On Two Measures of Problem Instance Complexity and their Correlation with the Performance of SeDuMi on Second-Order Cone Problems

  • Authors:

  • Zhi Cai;Robert M. Freund

  • Affiliations:

  • Singapore-MIT Alliance, Programme in High Performance Computing for Engineered Systems (HPCES), Singapore 117576;MIT Sloan School of Management, Cambridge, USA 01239

  • Venue:
  • Computational Optimization and Applications
  • Year:
  • 2006

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Abstract

We evaluate the practical relevance of two measures of conic convex problem complexity as applied to second-order cone problems solved using the homogeneous self-dual (HSD) embedding model in the software SeDuMi. The first measure we evaluate is Renegar's data-based condition measure C(d), and the second measure is a combined measure of the optimal solution size and the initial infeasibility/optimality residuals denoted by S (where the solution size is measured in a norm that is naturally associated with the HSD model). We constructed a set of 144 second-order cone test problems with widely distributed values of C(d) and S and solved these problems using SeDuMi. For each problem instance in the test set, we also computed estimates of C(d) (using Peña's method) and computed S directly. Our computational experience indicates that SeDuMi iteration counts and log (C(d)) are fairly highly correlated (sample correlation R = 0.675), whereas SeDuMi iteration counts are not quite as highly correlated with S (R = 0.600). Furthermore, the experimental evidence indicates that the average rate of convergence of SeDuMi iterations is affected by the condition number C(d) of the problem instance, a phenomenon that makes some intuitive sense yet is not directly implied by existing theory.