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A new notion of weighted centers for semidefinite programming

Chek Beng Chua (cbchua***at***math.uwaterloo.ca)

Abstract: The notion of weighted centers is essential in V-space interior-point algorithms for linear programming. Although there were some successes in generalizing this notion to semidefinite programming via weighted center equations, we still do not have a generalization that preserves two important properties --- 1) each choice of weights uniquely determines a pair of primal-dual weighted centers, and 2) the set of all primal-dual weighted centers completely fills up the relative interior of the primal-dual feasible region. This paper presents a new notion of weighted centers for semidefinite programming that possesses both uniqueness and completeness. Furthermore, it is shown that under strict complementarity, these weighted centers converge to weighted centers of optimal faces. Finally, this convergence result is applied to homogeneous cone programming, where the central paths defined by a certain class of optimal barriers for homogeneous cones is shown to converge to analytic centers of optimal faces in the presence of strictly complementary solutions.

Keywords: weighted center, semidefinite programming, V-space, homogeneous cone programming, facial structure, Cholesky decomposition.

Category 1: Linear, Cone and Semidefinite Programming (Semi-definite Programming )

Category 2: Linear, Cone and Semidefinite Programming (Other )

Category 3: Convex and Nonsmooth Optimization (Convex Optimization )

Citation: SIAM J. Optim., vol. 16, no. 4, pp. 1092-1109

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Entry Submitted: 03/29/2004
Entry Accepted: 03/29/2004
Entry Last Modified: 03/24/2006

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