Large-scale semidefinite programming via a saddle point mirror-prox algorithm (Q868467)
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| English | Large-scale semidefinite programming via a saddle point mirror-prox algorithm |
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Large-scale semidefinite programming via a saddle point mirror-prox algorithm (English)
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5 March 2007
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The authors consider semi-definite programs and investigate how to use sparsity patterns of the involved matrices for the solution of such problems by using first-order methods. They present several presentations of these matrices and, based on them, reformulate the original problem into smooth convex-concave saddle point problems. Finally, numerical examples are discussed.
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Semidefinite programming
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saddle point problem
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mirror prox method
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