I learn about this paper when I am studying the python package cvxpy. This is an interface to other solvers such as glpk and Boyd who authored the book of Boyd & Vandenberghe is one of the creator. This package, however, requires some special formulation of the problem called “disciplined convex programming” notation. This paper describes the DCP and the rationale behind it, while the focus is on how to automatically rewrite a programming problem to fit a solver.

The paper describe mathematical optimization problem as a composition of variables, constraints, and objective function. Convex optimization problems are those with convex objective function and with constraints that are equalities with affine functions and inequalities with convex functions. It is known that convex optimization can be solved in polynomial time. DCP is to address the issue of how to confirm an optimization problem is a convex one. The notation is to allow a solver to check if it is the case.

Convex problems is a large class. The most restrictive one, linear programming problems (LP), can be reduced to quadratic programming (QP), and in turn, a second-order cone programming (SOCP), semidefinite programming (SDP), cone programming (CP), graph form programming (GFP). That is, . But using a solver of more general problem reduces the efficiency in solving it.

Canonicalization is the process of converting an optimization problem to a form compatible to the solver. The paper is to describe an engine for canonicalization that sits in front of the solver. The following reductions might be done:

  • flipping objectives: maximization of becomes minimization of
  • moving expressions to left side of a relation: constraint becomes , and becomes
  • introducing slack variable: becomes for some aux slack variable
  • monotone transformation: For a monotonic increasing function , if than . Applying monotonic increasing function to the objective function also do not change the optimization result.
    • useful to reduce exponential and logarithms
  • changing variables by bijective function: If is a one-to-one mapping from domain of to domain of , then can be written as and the optimization is on instead
    • useful to convert a non-convex problem to convex
    • example: min s.t. and for all is a geometric program if are polynomials and are monomials. Substituting converts this to convex problem. And further, if are all monomials, it converts to linear problem.
  • eliminating complex numbers

and in “presolve” stage, there are several eliminations:

  • fixed variables: Variables constrained to a constant is replaced with the constant
  • free variables: Variables with no upper nor lower bound are replaced with , with the introduction of two new non-negative aux variables
  • redundant constraints: Remove all constraints that whose remove leaves the feasible region unchanged
    • e.g. linear constraints that is a linear combination of other linear constraints
  • scaling

Canonicalization is in three steps: Lift a problem into “smith form”, relax the lifted problem into convex problem, and finally replace all non-linear atom with conic constrains that encode its graph implementation.

Below is specific to cvxpy module. First, an example on its syntax:

import cvxpy as cp

# Create two scalar optimization variables.
x = cp.Variable()
y = cp.Variable()

# Create two constraints.
constraints = [x + y == 1, x - y >= 1]

# Form objective.
obj = cp.Minimize((x - y)**2)

# Form and solve problem.
prob = cp.Problem(obj, constraints)
prob.solve() # Returns the optimal value.
print("status:", prob.status)
print("optimal value", prob.value)
print("optimal var", x.value, y.value)

output:

status: optimal
optimal value 0.999999999761
optimal var 1.00000000001 -1.19961841702e-11

The prob.solve() will use the most optimal method. The optimal value is inf or -inf for infeasible or unbounded problems in minimization (vice versa for maximization). The problem status will return “infeasible” or “unbounded” instead of “optimal” in those cases. Actually prob can be printed, like this (line breaks are added):

Problem(
	Minimize(Expression(CONVEX, NONNEGATIVE, ())),
	[
		Equality(Expression(AFFINE, UNKNOWN, ()), Constant(CONSTANT, NONNEGATIVE, ())),
		Inequality(Constant(CONSTANT, ZERO, ())),
		Inequality(Expression(AFFINE, NONNEGATIVE, (3,))),
		Inequality(Variable((3,), integer=True))
	]
)

The stringified output of a problem helps to understand DCP (disciplined convex programming). What it means is that we confine an expression to a composition of cvxpy.Variables(), cvxpy.Parameters(), float, np.array(), +, -, *, /, and cvxpy library functions. An expression written in this way can have its sign deduced, to be any of zero, positive, negative, or unknown. cvxpy encourage to use its library functions because this helps it to deduce the attributes, for example, x*x is unknown sign until sign of x is known, but cvxpy.square(x) is positive. Besides the sign, we can also deduce the curvature of an expression to be constant, affine, convex, concave, or unknown. (constant = independent of variables, affine = linear)

A problem written in DCP means the objective is either max a concave or min a convex function, and the constraints are only allowed to be:

  • affine == affine
  • convex <= concave
  • concave >= convex

Bibliographic data

@article{
   title = "A rewriting system for convex optimization problems",
   author = "Akshay Agrawal and Robin Verschueren and Steven Diamond and Stephen Boyd",
   journal = "Journal of Control and Decision",
   volume = "5",
   number = "1",
   page = "42--60",
   year = "2018",
   doi = "10.1080/23307706.2017.1397554",
   url = "https://web.stanford.edu/~boyd/papers/pdf/cvxpy_rewriting.pdf",
}