A primal-dual interior point method for nonlinear semidefinite programming

Hiroshi Yamashita (hymsi.co.jp)
Hiroshi Yabe (yabers.kagu.tus.ac.jp)
Kouhei Harada (haradamsi.co.jp)

Abstract: In this paper, we consider a primal-dual interior point method for solving nonlinear semidefinite programming problems. By combining the primal barrier penalty function and the primal-dual barrier function, a new primal-dual merit function is proposed within the framework of the line search strategy. We show the global convergence property of our method. Finally some numerical experiments are given.

Keywords: nonlinear semidefinite programming, primal-dual interior point method, barrier penalty function, primal-dual merit function, global convergence

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: Technical Report of Department of Mathematical Information Science, Tokyo University of Science, Tokyo, Japan, September 3, 2006 (revised May 23, 2007). Technical Report of Mathematical Systems Inc., Tokyo, Japan, September 3, 2006 (revised May 23, 2007).

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Entry Submitted: 06/18/2007
Entry Accepted: 06/18/2007
Entry Last Modified: 10/16/2007

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