Bundle Method Sketching for Low Rank Semidefinite Programming

Abstract: In this paper, we show that the bundle method can be applied to solve semidefinite programming problems with a low rank solution without ever constructing a full matrix. To accomplish this, we use recent results from randomly sketching matrix optimization problems and from the analysis of bundle methods. Under strong duality and strict complementarity of SDP, our algorithm produces primal and the dual sequences converging in feasibility at a rate of $\tilde{O}(1/\epsilon)$ and in optimality at a rate of $\tilde{O}(1/\epsilon^2)$. Moreover, our algorithm outputs a low rank representation of its approximate solution with distance to the optimal solution at most $O(\sqrt{\epsilon})$ within $\tilde{O}(1/\epsilon^2)$ iterations.