems over certain subsets of sum of squares polynomials (or equivalently subsets of positive semidefinite matrices), which can be of interest in general applications of semidefinite programming where scalability is a limitation. We show that some basic theorems from SOS optimization which rely on results from real algebraic geometry are still valid for DSOS and SDSOS optimization. Furthermore, we show with numerical experiments from diverse application areas-polynomial optimization, statistics and machine learning, derivative pricing, and control theory-that with reasonable trade-offs in accuracy, we can handle problems at scales that are currently significantly beyond the reach of traditional sum of squares approaches. Finally, we provide a review of recent techniques that bridge the gap between our DSOS/SDSOS approach and the SOS approach at the expense of additional running time. The supplementary material to the paper introduces an accompanying MATLAB package for DSOS and SDSOS optimization.

Original languageEnglish (US)
Pages (from-to)193-230
Number of pages38
JournalSIAM Journal on Applied Algebra and Geometry
Volume3
Issue number2
DOIs
StatePublished - 2019

All Science Journal Classification (ASJC) codes

  • Algebra and Number Theory
  • Geometry and Topology
  • Applied Mathematics

Keywords

  • Linear programming
  • Nonnegative polynomials
  • Polynomial optimization
  • Second-order cone programming
  • Semidefinite programming
  • Sum of squares optimization

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