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arXiv · 1301.7717

Strong duality in conic linear programming: facial reduction and extended duals

Gabor Pataki
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Abstract

The facial reduction algorithm of Borwein and Wolkowicz and the extended dual of Ramana provide a strong dual for the conic linear program $$ (P) \sup { | Ax \leq_K b} $$ in the absence of any constraint qualification. The facial reduction algorithm solves a sequence of auxiliary optimization problems to obtain such a dual. Ramana's dual is applicable when (P) is a semidefinite program (SDP) and is an explicit SDP itself. Ramana, Tuncel, and Wolkowicz showed that these approaches are closely related; in particular, they proved the correctness of Ramana's dual using certificates from a facial reduction algorithm. Here we give a clear and self-contained exposition of facial reduction, of extended duals, and generalize Ramana's dual: -- we state a simple facial reduction algorithm and prove its correctness; and -- building on this algorithm we construct a family of extended duals when $K$ is a {\em nice} cone. This class of cones includes the semidefinite cone and other important cones.

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Gabor Pataki. 2013-07-19. Strong duality in conic linear programming: facial reduction and extended duals. https://arxiv.org/abs/1301.7717

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