On parametric semidefinite programming with unknown boundaries

Abstract

In this paper, we study parametric semidefinite programs (SDPs) where the solution space of both the primal and dual problems change simultaneously. Given a bounded set, we aim to find the a priori unknown maximal permissible perturbation set within it where the semidefinite program problem has a unique optimum and is analytic with respect to the parameters. Our approach reformulates the parametric SDP as a system of partial differential equations (PDEs) where this maximal analytical permissible set (MAPS) is the set on which the system of PDEs is well-posed. A sweeping Euler scheme is developed to approximate this a priori unknown perturbation set. We prove local and global error bounds for this second-order sweeping Euler scheme and demonstrate the method in comparison to existing SDP solvers and its performance on several two-parameter and three-parameter SDPs for which the MAPS can be visualized.