Large-scale semidefinite programming via a saddle point mirror-prox algorithm
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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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Cites work
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Cited in
(22)- First- and second-order methods for semidefinite programming
- Accelerated first-order methods for hyperbolic programming
- An efficient approach to solve the large-scale semidefinite programming problems
- Bregman primal-dual first-order method and application to sparse semidefinite programming
- An inexact dual logarithmic barrier method for solving sparse semidefinite programs
- A novel approach for solving semidefinite programs
- Mirror Prox algorithm for multi-term composite minimization and semi-separable problems
- Implementation of a block-decomposition algorithm for solving large-scale conic semidefinite programming problems
- A randomized mirror-prox method for solving structured large-scale matrix saddle-point problems
- First-order methods in large-scale semidefinite optimization.
- The equivalent model of the large sparse saddle point problem and its solving strategy
- Sparse non Gaussian component analysis by semidefinite programming
- An optimal method for stochastic composite optimization
- Linearly convergent first-order algorithms for semidefinite programming
- Scalable semidefinite programming
- Solving variational inequalities with stochastic mirror-prox algorithm
- High-accuracy solution of large-scale semidefinite programs
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- Exploiting structured sparsity in large scale semidefinite programming problems
- Primal-dual first-order methods with \({\mathcal {O}(1/\varepsilon)}\) iteration-complexity for cone programming
- Accelerated first-order methods for a class of semidefinite programs
- Exploiting equalities in polynomial programming
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