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| 1 | +# # Extracting minimizers |
| 2 | + |
| 3 | +#md # [](@__BINDER_ROOT_URL__/generated/Polynomial Optimization/extracting_minimizers.ipynb) |
| 4 | +#md # [](@__NBVIEWER_ROOT_URL__/generated/Polynomial Optimization/extracting_minimizers.ipynb) |
| 5 | +# **Adapted from**: Example 6.23 of [L09] |
| 6 | +# |
| 7 | +# [L09] Laurent, Monique. |
| 8 | +# *Sums of squares, moment matrices and optimization over polynomials.* |
| 9 | +# Emerging applications of algebraic geometry (2009): 157-270. |
| 10 | + |
| 11 | +# ## Introduction |
| 12 | + |
| 13 | +# Consider the polynomial optimization problem [L09, Example 6.23] of |
| 14 | +# minimizing the linear function $-x_1 - x_2$ |
| 15 | +# over the basic semialgebraic set defined by the inequalities |
| 16 | +# $x_2 \le 2x_1^4 - 8x_1^3 + 8x_1^2 + 2$, |
| 17 | +# $x_2 \le 4x_1^4 - 32x_1^3 + 88x_1^2 - 96x_1 + 36$ and the box constraints |
| 18 | +# $0 \le x_1 \le 3$ and $0 \le x_2 \le 4$, |
| 19 | +# World Scientific, **2009**. |
| 20 | + |
| 21 | +using Test #src |
| 22 | +using DynamicPolynomials |
| 23 | +@polyvar x[1:2] |
| 24 | +p = -sum(x) |
| 25 | +using SumOfSquares |
| 26 | +K = @set x[1] >= 0 && x[1] <= 3 && x[2] >= 0 && x[2] <= 4 && x[2] <= 2x[1]^4 - 8x[1]^3 + 8x[1]^2 + 2 && x[2] <= 4x[1]^4 - 32x[1]^3 + 88x[1]^2 - 96x[1] + 36 |
| 27 | + |
| 28 | +# We will now see how to find the optimal solution using Sum of Squares Programming. |
| 29 | +# We first need to pick an SDP solver, see [here](https://jump.dev/JuMP.jl/v0.21.6/installation/#Supported-solvers) for a list of the available choices. |
| 30 | + |
| 31 | +import CSDP |
| 32 | +solver = optimizer_with_attributes(CSDP.Optimizer, MOI.Silent() => true) |
| 33 | + |
| 34 | +# A Sum-of-Squares certificate that $p \ge \alpha$ over the domain `S`, ensures that $\alpha$ is a lower bound to the polynomial optimization problem. |
| 35 | +# The following function searches for the largest lower bound and finds zero using the `d`th level of the hierarchy`. |
| 36 | + |
| 37 | +function solve(d) |
| 38 | + model = SOSModel(solver) |
| 39 | + @variable(model, α) |
| 40 | + @objective(model, Max, α) |
| 41 | + @constraint(model, c, p >= α, domain = K, maxdegree = d) |
| 42 | + optimize!(model) |
| 43 | + println(solution_summary(model)) |
| 44 | + return model |
| 45 | +end |
| 46 | + |
| 47 | +# The first level of the hierarchy gives a lower bound of `-7`` |
| 48 | + |
| 49 | +model4 = solve(4) |
| 50 | +@test objective_value(model4) ≈ -7 rtol=1e-4 #src |
| 51 | +@test termination_status(model4) == MOI.OPTIMAL #src |
| 52 | + |
| 53 | +# The second level improves the lower bound |
| 54 | + |
| 55 | +model5 = solve(5) |
| 56 | +@test objective_value(model5) ≈ -20/3 rtol=1e-4 #src |
| 57 | +@test termination_status(model5) == MOI.OPTIMAL #src |
| 58 | + |
| 59 | +# The third level finds the optimal objective value as lower bound... |
| 60 | + |
| 61 | +model7 = solve(7) |
| 62 | +@test objective_value(model7) ≈ -5.5080 rtol=1e-4 #src |
| 63 | +@test termination_status(model7) == MOI.OPTIMAL #src |
| 64 | + |
| 65 | +# ...and proves it by exhibiting the minimizer. |
| 66 | + |
| 67 | +ν7 = moment_matrix(model7[:c]) |
| 68 | +η = extractatoms(ν7, 1e-3) # Returns nothing as the dual is not atomic |
| 69 | +@test length(η.atoms) == 1 #src |
| 70 | +@test η.atoms[1].center ≈ [2.3295, 3.1785] rtol=1e-4 #src |
| 71 | + |
| 72 | +# We can indeed verify that the objective value at `x_opt` is equal to the lower bound. |
| 73 | + |
| 74 | +x_opt = η.atoms[1].center |
| 75 | +@test x_opt ≈ [2.3295, 3.1785] rtol=1e-4 #src |
| 76 | +p(x_opt) |
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