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A polynomial primal-dual affine scaling algorithm for symmetric conic optimization

Ali Mohammad-Nezhad(alm413***at***lehigh.edu)
Tamas Terlaky(terlaky***at***lehigh.edu)

Abstract: The primal-dual Dikin-type affine scaling method was originally proposed for linear optimization and then extended to semidefinite optimization. Here, the method is generalized to symmetric conic optimization using the notion of Euclidean Jordan algebras. The method starts with an interior feasible but not necessarily centered primal-dual solution, and it features both centering and reducing the duality gap simultaneously. The methodís iteration complexity bound is analogous to the semidefinite optimization case. Numerical experiments demonstrate that the method is viable and robust when compared to SeDuMi.

Keywords: interior-point method, Dikin-type affine scaling method, symmetric conic optimization, Euclidean Jordan algebra

Category 1: Linear, Cone and Semidefinite Programming

Citation: Industrial and Systems Engineering department, Lehigh University, Sept. 2015

Download: [PDF]

Entry Submitted: 09/18/2015
Entry Accepted: 09/18/2015
Entry Last Modified: 09/18/2015

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