Relative Entropy Relaxations for Signomial Optimization
Professor Venkat Chandrasekaran
Signomial programs (SPs) are optimization problems specified in terms of signomials, which are weighted sums of exponentials composed with linear functionals of a decision variable. SPs are non-convex optimization problems in general, and families of NP-hard problems can be reduced to SPs. In this paper we describe a hierarchy of convex relaxations to obtain successively tighter lower bounds of the optimal value of SPs. This sequence of lower bounds is computed by solving increasingly larger-sized relative entropy optimization problems, which are convex programs specified in terms of linear and relative entropy functions. Our approach relies crucially on the observation that the relative entropy function – by virtue of its joint convexity with respect to both arguments – provides a convex parametrization of certain sets of globally nonnegative signomials with efficiently computable nonnegativity certificates via the arithmetic-geometric-mean inequality. By appealing to representation theorems from real algebraic geometry, we show that our sequences of lower bounds converge to the global optima for broad classes of SPs. Finally, we also demonstrate the effectiveness of our methods via numerical experiments. (Joint work with Parikshit Shah)
Venkat Chandrasekaran is an Assistant Professor at Caltech in Computing and Mathematical Sciences and in Electrical Engineering. He received a Ph.D. in Electrical Engineering and Computer Science in June 2011 from MIT, and he received a B.A. in Mathematics as well as a B.S. in Electrical and Computer Engineering in May 2005 from Rice University. He received the Jin-Au Kong Dissertation Prize for the best doctoral thesis in Electrical Engineering at MIT (2012), the Young Researcher Prize in Continuous Optimization at the Fourth International Conference on Continuous Optimization of the Mathematical Optimization Society (2013, awarded once every three years), an Okawa Research Grant in Information and Telecommunications (2013), and an NSF CAREER award (2014). His research interests lie in mathematical optimization and its application to the information sciences.