SIAM Optimization

Title: A Robust Algorithm for Semidefinite Programming
Xuan Vinh Doan, Serge Kruk, Henry Wolkowicz

Abstract: Current successful methods for solving semidefinite programs, SDP, use symmetrization and block elimination steps that create ill-conditioning in the Newton equations. we derive and test a backwards stable primal-dual interior-point method for SDP that avoids the ill-conditioning Our algorithm is based on a Gauss-Newton approach that allows for a preconditioned (matrix-free) iterative method for finding the search direction at each iteration.

talk slides/pdf file