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Convergence rates for the moment-SoS hierarchy

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arxiv 2402.00436 v3 pith:SIEUBLD5 submitted 2024-02-01 math.OC

classification math.OC
keywords convergenceratesdimensionalexistinghierarchyinfinitepolynomialpositivstellensatz
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We introduce a comprehensive framework for analyzing convergence rates for infinite dimensional linear programming problems (LPs) within the context of the moment-sum-of-squares hierarchy. Our primary focus is on extending the existing convergence rate analysis, initially developed for static polynomial optimization, to the more general and challenging domain of the generalized moment problem. We establish an easy-to-follow procedure for obtaining convergence rates. Our methodology is based on, firstly, a state-of-the-art degree bound for Putinar's Positivstellensatz, secondly, quantitative polynomial approximation bounds, and, thirdly, a geometric Slater condition on the infinite dimensional LP. We address a broad problem formulation that encompasses various applications, such as optimal control, volume computation, and exit location of stochastic processes. We illustrate the procedure at these three problems and, using a recent improvement on effective versions of Putinar's Positivstellensatz, we improve existing convergence rates.

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  1. The Effective Countable Generalized Moment Problem

    math.OC 2025-01 conditional novelty 6.0 of 10

    Generalized moment problems solved by moment-SOS hierarchies have polynomial convergence rates for both optimal values and feasibility sets under S-fullness, dual attainment, and Archimedean conditions.

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