Low-Rank Extragradient Methods for Scalable Semidefinite Optimization
This addresses scalability issues in semidefinite optimization for statistics, machine learning, and combinatorial optimization, though it is incremental as it builds on the established Extragradient method.
The paper tackles semidefinite optimization problems with convex objectives and constraints by proving that the Extragradient method converges to low-rank solutions using only low-rank SVDs instead of full-rank ones, reducing computational cost. Numerical experiments on Max-Cut instances demonstrate this approach maintains standard convergence rates.
We consider several classes of highly important semidefinite optimization problems that involve both a convex objective function (smooth or nonsmooth) and additional linear or nonlinear smooth and convex constraints, which are ubiquitous in statistics, machine learning, combinatorial optimization, and other domains. We focus on high-dimensional and plausible settings in which the problem admits a low-rank solution which also satisfies a low-rank complementarity condition. We provide several theoretical results proving that, under these circumstances, the well-known Extragradient method, when initialized in the proximity of an optimal primal-dual solution, converges to a solution of the constrained optimization problem with its standard convergence rates guarantees, using only low-rank singular value decompositions (SVD) to project onto the positive semidefinite cone, as opposed to computationally-prohibitive full-rank SVDs required in worst-case. Our approach is supported by numerical experiments conducted with a dataset of Max-Cut instances.