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SIAMJO
2002

Lagrangian Dual Interior-Point Methods for Semidefinite Programs

11 years 1 months ago
Lagrangian Dual Interior-Point Methods for Semidefinite Programs
This paper proposes a new predictor-corrector interior-point method for a class of semidefinite programs, which numerically traces the central trajectory in a space of Lagrange multipliers. The distinguished features of the method are full use of the BFGS quasi-Newton method in the corrector procedure, and an application of the conjugate gradient method with an effective preconditioning matrix induced from the BFGS quasi-Newton method in the predictor procedure. Some preliminary numerical results are reported. Key words. semidefinite program, primal-dual interior-point method, predictor-corrector method, Lagrangian dual, BFGS quasi-Newton method, conjugate gradient method AMS subject classifications. 90C22, 90C51, 90C53, 65F10, 49N15, 49M29
Mituhiro Fukuda, Masakazu Kojima, Masayuki Shida
Added 23 Dec 2010
Updated 23 Dec 2010
Type Journal
Year 2002
Where SIAMJO
Authors Mituhiro Fukuda, Masakazu Kojima, Masayuki Shida
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