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Aide Scilab >> Optimisation et Simulation > semidef

semidef

semidefinite programming

Calling Sequence

[x,Z,ul,info]=semidef(x0,Z0,F,blck_szs,c,options)

Arguments

x0

m-by-1 real column vector (must be strictly primal feasible, see below)

Z0

L-by-1 real vector (compressed form of a strictly feasible dual matrix, see below)

F

L-by-(m+1) real matrix

blck_szs

p-by-2 integer matrix (sizes of the blocks) defining the dimensions of the (square) diagonal blocks size(Fi(j)=blck_szs(j) j=1,...,m+1.

c

m-by-1 real vector

options

a 1-by-5 matrix of doubles [nu,abstol,reltol,tv,maxiters]

ul

a 1-by-2 matrix of doubles.

Description

semidef solves the semidefinite program:

and its dual:

exploiting block structure in the matrices F_i.

The Fi's matrices are stored columnwise in F in compressed format: if F_i^j, i=0,..,m, j=1,...,L denote the jth (symmetric) diagonal block of F_i, then

where pack(M), for symmetric M, is the vector [M(1,1);M(1,2);...;M(1,n);M(2,2);M(2,3);...;M(2,n);...;M(n,n)] (obtained by scanning rowwise the upper triangular part of M).

blck_szs gives the size of block j, ie, size(F_i^j)=blck_szs(j).

Z is a block diagonal matrix with L blocks Z^0, ..., Z^{L-1}. Z^j has size blck_szs[j] times blck_szs[j]. Every block is stored using packed storage of the lower triangular part.

The 1-by-2 matrix of doubles ul contains the primal objective value c'*x and the dual objective value -trace(F_0*Z).

The entries of options are respectively:

  • nu: a real parameter which ntrols the rate of convergence.

  • abstol: absolute tolerance. The absolute tolerance cannot be lower than 1.0e-8, that is, the absolute tolerance used in the algorithm is the maximum of the user-defined tolerance and the constant tolerance 1.0e-8.

  • reltol: relative tolerance (has a special meaning when negative).

  • tv: the target value, only referenced if reltol < 0.

  • maxiters: the maximum number of iterations, a positive integer value.

On output, the info variable contains the status of the execution.

  • info=1 if maxiters exceeded,

  • info=2 if absolute accuracy is reached,

  • info=3 if relative accuracy is reached,

  • info=4 if target value is reached,

  • info=5 if target value is not achievable;

  • negative values indicate errors.

Convergence criterion is based on the following conditions that is, the algorithm stops if one of the following conditions is true:

  • maxiters is exceeded

  • duality gap is less than abstol

  • primal and dual objective are both positive and duality gap is less than (reltol * dual objective) or primal and dual objective are both negative and duality gap is less than (reltol * minus the primal objective)

  • reltol is negative and primal objective is less than tv or dual objective is greater than tv.

Implementation notes

This function is based on L. Vandenberghe and S. Boyd sp.c program.

Examples

F0=[2,1,0,0;
    1,2,0,0;
    0,0,3,1
    0,0,1,3];

F1=[1,2,0,0;
    2,1,0,0;
    0,0,1,3;
    0,0,3,1]

F2=[2,2,0,0;
    2,2,0,0;
    0,0,3,4;
    0,0,4,4];

blck_szs=[2,2];

F01=F0(1:2,1:2);F02=F0(3:4,3:4);
F11=F1(1:2,1:2);F12=F1(3:4,3:4);
F21=F2(1:2,1:2);F22=F2(3:4,3:4);

x0=[0;0]
Z0=2*F0;
Z01=Z0(1:2,1:2);Z02=Z0(3:4,3:4);
FF=[[F01(:);F02(:)],[F11(:);F12(:)],[F21(:);F22(:)]]
ZZ0=[[Z01(:);Z02(:)]];

c=[trace(F1*Z0);trace(F2*Z0)];
options=[10,1.d-10,1.d-10,0,50];

[x,Z,ul,info]=semidef(x0,pack(ZZ0),pack(FF),blck_szs,c,options)

w=vec2list(unpack(Z,blck_szs),[blck_szs;blck_szs]);
Z=sysdiag(w(1),w(2))

c'*x+trace(F0*Z)
spec(F0+F1*x(1)+F2*x(2))
trace(F1*Z)-c(1)
trace(F2*Z)-c(2)

References

L. Vandenberghe and S. Boyd, " Semidefinite Programming," Informations Systems Laboratory, Stanford University, 1994.

Ju. E. Nesterov and M. J. Todd, "Self-Scaled Cones and Interior-Point Methods in Nonlinear Programming," Working Paper, CORE, Catholic University of Louvain, Louvain-la-Neuve, Belgium, April 1994.

SP: Software for Semidefinite Programming, http://www.ee.ucla.edu/~vandenbe/sp.html

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Last updated:
Wed Oct 05 12:11:00 CEST 2011