Dear All,
I am solving nonconvex quadratically constrained quadratic optimization problems (QCQPs) in JuMP
+Gurobi
for teaching a recitation class on power system course at MIT (I am a teaching assistant for the course). I am using SDP relaxations of these QCQPs to compute a lower bound. This nonconvex QCQP can be formulated and solved via JuMP+Gurobi
without any problem. However, to compute the SDP relaxation of the QCQP, I need to go through the following steps. While these might be trivial to many in JuMP
community, for completeness, I describing my steps as follows.
Step 1. Convert the original QCQP into a standard form: Convert the original QCQP model (with the problem modeling real life constraints and objective) to the standard form nonconvex QCQP (the matrices are just symmetric and not PSD):
by manually vectorizing the original decision variables of the original QCQP (note that the matrices $A_i$ for i=0,\ldots,m are only symmetric and not positive-semidefinite).
Step 2. Convert (1) into rank-1 nonconvex SDP. After that, I define X= xx ^T , which leads to the equivalent rank-1 nonconvex SDP:
Step 3. Construct convex SDP by dropping the rank constraint. Finally dropping the rank-1 constraint and using the Schur’s complement I construct the convex SDP relaxation of (1):
which gives us a lower bound on the original problem, i.e., p^\star_\textrm{lower} \leq p^\star.
While the process is straightforward, Step 1, where I need to vectorize the original variables to take into form (1), is very very tedious. The manual vectorization for different problem setups is also prone to human errors. My question is what is the best way to code converting an ugly-looking QCQP into the standard form QCQP such as (1)? Is there any tips/tricks that I could do to automate this process? Any tips/suggestions from the JuMP
community will be much appreciated!