Smoothed analysis for low-rank solutions to semidefinite programs in quadratic penalty form

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Srinadh Bhojanapalli, Nicolas Boumal, Prateek Jain, Praneeth Netrapalli ;
Proceedings of the 31st Conference On Learning Theory, PMLR 75:3243-3270, 2018.

Abstract

Semidefinite programs (SDP) are important in learning and combinatorial optimization with numerous applications. In pursuit of low-rank solutions and low complexity algorithms, we consider the Burer–Monteiro factorization approach for solving SDPs. For a large class of SDPs, upon random perturbation of the cost matrix, with high probability, we show that all approximate second-order stationary points are approximate global optima for the penalty formulation of appropriately rank-constrained SDPs, as long as the number of constraints scales sub-quadratically with the desired rank. Our result is based on a simple penalty function formulation of the rank-constrained SDP along with a smoothed analysis to avoid worst-case cost matrices. We particularize our results to two applications, namely, Max-Cut and matrix completion.

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