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High accuracy solution of large scale semidefinite programs

Thomas Davi (davi***at***opt.uni-duesseldorf.de)
Florian Jarre (jarre***at***opt.uni-duesseldorf.de)

Abstract: We present a first order approach for solving semidefinite programs. Goal of this approach is to compute a solution of the SDP up to high accuracy in spite of using only partial second order information. We propose a hybrid approach that uses an accelerated projection method to generate an approximate solution and then switches to the QMR algorithm applied to a symmetrized version of the AHO-system to improve this approximation. Some numerical experiments based on a number of random test examples illustrate the potential of this approach.

Keywords: Semidefinite program, AHO direction, QMR algorithm.

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

Citation: ............ http://www.opt.uni-duesseldorf.de/en/forschung-fs.html ............ Preprint, Universitaet Duesseldorf, To appear in Optimizaton Methods and Software

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Entry Submitted: 04/20/2011
Entry Accepted: 04/20/2011
Entry Last Modified: 08/02/2011

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