Weak Infeasibility in Second Order Cone Programming

TL;DR

This paper investigates weak infeasibility in second order cone programming, providing bounds on approach directions, transformation techniques for bounded problems, and methods for certifying infeasibility.

Contribution

It introduces new bounds on the number of directions needed to approach the cone in weakly infeasible problems and proposes a transformation method for bounded problems satisfying Slater's condition.

Findings

At most m directions are needed to approach the cone in weak infeasibility.

A transformation can convert a bounded problem into an equivalent one that attains its optimal value.

Finite certificates of weak infeasibility can be obtained using combined techniques.

Abstract

The objective of this work is to study weak infeasibility in second order cone programming. For this purpose, we consider a relaxation sequence of feasibility problems that mostly preserve the feasibility status of the original problem. This is used to show that for a given weakly infeasible problem at most $m$ directions are needed to approach the cone, where $m$ is the number of Lorentz cones. We also tackle a closely related question and show that given a bounded optimization problem satisfying Slater's condition, we may transform it into another problem that has the same optimal value but it is ensured to attain it. From solutions to the new problem, we discuss how to obtain solution to the original problem which are arbitrarily close to optimality. Finally, we discuss how to obtain finite certificate of weak infeasibility by combining our own techniques with facial reduction. The analysis is similar in spirit to previous work by the authors on SDPs, but a different approach is required to obtain tighter bounds.