Didier Henrion We describe a parametric univariate quadratic optimization problem for which the moment-SOS hierarchy has finite but increasingly slow convergence when the parameter tends to its limit value. We estimate the order of finite convergence as a function of the parameter. Article Download View Slow convergence of the moment-SOS hierarchy for an elementary polynomial optimization problem
Using standard tools of harmonic analysis, we state and solve the problem of moments for positive measures supported on the unit ball of a Sobolev space of multivariate periodic trigonometric functions. We describe outer and inner semidefinite approximations of the cone of Sobolev moments. They are the basic components of an infinite-dimensional moment-sums of squares … Read more
The moment-SOS (sum of squares) hierarchy is a powerful approach for solving globally non-convex polynomial optimization problems (POPs) at the price of solving a family of convex semidefinite optimization problems (called moment-SOS relaxations) of increasing size, controlled by an integer, the relaxation order. We say that a relaxation of a given order is exact if … Read more
This work addresses the occupation measure relaxation of calculus of variations problems, which is an infinite-dimensional linear programming reformulation amenable to numerical approximation by a hierarchy of semidefinite optimization problems. We address the problem of equivalence of this relaxation to the original problem. Our main result provides sufficient conditions for this equivalence. These conditions, revolving … Read more
We propose to approximate a (possibly discontinuous) multivariate function f(x) on a compact set by the partial minimizer arg min_y p(x,y) of an appropriate polynomial p whose construction can be cast in a univariate sum of squares (SOS) framework, resulting in a highly structured convex semidefinite program. In a number of non-trivial cases (e.g. when … Read more
In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only the absence of arbitrage opportunities. We formulate this as a generalized moment problem and utilize the well-known Moment-Sum-of-Squares (SOS) hierarchy of Lasserre to obtain bounds … Read more
In many applications, solutions of convex optimization problems must be updated on-line, as functions of time. In this paper, we consider time-varying semidefinite programs (TV-SDP), which are linear optimization problems in the semidefinite cone whose coefficients (input data) depend on time. We are interested in the geometry of the solution (output data) trajectory, defined as … Read more
The moment sum of squares (moment-SOS) hierarchy produces sequences of upper and lower bounds on functionals of the exit time solution of a polynomial stochastic differential equation with polynomial constraints, at the price of solving semidefinite optimization problems of increasing size. In this note we use standard results from elliptic partial differential equation analysis to … Read more
We investigate a class of moment problems, namely recovering a measure supported on the graph of a function from partial knowledge of its moments, as for instance in some problems of optimal transport or density estimation. We show that the sole knowledge of first degree moments of the function, namely linear measurements, is sufficient to … Read more
The design of minimum-compliance bending-resistant structures with continuous cross-section parameters is a challenging task because of its inherent non-convexity. Our contribution develops a strategy that facilitates computing all guaranteed globally optimal solutions for frame and shell structures under multiple load cases and self-weight. To this purpose, we exploit the fact that the stiffness matrix is … Read more