Characterizing bad semidefinite programs: normal forms and short proofs

Abstract

Semidefinite programs (SDPs) -- some of the most useful and versatile optimization problems of the last few decades -- are often pathological: the optimal values of the primal and dual problems may differ and may not be attained. Such SDPs are both theoretically interesting and often impossible to solve; yet, the pathological SDPs in the literature look strikingly similar. Based on our recent work \cite{Pataki:17} we characterize pathological semidefinite systems by certain {\em excluded matrices}, which are easy to spot in all published examples. Our main tool is a normal (canonical) form of semidefinite systems, which makes their pathological behavior easy to verify. The normal form is constructed in a surprisingly simple fashion, using mostly elementary row operations inherited from Gaussian elimination. The proofs are elementary and can be followed by a reader at the advanced undergraduate level. As a byproduct, we show how to transform any linear map acting on symmetric matrices into a normal form, which allows us to quickly check whether the image of the semidefinite cone under the map is closed. We can thus introduce readers to a fundamental issue in convex analysis: the linear image of a closed convex set may not be closed, and often simple conditions are available to verify the closedness, or lack of it.