Direct Newton method for a linear problem of semidefinite programming (Q735655): Difference between revisions
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Property / cites work: Aspects of semidefinite programming. Interior point algorithms and selected applications / rank | |||
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Property / cites work: A primal interior point method for the linear semidefinite programming problem / rank | |||
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Property / cites work: Stable barrier-projection and barrier-Newton methods in linear programming / rank | |||
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Latest revision as of 02:42, 2 July 2024
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English | Direct Newton method for a linear problem of semidefinite programming |
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Direct Newton method for a linear problem of semidefinite programming (English)
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23 October 2009
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The authors propose a direct Newton method for solving a semidefinite programming problem. The aim is to obtain a convergence rate higher than linear. The method is a generalization of the direct barrier Newton method for linear programming problems. It consists in solving an equation describing the condition of the complementary slackness. More precisely a matrix \(V(X)\) is defined from the slack matrix associated with the constraint of the dual program. The corresponding equation has the form: \(F(X)=X * V(X) =0\) where \(*\) denotes the symmetrized product: \(X*Y = \frac12 (XY+YX)\). Then a solution \(X\) of this equation such that \(X\) and \(V(X)\) are positive semidefinite is a solution of the semidefinite programming problem. In a second part a characterization of the Newton direction as well as of the Newton iterates is obtained and the resulting algorithm is proven to be locally convergent with a quadratic rate.
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dual variables
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