Error bounds for monomial convexification in polynomial optimization
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Convex hulls of monomials have been widely studied in the literature, and monomial convexifications are implemented in global optimization software for relaxing polynomials. However, there has been no study of the error in the global optimum from such approaches. We give bounds on the worst-case error for convexifying a monomial over subsets of Open image in new window . This implies additive error bounds for relaxing a polynomial optimization problem by convexifying each monomial separately. Our main error bounds depend primarily on the degree of the monomial, making them easy to compute. Since monomial convexification studies depend on the bounds on the associated variables, in the second part, we conduct an error analysis for a multilinear monomial over two different types of box constraints. As part of this analysis, we also derive the convex hull of a multilinear monomial over Open image in new window .
KeywordsPolynomial optimization Monomial Multilinear Convex hull Error analysis Means inequality
Mathematics Subject Classification90C26 65G99 52A27
The first author was supported in part by ONR Grant N00014-16-1-2168. The second author was supported in part by ONR Grant N00014-16-1-2725. We thank two referees whose meticulous reading helped us clarify some of the technical details.
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