A squared smoothing Newton method for semidefinite programming
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Publication:6429080
arXiv2303.05825MaRDI QIDQ6429080FDOQ6429080
Authors: Ling Liang, Defeng Sun, Kim-Chuan Toh 
Publication date: 10 March 2023
Abstract: This paper proposes a squared smoothing Newton method via the Huber smoothing function for solving semidefinite programming problems (SDPs). We first study the fundamental properties of the matrix-valued mapping defined upon the Huber function. Using these results and existing ones in the literature, we then conduct rigorous convergence analysis and establish convergence properties for the proposed algorithm. In particular, we show that the proposed method is well-defined and admits global convergence. Moreover, under suitable regularity conditions, i.e., the primal and dual constraint nondegenerate conditions, the proposed method is shown to have a superlinear convergence rate. To evaluate the practical performance of the algorithm, we conduct extensive numerical experiments for solving various classes of SDPs. Comparison with the state-of-the-art SDP solver { t { t SDPNAL+}} demonstrates that our method is also efficient for computing accurate solutions of SDPs.
Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Semidefinite programming (90C22)
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