Generic Optimality Conditions for Semialgebraic Convex Programs

  • Authors:
  • Jérôme Bolte;Aris Daniilidis;Adrian S. Lewis

  • Affiliations:
  • TSE (Gremaq, Université Toulouse 1), 31000 Toulouse, France;Matemàtiques, Universitat Autònoma de Barcelona, 08193 Bellaterra, Barcelona, Spain;ORIE, Cornell University, Ithaca, New York 14853

  • Venue:
  • Mathematics of Operations Research
  • Year:
  • 2011

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Abstract

We consider linear optimization over a nonempty convex semialgebraic feasible region F. Semidefinite programming is an example. If F is compact, then for almost every linear objective there is a unique optimal solution, lying on a unique “active” manifold, around which F is “partly smooth,” and the second-order sufficient conditions hold. Perturbing the objective results in smooth variation of the optimal solution. The active manifold consists, locally, of these perturbed optimal solutions; it is independent of the representation of F and is eventually identified by a variety of iterative algorithms such as proximal and projected gradient schemes. These results extend to unbounded sets F.