In this chapter we introduce one of the core theoretical and computational techniques in convex algebraic geometry, namely, semidefinite optimization. We begin by reviewing linear programming and proceed to define and discuss semidefinite programs from the algebraic, geometric, and computational perspectives. We define spectrahedra as the feasible sets of semidefinite programs, study their properties, and discuss numerous examples. Despite the many parallels, the duality theory of semidefinite optimization is more complicated than in the case of linear programming, and we elaborate on the similarities and differences. We also showcase a number of applications of semidefinite optimization in several areas of applied mathematics and engineering and give a short discussion of algorithmic and software aspects. For the convenience of the reader, we present additional background material on convex geometry and optimization in Appendix A.
From Linear to Semidefinite OptimizationSemidefinite optimization is a branch of convex optimization that is of great theoretical and practical interest. Informally, the main idea is to generalize linear programming and the associated feasible sets (polyhedra) to the case where the decision variables are symmetric matrices, and the inequalities are to be understood as matrices being positive semidefinite. Formal definitions and examples will be presented shortly in Subsection 2.1.2, preceded by a review of the familiar case of linear programming. A few selected standard references for linear programming and their applications are the books [5,12,29,42].3 Downloaded 03/21/15 to 169.230.243.252. Redistribution subject to SIAM license or copyright; see http://www.siam.org/journals/ojsa.php