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How Far Can We Go With Primal-Dual Interior Point Methods for SDP?

Brian Borchers (borchers***at***nmt.edu)
Joseph Young (jyoung***at***math.uwaterloo.ca)

Abstract: Primal--dual interior point methods and the HKM method in particular have been implemented in a number of software packages for semidefinite programming. These methods have performed well in practice on small to medium sized SDP's. However, primal--dual codes have had some trouble in solving larger problems because of the method's storage requirements. In this paper we analyze the storage requirements of the HKM method and describe a 64-bit parallel implementation of the method that has been used to solve some large scale problems that have not previously been solved by primal--dual methods.

Keywords: semidefinite programming, primal-dual method

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

Citation: New Mexico Tech, February 28, 2005. A revised version of this paper has been accepted for publication in "Computational Optimization and Applications"

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Entry Submitted: 03/02/2005
Entry Accepted: 03/02/2005
Entry Last Modified: 03/27/2006

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