Revisiting Spectral Bundle Methods: Primal-dual (Sub)linear Convergence Rates

Lijun Ding; Benjamin Grimmer

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arXiv · 2008.07067

Revisiting Spectral Bundle Methods: Primal-dual (Sub)linear Convergence Rates

Lijun Ding·Benjamin Grimmer

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Abstract

The spectral bundle method proposed by Helmberg and Rendl is well established for solving large-scale semidefinite programs (SDP) thanks to its low per iteration computational complexity and strong practical performance. In this paper, we revisit this classic method showing it achieves sublinear convergence rates in terms of both primal and dual SDPs under merely strong duality, complementing previous guarantees on primal-dual convergence. Moreover, we show the method speeds up to linear convergence if (1) structurally, the SDP admits strict complementarity, and (2) algorithmically, the bundle method captures the rank of the optimal solutions. Such complementary and low rank structure is prevalent in many modern and classical applications. The linear convergent result is established via an eigenvalue approximation lemma which might be of independent interest. Numerically, we confirm our theoretical findings that the spectral bundle method, for modern and classical applications, speeds up under these conditions. Finally, we show that the spectral bundle method combined with a recent matrix sketching technique is able to solve an SDP with billions of decision variables in a matter of minutes.

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BibTeX RIS

Lijun Ding, Benjamin Grimmer. 2020-08-17. Revisiting Spectral Bundle Methods: Primal-dual (Sub)linear Convergence Rates. https://arxiv.org/abs/2008.07067

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