An iterative method using boundary distance for box-constrained nonlinear semidefinite programs
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Publication:5148355
zbMATH Open1474.90324arXiv1411.4339MaRDI QIDQ5148355FDOQ5148355
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Publication date: 3 February 2021
Abstract: We propose an iterative method for nonlinear semidefinite programs with box constraints. The search direction in the proposed method utilizes the distance from the current point to the boundary of a feasible set. The computation of the search direction exploits the second derivative of the objective function only in a quadratic form, and this property saves the computation cost compared to an evaluation of the whole entries of the second derivative. We compute a step length in an interval determined by a radius and we update the radius using a quadratic approximation function. In this paper, we also discuss convergence properties of the proposed method based on structures of the search direction. Numerical tests show that the proposed method solves problems in which the size of a variable matrix is larger than 5,000 and that it is faster than a feasible direction method for objective functions with strong nonlinearity.
Full work available at URL: https://arxiv.org/abs/1411.4339
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