An introduction to a class of matrix cone programming
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A class of linear conic programming is defined (called matrix cone programming or MCP) involving the epigraphs of five commonly used matrix norms and the well studied symmetric cone. MCP has recently been found to have many important applications, for example, in nuclear norm relaxations of affine rank minimization problems. In order to make this class of problems tractable via variants of the augmented Lagrange method, efforts have been made to establish several key properties including the closed form solution, calm \(B\)-differentiability and strong semi-smoothness of the metric projection operator over the epigraph of the \(\ell_1\), \(\ell_\infty\), spectral, and nuclear matrix norm, respectively. These properties make it possible to apply augmented Lagrangian methods, which have recently received a great deal of interests due to their high efficiency in solving large scale semidefinite programming, to this class of MCP problems.
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