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A Robust Algorithm for Semidefinite Programming

Xuan Vinh Doan (vanxuan***at***uwaterloo.ca)
Serge Kruk (sgkruk***at***acm.org)
Henry Wolkowicz (hwolkowi***at***uwaterloo.ca)

Abstract: Current successful methods for solving semidefinite programs, SDP, are based on primal-dual interior-point approaches. These usually involve a symmetrization step to allow for application of Newton's method followed by block elimination to reduce the size of the Newton equation. Both these steps create ill-conditioning in the Newton equation and singularity of the Jacobian of the optimality conditions at the optimum. In order to avoid the ill-conditioning, we derive and test a backwards stable primal-dual interior-point method for SDP. Relative to current public domain software, we realize both a distinct improvement in the accuracy of the optimum and a reduction in the number of iterations. This is true for random problems as well as for problems of special structure. Our algorithm is based on a Gauss-Newton approach applied to a single bilinear form of the optimality conditions. The well-conditioned Jacobian allows for a preconditioned (matrix-free) iterative method for finding the search direction at each iteration.

Keywords: Semidefinite Programming, interior-point algorithm, stabillity

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

Category 2: Optimization Software and Modeling Systems (Optimization Software Benchmark )

Citation: CORR 2010-09, Department of Combinatorics and Optimization, University of Waterloo, Nov. 2010

Download: [PDF]

Entry Submitted: 11/14/2010
Entry Accepted: 11/14/2010
Entry Last Modified: 11/17/2010

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