Convergence rate of block-coordinate maximization Burer-Monteiro method for solving large SDPs

• 成果类型: Article
• 署名作者: Erdogdu, Murat A.; Ozdaglar, Asuman; Parrilo, Pablo A.; Vanli, Nuri Denizcan
• 署名单位: University of Toronto; University of Toronto; Massachusetts Institute of Technology (MIT)
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-021-01686-3
• 发表日期: 2022
• 页码: 243-281
• 关键词: semidefinite programs; quadratic growth; algorithms; rank; optimization

摘要

Semidetinite programming (SDP) with diagonal constraints arise in many optimization problems, such as Max-Cut, community detection and group synchronization. Although SDPs can be solved to arbitrary precision in polynomial time, generic convex solvers do not scale well with the dimension of the problem. In order to address this issue, Burer and Monteiro (Math Program 95(2):329-357, 2003) proposed to reduce the dimension of the problem by appealing to a low-rank factorization and solve the subsequent non-convex problem instead. In this paper, we present coordinate ascent based methods to solve this non-convex problem with provable convergence guarantees. More specifically, we prove that the block-coordinate maximization algorithm applied to the non-convex Burer-Monteiro method globally converges to a first-order stationary point with a sublinear rate without any assumptions on the problem. We further show that this algorithm converges linearly around a local maximum provided that the objective function exhibits quadratic decay. We establish that this condition generically holds when the rank of the factorization is sufficiently large. Furthermore, incorporating Lanczos method to the block-coordinate maximization, we propose an algorithm that is guaranteed to return a solution that provides 1 - O (1/r) approximation to the original SDP without any assumptions, where r is the rank of the factorization. This approximation ratio is known to be optimal (up to constants) under the unique games conjecture, and we can explicitly quantify the number of iterations to obtain such a solution.