Low-Rank Extragradient Methods for Scalable Semidefinite Optimization

Abstract: We consider several classes of highly important semidefinite optimization problems that involve both a convex objective function (smooth or nonsmooth) and additional linear or nonlinear smooth and convex constraints, which are ubiquitous in statistics, machine learning, combinatorial optimization, and other domains. We focus on high-dimensional and plausible settings in which the problem admits a low-rank solution which also satisfies a low-rank complementarity condition. We provide several theoretical results proving that, under these circumstances, the well-known Extragradient method, when initialized in the proximity of an optimal primal-dual solution, converges to a solution of the constrained optimization problem with its standard convergence rates guarantees, using only low-rank singular value decompositions (SVD) to project onto the positive semidefinite cone, as opposed to computationally-prohibitive full-rank SVDs required in worst-case. Our approach is supported by numerical experiments conducted with a dataset of Max-Cut instances.