Partial facial reduction: simplified, equivalent SDPs via approximations of the PSD cone (1408.4685v3)

Abstract: We develop a practical semidefinite programming (SDP) facial reduction procedure that utilizes computationally efficient approximations of the positive semidefinite cone. The proposed method simplifies SDPs with no strictly feasible solution (a frequent output of parsers) by solving a sequence of easier optimization problems and could be a useful pre-processing technique for SDP solvers. We demonstrate effectiveness of the method on SDPs arising in practice, and describe our publicly-available software implementation. We also show how to find maximum rank matrices in our PSD cone approximations (which helps us find maximal simplifications), and we give a post-processing procedure for dual solution recovery that generally applies to facial-reduction-based pre-processing techniques. Finally, we show how approximations can be chosen to preserve problem sparsity.