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scientific article; zbMATH DE number 1091399
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scientific article; zbMATH DE number 1091399 |
Statements
8 September 1998
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Newton method
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convergence
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semidefinite programming
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path-following method
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logarithmic barrier method
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0.870442807674408
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0.8492418527603149
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One considers the semidefinite programming problem \[ \min \text{Tr}(C^TX) \quad \text{s.t. \quad Tr}(A^T_iX) =b_i, \quad i=1, \dots, m,\;X\succeq 0, \] where \(X\), \(C\), \(A_1, \dots, A_m\) are symmetric matrices with order \(n; b_1, \dots, b_m\) are real numbers; \(A_1, \dots, A_m\) are linearly independent, where ``Tr'' means the trace of a matrix, ``\(\succeq\)'' denotes the Löwner partial order. A path-following method for the semidefinite programming problem above is presented which is an extension of the logarithmic barrier method developed by \textit{C. Roos} and \textit{J.-Ph. Vial} [Math. Program., Ser. A 54, No. 3, 295-305 (1992; Zbl 0771.90067)]. It is shown that the algorithm is polynomially convergent.
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