Logarithmic barriers for sparse matrix cones
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Publication:5299902
DOI10.1080/10556788.2012.684353zbMATH Open1266.65045arXiv1203.2742OpenAlexW2030828780MaRDI QIDQ5299902FDOQ5299902
Authors: Martin S. Andersen, Joachim Dahl, Lieven Vandenberghe 
Publication date: 24 June 2013
Published in: Optimization Methods \& Software (Search for Journal in Brave)
Abstract: Algorithms are presented for evaluating gradients and Hessians of logarithmic barrier functions for two types of convex cones: the cone of positive semidefinite matrices with a given sparsity pattern, and its dual cone, the cone of sparse matrices with the same pattern that have a positive semidefinite completion. Efficient large-scale algorithms for evaluating these barriers and their derivatives are important in interior-point methods for nonsymmetric conic formulations of sparse semidefinite programs. The algorithms are based on the multifrontal method for sparse Cholesky factorization.
Full work available at URL: https://arxiv.org/abs/1203.2742
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Numerical mathematical programming methods (65K05) Direct numerical methods for linear systems and matrix inversion (65F05) Computational methods for sparse matrices (65F50) Large-scale problems in mathematical programming (90C06) Semidefinite programming (90C22)
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Cited In (11)
- Distributed primal–dual interior-point methods for solving tree-structured coupled convex problems using message-passing
- Linear optimization over homogeneous matrix cones
- Computing conjugate barrier information for nonsymmetric cones
- Some properties of the Hessian of the logarithmic barrier function
- Performance enhancements for a generic conic interior point algorithm
- GMRES-accelerated ADMM for quadratic objectives
- Inexact proximal Newton methods for self-concordant functions
- Sparse semidefinite programs with guaranteed near-linear time complexity via dualized clique tree conversion
- Implementation of nonsymmetric interior-point methods for linear optimization over sparse matrix cones
- Bregman primal-dual first-order method and application to sparse semidefinite programming
- A smoothing method for sparse optimization over polyhedral sets
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