Bundle Method Sketching for Low Rank Semidefinite Programming

11/11/2019

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by   Lijun Ding, et al.

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cornell university

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In this paper, we show that the bundle method can be applied to solve semidefinite programming problems with a low rank solution without ever constructing a full matrix. To accomplish this, we use recent results from randomly sketching matrix optimization problems and from the analysis of bundle methods. Under strong duality and strict complementarity of SDP, we achieve Õ(1/ϵ) convergence rates for both the primal and the dual sequences, and the algorithm proposed outputs a O(√(ϵ)) approximate solution X̂ (measured by distances) with a low rank representation with at most Õ(1/ϵ) many iterations.