An interior-point algorithm for semidefinite least-squares problems.

DOI10.21136/AM.2021.0217-20MaRDI QIDQ2148405zbMATHOpenAlexFDO

Authors Ch. Daili, Mohamed Achache

Publication date 23 June 2022

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21136/am.2021.0217-20

zbMATH Keywords

polynomial complexityinterior-point methodsemidefinite least-squares problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Interior-point methods (90C51) Semidefinite programming (90C22)

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• Computing the nearest correlation matrix--a problem from finance
• Interior-Point Methods for the Monotone Semidefinite Linear Complementarity Problem in Symmetric Matrices
• Least-Squares Covariance Matrix Adjustment
• Numerically stable generation of correlation matrices and their factors
• On Extending Some Primal--Dual Interior-Point Algorithms From Linear Programming to Semidefinite Programming
• Primal--Dual Path-Following Algorithms for Semidefinite Programming
• Primal-Dual Interior-Point Methods for Self-Scaled Cones
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Self-Scaled Barriers and Interior-Point Methods for Convex Programming

Cited in

(3)

• An Interior-Point Perspective on Sensitivity Analysis in Semidefinite Programming
• An interior-point method for approximate positive semidefinite completions
• Interior-Point Algorithms for Semidefinite Programming Problems Derived from the KYP Lemma

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