Numerical block diagonalization of matrix $*$-algebras with application to semidefinite programming

Etienne De Klerk (e.deklerkuvt.nl)
Cristian Dobre (C.Dobreuvt.nl)
Dmitrii V. Pasechnik (dimantu.edu.sg)

Abstract: Semidefinite programming (SDP) is one of the most active areas in mathematical programming, due to varied applications and the availability of interior point algorithms. In this paper we propose a new pre-processing technique for SDP instances that exhibit algebraic symmetry. We present computational results to show that the solution times of certain SDP instances may be greatly reduced via the new approach.

Keywords: semidefinite programming, algebraic symmetry, pre-processing, interior point methods

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

Citation: Preprint, Department of Econometrics and OR, Tilburg University, The Netherlands (2009).

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Entry Submitted: 02/28/2009
Entry Accepted: 02/28/2009
Entry Last Modified: 11/21/2009

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