A primal-dual interior point method for nonlinear semidefinite programming

DOI10.1007/S10107-011-0449-ZMaRDI QIDQ715092zbMATH OpenOpenAlexFDO

Authors Hiroshi Yamashita, Hiroshi Yabe, Kouhei Harada

Publication date 15 October 2012

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-011-0449-z

zbMATH Keywords

barrier penalty functionglobal convergencenonlinear semidefinite programmingprimal-dual interior point methodprimal-dual merit function

Mathematics Subject Classification ID

Semidefinite programming (90C22) Nonconvex programming, global optimization (90C26) Interior-point methods (90C51)

Review text

The authors propose a primal-dual interior point method for solving nonlinear semidefinite programming problems. Two types of iterations are used: outer iterations for finding a KKT point and inner iterations for computing an approximate barrier KKT point. The inner method uses a commutative class of Newton-like directions for generating line search directions. Then a new primal-dual merit function is proposed combining the primal barrier penalty function with the primal-dual barrier function. The global convergence of the resulting method is proven and numerical experiments are displayed to show the practical efficiency of the method.

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Cited in

(57)

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Describes a project that uses

Uses Software

• SDPLIB
• PENNON

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