Higher-Order Cone Programming

Abstract: We introduce a conic embedding condition that gives a hierarchy of cones and cone programs. This condition is satisfied by a large number of convex cones including the cone of copositive matrices, the cone of completely positive matrices, and all symmetric cones. We discuss properties of the intermediate cones and conic programs in the hierarchy. In particular, we demonstrate how this embedding condition gives rise to a family of cone programs that interpolates between LP, SOCP, and SDP. This family of $k$th order cones may be realized either as cones of $n$-by-$n$ symmetric matrices or as cones of $n$-variate even degree polynomials. The cases $k = 1, 2, n$ then correspond to LP, SOCP, SDP; or, in the language of polynomial optimization, to DSOS, SDSOS, SOS.