On Positive Duality Gaps in Semidefinite Programming

Abstract: We present a novel analysis of semidefinite programs (SDPs) with positive duality gaps, i.e. different optimal values in the primal and dual problems. These SDPs are extremely pathological, often unsolvable, and also serve as models of more general pathological convex programs. However, despite their allure, they are not well understood even when they have just two variables. We first completely characterize two variable SDPs with positive gaps; in particular, we transform them into a standard form that makes the positive gap trivial to recognize. The transformation is very simple, as it mostly uses elementary row operations coming from Gaussian elimination. We next show that the two variable case sheds light on larger SDPs with positive gaps: we present SDPs in any dimension in which the positive gap is caused by the same structure as in the two variable case. We analyze a fundamental parameter, the {\em singularity degree} of the duals of our SDPs, and show that it is the largest that can result in a positive gap. We finally generate a library of difficult SDPs with positive gaps (some of these SDPs have only two variables) and present a computational study.