Abstract
In this paper, we introduce a new class of nonsmooth convex functions called SOS-convex semialgebraic functions extending the recently proposed notion of SOS-convex polynomials. This class of nonsmooth convex functions covers many common nonsmooth functions arising in the applications such as the Euclidean norm, the maximum eigenvalue function and the least squares functions with ℓ 1-regularization or elastic net regularization used in statistics and compressed sensing. We show that, under commonly used strict feasibility conditions, the optimal value and an optimal solution of SOS-convex semialgebraic programs can be found by solving a single semidefinite programming problem (SDP). We achieve the results by using tools from semialgebraic geometry, convex-concave minimax theorem and a recently established Jensen inequality type result for SOS-convex polynomials. As an application, we show that robust SOS-convex optimization proble ms under restricted spectrahedron data uncertainty enjoy exact SDP relaxations. This extends the existing exact SDP relaxation result for restricted ellipsoidal data uncertainty and answers an open question in the literature on how to recover a robust solution of uncertain SOS-convex polynomial programs from its semidefinite programming relaxation in this broader setting.
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Dedicated to the memory of Jon Borwein who was of great inspiration to us
Research was partially supported by aresearch grant from Australian Research Council. Research was also partially supported by the Vietnam National Foundation 465 for Science and Technology Development (NAFOSTED) under grant 101.01-2017.325.
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Chieu, N.H., Feng, J.W., Gao, W. et al. SOS-Convex Semialgebraic Programs and its Applications to Robust Optimization: A Tractable Class of Nonsmooth Convex Optimization. Set-Valued Var. Anal 26, 305–326 (2018). https://doi.org/10.1007/s11228-017-0456-1
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DOI: https://doi.org/10.1007/s11228-017-0456-1
Keywords
- Nonsmooth optimization
- Convex optimization
- SOS-convex polynomial
- Semidefinite program
- Robust optimization