Rank-constrained Hyperbolic Programming

Abstract: We extend rank-constrained optimization to general hyperbolic programs (HP) using the notion of matroid rank. For LP and SDP respectively, this reduces to sparsity-constrained LP and rank-constrained SDP that are already well-studied. But for QCQP and SOCP, we obtain new interesting optimization problems. For example, rank-constrained SOCP includes weighted Max-Cut and nonconvex QP as special cases, and dropping the rank constraints yield the standard SOCP-relaxations of these problems. We will show (i) how to do rank reduction for SOCP and QCQP, (ii) that rank-constrained SOCP and rank-constrained QCQP are NP-hard, and (iii) an improved result for rank-constrained SDP showing that if the number of constraints is $m$ and the rank constraint is less than $2^{1/2-\epsilon} \sqrt{m}$ for some $\epsilon>0$, then the problem is NP-hard. We will also study sparsity-constrained HP and extend results on LP sparsification to SOCP and QCQP. In particular, we show that there always exist (a) a solution to SOCP of cardinality at most twice the number of constraints and (b) a solution to QCQP of cardinality at most the sum of the number of linear constraints and the sum of the rank of the matrices in the quadratic constraints; and both (a) and (b) can be found efficiently.