On conic QPCCs, conic QCQPs and completely positive programs

This paper studies several classes of nonconvex optimization problems defined over convex cones, establishing connections between them and demonstrating that they can be equivalently formulated as convex completely positive programs. The problems being studied include: a conic quadratically constrained quadratic program (QCQP), a conic quadratic program with complementarity constraints (QPCC), and rank constrained semidefinite programs. Our results do not make any boundedness assumptions on the feasible regions of the various problems considered. The first stage in the reformulation is to cast the problem as a conic QCQP with just one nonconvex constraint q(x) ≤ 0, where q(x) is nonnegative over the (convex) conic and linear constraints, so the problem fails the Slater constraint qualification. A conic QPCC has such a structure; we prove the converse, namely that any conic QCQP satisfying a constraint qualification can be expressed as an equivalent conic QPCC. The second stage of the reformulation lifts the problem to a completely positive program, and exploits and generalizes a result of Burer. We also show that a Frank-Wolfe type result holds for a subclass of this class of conic QCQPs. Further, we derive necessary and sufficient optimality The work of Bai and Mitchell was supported by the Air Force Office of Sponsored Research under grant FA9550-11-1-0260 and by the National Science Foundation under Grant Number CMMI-1334327. The work of Pang was supported by the National Science Foundation under Grant Number CMMI-1333902 and by the Air Force Office of Scientific Research under Grant Number FA9550-11-1-0151. Lijie Bai Optimization Toolbox, The MathWorks Inc., 3 Apple Hill Dr, Natick, MA 01760, U.S.A. E-mail: [email protected] John E.Mitchell Department of Mathematical Sciences, Rensselaer Polytechnic Institute, Troy, NY 12180, U.S.A. E-mail: [email protected] Jong-Shi Pang Department of Industrial and Systems Engineering, University of Southern California, Los Angeles, CA 90089, USA. E-mail: [email protected]