Random projections for conic programs

Leo Liberti; Pierre Louis Poirion; Ky Vu

doi:10.1016/j.laa.2021.06.010

Random projections for conic programs

Leo Liberti
, Pierre Louis Poirion
, Ky Vu

RIKEN AIP
FPT University

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

We discuss the application of random projections to conic programming: notably linear, second-order and semidefinite programs. We prove general approximation results on feasibility and optimality using the framework of formally real Jordan algebras. We then discuss some computational experiments on randomly generated semidefinite programs in order to illustrate the practical applicability of our ideas.

langue originale	Anglais
Pages (de - à)	204-220
Nombre de pages	17
journal	Linear Algebra and Its Applications
Volume	626
Les DOIs	https://doi.org/10.1016/j.laa.2021.06.010
état	Publié - 1 oct. 2021

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10.1016/j.laa.2021.06.010

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title = "Random projections for conic programs",

abstract = "We discuss the application of random projections to conic programming: notably linear, second-order and semidefinite programs. We prove general approximation results on feasibility and optimality using the framework of formally real Jordan algebras. We then discuss some computational experiments on randomly generated semidefinite programs in order to illustrate the practical applicability of our ideas.",

keywords = "Approximation, Johnson-Lindenstrauss lemma, Jordan algebra, Mathematical programming",

author = "Leo Liberti and Poirion, \{Pierre Louis\} and Ky Vu",

note = "Publisher Copyright: {\textcopyright} 2021 Elsevier Inc.",

year = "2021",

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AU - Poirion, Pierre Louis

AU - Vu, Ky

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AB - We discuss the application of random projections to conic programming: notably linear, second-order and semidefinite programs. We prove general approximation results on feasibility and optimality using the framework of formally real Jordan algebras. We then discuss some computational experiments on randomly generated semidefinite programs in order to illustrate the practical applicability of our ideas.

KW - Approximation

KW - Johnson-Lindenstrauss lemma

KW - Jordan algebra

KW - Mathematical programming

UR - https://www.scopus.com/pages/publications/85108334708

U2 - 10.1016/j.laa.2021.06.010

DO - 10.1016/j.laa.2021.06.010

M3 - Article

AN - SCOPUS:85108334708

SN - 0024-3795

VL - 626

SP - 204

EP - 220

JO - Linear Algebra and Its Applications

JF - Linear Algebra and Its Applications

ER -

Random projections for conic programs

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