An interior point-proximal method of multipliers for linear positive semi-definite programming
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Abstract: In this paper we generalize the Interior Point-Proximal Method of Multipliers (IP-PMM) presented in [An Interior Point-Proximal Method of Multipliers for Convex Quadratic Programming, Computational Optimization and Applications, 78, 307--351 (2021)] for the solution of linear positive Semi-Definite Programming (SDP) problems, allowing inexactness in the solution of the associated Newton systems. In particular, we combine an infeasible Interior Point Method (IPM) with the Proximal Method of Multipliers (PMM) and interpret the algorithm (IP-PMM) as a primal-dual regularized IPM, suitable for solving SDP problems. We apply some iterations of an IPM to each sub-problem of the PMM until a satisfactory solution is found. We then update the PMM parameters, form a new IPM neighbourhood, and repeat this process. Given this framework, we prove polynomial complexity of the algorithm, under mild assumptions, and without requiring exact computations for the Newton directions. We furthermore provide a necessary condition for lack of strong duality, which can be used as a basis for constructing detection mechanisms for identifying pathological cases within IP-PMM.
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- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
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- scientific article; zbMATH DE number 1534290 (Why is no real title available?)
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Cited in
(10)- An interior-point method for approximate positive semidefinite completions
- An interior point-proximal method of multipliers for convex quadratic programming
- Swarming optimization to analyze the fractional derivatives and perturbation factors for the novel singular model
- An Interior Proximal Algorithm and the Exponential Multiplier Method for Semidefinite Programming
- Sparse approximations with interior point methods
- General-purpose preconditioning for regularized interior point methods
- Copositive tensor optimization problem and its applications to hypergraphs
- Randomized Nyström preconditioned interior point-proximal method of multipliers
- Proximal-stabilized semidefinite programming
- Superlinear convergence of an interior point algorithm on linear semi-definite feasibility problems
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