论文标题

关于丹齐格·沃尔夫(Dantzig-Wolfe)的精确性,用于等级的优化问题

On the Exactness of Dantzig-Wolfe Relaxation for Rank Constrained Optimization Problems

论文作者

Li, Yongchun, Xie, Weijun

论文摘要

在受到限制的优化问题(RCOP)中,它可以最大程度地减少预先指定的封闭式限制的域集和$ M $通用的双向线性矩阵不等式的线性目标函数。由Dantzig-Wolfe(DW)分解的动机,这是解决许多非凸优化问题的流行方法,我们研究了RCOP的DW松弛(DWR)的强度,该强度与RCOP相同,除了取代由其封闭凸壳设置的域而取代域。值得注意的是,我们的目标是表征DWR与任何M双面线性矩阵不等式的RCOP匹配的条件。从原始的角度来看,我们开发出达成的第一个已知和充分的条件:(i)极端点精确性 - DWR可行集合的所有极端点属于RCOP; (ii)凸面精确性 - DWR可行集与RCOP可行集的封闭凸壳相同; (iii)客观精确性 - DWR和RCOP的最佳值一致。提议的条件统一,完善和扩展了现有的精确性,导致二次约束二次计划(QCQP)和公平的无监督学习。这些条件对于确定新的结果可能非常有用,包括QCQP问题的极端确切性,该问题接受了一个不均匀的目标函数,并具有两个均质的两侧二次约束,以及Fair SVD的凸赫尔精确度。

In the rank-constrained optimization problem (RCOP), it minimizes a linear objective function over a prespecified closed rank-constrained domain set and $m$ generic two-sided linear matrix inequalities. Motivated by the Dantzig-Wolfe (DW) decomposition, a popular approach of solving many nonconvex optimization problems, we investigate the strength of DW relaxation (DWR) of the RCOP, which admits the same formulation as RCOP except replacing the domain set by its closed convex hull. Notably, our goal is to characterize conditions under which the DWR matches RCOP for any m two-sided linear matrix inequalities. From the primal perspective, we develop the first-known simultaneously necessary and sufficient conditions that achieve: (i) extreme point exactness -- all the extreme points of the DWR feasible set belong to that of the RCOP; (ii) convex hull exactness -- the DWR feasible set is identical to the closed convex hull of RCOP feasible set; and (iii) objective exactness -- the optimal values of the DWR and RCOP coincide. The proposed conditions unify, refine, and extend the existing exactness results in the quadratically constrained quadratic program (QCQP) and fair unsupervised learning. These conditions can be very useful to identify new results, including the extreme point exactness for a QCQP problem that admits an inhomogeneous objective function with two homogeneous two-sided quadratic constraints and the convex hull exactness for fair SVD.

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