A globally convergent filter-type trust region method for semidefinite programming
Summary: When using interior methods for solving semidefinite programming (SDP), one needs to solve a system of linear equations at each iteration. For problems of large size, solving the system of linear equations can be very expensive. In this paper, based on a semismooth equation reformulation using Fischer's function, we propose a filter method with trust region for solving large-scale SDP problems. At each iteration we perform a number of conjugate gradient iterations, but do not need to solve a system of linear equations. Under mild assumptions, the convergence of this algorithm is established. Numerical examples are given to illustrate the convergence results obtained.
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