Strong duality in conic linear programming: facial reduction and extended duals

Abstract

The facial reduction algorithm of Borwein and Wolkowicz and the extended dual of Ramana provide a strong dual for the conic linear program $$(P)\sup <c,x>|Ax{\le }_{K}b$$ in the absence of any constraint qualification. The facial reduction algorithm solves a sequence of auxiliary optimization problems to obtain such a dual. Ramana's dual is applicable when (P) is a semidefinite program (SDP) and is an explicit SDP itself. Ramana, Tuncel, and Wolkowicz showed that these approaches are closely related; in particular, they proved the correctness of Ramana's dual using certificates from a facial reduction algorithm. Here we give a clear and self-contained exposition of facial reduction, of extended duals, and generalize Ramana's dual: -- we state a simple facial reduction algorithm and prove its correctness; and -- building on this algorithm we construct a family of extended duals when $K$ is a {\em nice} cone. This class of cones includes the semidefinite cone and other important cones.

A previous version of this paper appeared as "A simple derivation of a facial reduction algorithm and extended dual systems", technical report, Columbia University, 2000, available from http://www.unc.edu/~pataki/papers/fr.pdf Jonfest, a conference in honor of Jonathan Borwein's 60th birthday, 2013