Memory-efficient structured convex optimization via extreme point sampling

Memory is a key computational bottleneck when solving large-scale convex optimization problems such as semidefinite programs (SDPs). In this paper, we focus on the regime in which storing an n× n matrix decision variable is prohibitive. To solve SDPs in this regime, we develop a randomized algorithm that returns a random vector whose covariance matrix is near-feasible and near-optimal for the SDP. We show how to develop such an algorithm by modifying the Frank-Wolfe algorithm to systematically replace the matrix iterates with random vectors. As an application of this approach, we show how to implement the Goemans-Williamson approximation algorithm for textscMaxCut using O(n) memory in addition to the memory required to store the problem instance. We then extend our approach to deal with a broader range of structured convex optimization problems, replacing decision variables with random extreme points of the feasible region.