Homogeneous self-dual algorithms for stochastic semidefinite programming

DOI10.1007/S10957-012-0110-XMaRDI QIDQ1935265zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 February 2013

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-012-0110-x

zbMATH Keywords

interior point methodssemidefinite programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Semidefinite programming (90C22)

Review text

Implementations of homogeneous self-dual algorithms have been amongst the most successful to solve semidefinite programming (SDP) problems. The authors extend readily this class of algorithms to the case of stochastic SDP with a finite event space, since the equivalent deterministic SDP has a specific block structure.

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Cites work

• A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming
• On homogeneous interrior-point algorithms for semidefinite programming
• On the Nesterov--Todd Direction in Semidefinite Programming
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Semidefinite optimization
• Stochastic semidefinite programming: a new paradigm for stochastic optimization

Cited in

(11)

• Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market
• On risk-averse stochastic semidefinite programs with continuous recourse
• Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
• HOMOGENEOUS SELF-DUAL METHODS FOR SYMMETRIC CONES UNDER UNCERTAINTY
• A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming
• Homogeneous self-dual algorithms for stochastic second-order cone programming
• A stochastic approximation algorithm for stochastic semidefinite programming
• A preliminary set of applications leading to stochastic semidefinite programs and chance-constrained semidefinite programs
• A homogeneous predictor-corrector algorithm for stochastic nonsymmetric convex conic optimization with discrete support
• A barrier Lagrangian dual method for multi-stage stochastic convex semidefinite optimization
• Stochastic semidefinite programming: a new paradigm for stochastic optimization

Describes a project that uses

Uses Software

• SDPHA
• SDPT3

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