On sensitivity of central solutions in semidefinite programming

DOI10.1007/S101070100226MaRDI QIDQ5935707zbMATH OpenFDO

Authors Jos F. Sturm, Shuzhong Zhang

Publication date 11 May 2002

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

Full work available at URL https://doi.org/10.1007/S101070100226

zbMATH Keywords

analytic central pathcondition numbersemidefinite programming

Mathematics Subject Classification ID

Semidefinite programming (90C22) Sensitivity, stability, parametric optimization (90C31) Interior-point methods (90C51)

Review text

The authors study the properties of the analytic central path of a semidefinite programming problem under perturbation of the right hand side of the constraints. Then the limiting behavior when the central optimal solution is approached is considered. The primal-dual Slater condition and the strict complementarity condition are supposed to be fullfiled in the whole analysis. On the one hand it is shown that the central path considered as a function of the right hand side of the constraints is not continuous in general, whereas in the linear case this function is Lipschitz continuous. On the other hand it is proved that on the central path any directional derivative with respect to the right hand side of the constraints is bounded, and even converges as the central optimal solution is approached. Finally, an example is presented where the set of the right hand side parameters for which the strict complementarity condition holds is neither open nor closed. This is remarkable since a similar set of these parameter values for which the primal-dual Slater condition holds is always open.

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Cited in

(21)

• On parametric semidefinite programming
• Polynomial primal-dual cone affine scaling for semidefinite programming
• Symmetric primal-dual path-following algorithms for semidefinite programming
• A sensitivity result for semidefinite programs.
• A primal-dual interior point method for parametric semidefinite programming problems
• On weighted centers for semidefinite programming
• Conditioning of semidefinite programs
• Conditions for error bounds of linear complementarity problems over second-order cones with pseudomonotonicity
• Analyticity of the central path at the boundary point in semidefinite programming
• Perturbation analysis of singular semidefinite programs and its applications to control problems
• Two optimal value functions in parametric conic linear programming
• An -sensitivity analysis for semidefinite programming
• Condition-measure bounds on the behavior of the central trajectory of a semidefinite program
• A Lipschitzian error bound for convex quadratic symmetric cone programming
• Parametric analysis of semidefinite optimization
• Limiting behavior of the central path in semidefinite optimization
• Marginal And Parametric Analysis Of The Central Optimal Solution
• Parametric conic optimization problems over semidefinite plus nonnegative cone
• Unifying optimal partition approach to sensitivity analysis in conic optimization
• Nonlinear semidefinite programming: sensitivity, convergence, and an application in passive reduced-order modeling
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