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