论文标题

用Hypatia.jl求解天然圆锥制剂

Solving natural conic formulations with Hypatia.jl

论文作者

Coey, Chris, Kapelevich, Lea, Vielma, Juan Pablo

论文摘要

许多凸优化问题可以通过锥形扩展配方来表示,并具有辅助变量和约束,仅使用诸如Mosek 9的高级圆锥求解器识别的少量标准锥体。这种扩展的配方通常比等效的圆锥自然配方更大,更复杂,这些配方可以使用更广阔的异国情调锥体类别。我们将异国情调的锥体定义为适当的锥体,我们可以为其实施可进行的可对数均匀的自我屏障隔板或其双锥体。在本文中,我们介绍了Hypatia,这是一种高度可配合的开源锥圆锥原始偶到内部点求解器,具有用于外来锥体的通用界面。 Hypatia用Julia编写,可通过跳跃访问,目前可以实现大约二十个有用的预定义锥(有些具有多个变体)。我们定义了Hypatia的一些外来锥体,对于这些锥体的圆锥约束,我们分析了使用标准锥体构建等效表示的技术。为了优化各种应用中的问题,我们使用这些外来锥体引入了自然制剂,并且我们表明,自然制剂比等效的扩展配方更简单,更低。我们的计算实验证明了与解决Hypatia或Mosek 9的扩展配方相比,解决了使用高血压的自然配方的潜在优势,尤其是在解决时间和记忆使用方面的潜在优势。

Many convex optimization problems can be represented through conic extended formulations with auxiliary variables and constraints using only the small number of standard cones recognized by advanced conic solvers such as MOSEK 9. Such extended formulations are often significantly larger and more complex than equivalent conic natural formulations, which can use a much broader class of exotic cones. We define an exotic cone as a proper cone for which we can implement tractable logarithmically homogeneous self-concordant barrier oracles for either the cone or its dual cone. In this paper we introduce Hypatia, a highly-configurable open-source conic primal-dual interior point solver with a generic interface for exotic cones. Hypatia is written in Julia and accessible through JuMP, and currently implements around two dozen useful predefined cones (some with multiple variants). We define some of Hypatia's exotic cones, and for conic constraints over these cones, we analyze techniques for constructing equivalent representations using the standard cones. For optimization problems from a variety of applications, we introduce natural formulations using these exotic cones, and we show that the natural formulations are simpler and lower-dimensional than the equivalent extended formulations. Our computational experiments demonstrate the potential advantages, especially in terms of solve time and memory usage, of solving the natural formulations with Hypatia compared to solving the extended formulations with either Hypatia or MOSEK 9.

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