Large-scale semidefinite programming via a saddle point mirror-prox algorithm

DOI10.1007/S10107-006-0031-2MaRDI QIDQ868467zbMATH OpenOpenAlexWikidataFDO

Authors Zhaosong Lu, Renato D. C. Monteiro, Arkadi Nemirovski

Publication date 5 March 2007

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

Full work available at URL https://doi.org/10.1007/s10107-006-0031-2

zbMATH Keywords

saddle point problemSemidefinite programmingmirror prox method

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Convex programming (90C25) Interior-point methods (90C51) Semidefinite programming (90C22)

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Cites work

• A Spectral Bundle Method for Semidefinite Programming
• A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization
• Exploiting sparsity in semidefinite programming via matrix completion. I: General framework
• Positive definite completions of partial Hermitian matrices
• Prox-Method with Rate of Convergence O(1/t) for Variational Inequalities with Lipschitz Continuous Monotone Operators and Smooth Convex-Concave Saddle Point Problems
• Smooth minimization of non-smooth functions
• Solving a class of semidefinite programs via nonlinear programming

Cited in

(22)

• Implementation of a block-decomposition algorithm for solving large-scale conic semidefinite programming problems
• An inexact dual logarithmic barrier method for solving sparse semidefinite programs
• First- and second-order methods for semidefinite programming
• An optimal method for stochastic composite optimization
• A novel approach for solving semidefinite programs
• Scalable semidefinite programming
• First-order methods in large-scale semidefinite optimization.
• SDPA PROJECT : SOLVING LARGE-SCALE SEMIDEFINITE PROGRAMS(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)
• A randomized mirror-prox method for solving structured large-scale matrix saddle-point problems
• Sparse non Gaussian component analysis by semidefinite programming
• Exploiting structured sparsity in large scale semidefinite programming problems
• High-accuracy solution of large-scale semidefinite programs
• Accelerated first-order methods for hyperbolic programming
• An efficient approach to solve the large-scale semidefinite programming problems
• Linearly convergent first-order algorithms for semidefinite programming
• Primal-dual first-order methods with \({\mathcal {O}(1/\varepsilon)}\) iteration-complexity for cone programming
• Solving variational inequalities with stochastic mirror-prox algorithm
• Exploiting equalities in polynomial programming
• The equivalent model of the large sparse saddle point problem and its solving strategy
• Bregman primal-dual first-order method and application to sparse semidefinite programming
• Accelerated first-order methods for a class of semidefinite programs
• Mirror Prox algorithm for multi-term composite minimization and semi-separable problems

Describes a project that uses

Uses Software

• SDPLR

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