Smoothing techniques for solving semidefinite programs with many constraints
Abstract: We use smoothing techniques to solve approximately mildly structured semidefinite programs with many constraints. As smoothing techniques require a specific problem format, we introduce an alternative problem formulation that fulfills the structural assumptions. The resulting algorithm has a complexity that depends linearly both on the number of constraints and on the inverse of the accuracy. Some numerical experiments show that smoothing techniques compares favorably with interior-point methods for very large-scale instances.
Keywords: Semidefinite programming, convex optimization, nonsmooth optimization
Category 1: Linear, Cone and Semidefinite Programming (Semi-definite Programming )
Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )
Citation: IFOR Internal report, October 2009, ETH Zurich, Raemistrasse 101, CH-8092 Zurich, Switzerland.
Entry Submitted: 10/05/2009
Modify/Update this entry
|Visitors||Authors||More about us||Links|
Search, Browse the Repository
Give us feedback
|Optimization Journals, Sites, Societies|