On the efficient computation of a generalized Jacobian of the projector over the Birkhoff polytope

Xudong Li, Defeng Sun, Kim Chuan Toh

Research output: Journal article publicationJournal articleAcademic researchpeer-review

1 Citation (Scopus)

Abstract

We derive an explicit formula, as well as an efficient procedure, for constructing a generalized Jacobian for the projector of a given square matrix onto the Birkhoff polytope, i.e., the set of doubly stochastic matrices. To guarantee the high efficiency of our procedure, a semismooth Newton method for solving the dual of the projection problem is proposed and efficiently implemented. Extensive numerical experiments are presented to demonstrate the merits and effectiveness of our method by comparing its performance against other powerful solvers such as the commercial software Gurobi and the academic code PPROJ (Hager and Zhang in SIAM J Optim 26:1773–1798, 2016). In particular, our algorithm is able to solve the projection problem with over one billion variables and nonnegative constraints to a very high accuracy in less than 15 min on a modest desktop computer. More importantly, based on our efficient computation of the projections and their generalized Jacobians, we can design a highly efficient augmented Lagrangian method (ALM) for solving a class of convex quadratic programming (QP) problems constrained by the Birkhoff polytope. The resulted ALM is demonstrated to be much more efficient than Gurobi in solving a collection of QP problems arising from the relaxation of quadratic assignment problems.

Original languageEnglish
Pages (from-to)419-446
Number of pages28
JournalMathematical Programming
Volume179
Issue number1-2
DOIs
Publication statusPublished - Jan 2020

Keywords

  • Doubly stochastic matrix
  • Generalized Jacobian
  • Newton’s method
  • Semismoothness

ASJC Scopus subject areas

  • Software
  • Mathematics(all)

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