Interior-point Methods for Lagrangian Duals of Semideenite Programs
نویسنده
چکیده
This paper proposes a new primal-dual predictor-corrector interior-point method for a class of semideenite programs, which numerically traces the central trajectory in a space of Lagrange multipliers. The distinguishing 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 eeective preconditioning matrix induced from the BFGS quasi-Newton method in the predictor procedure. Some preliminary numerical results are presented.
منابع مشابه
Semideenite Programs and Combinatorial Optimization
Outline 1. Introductory examples: Shannon capacity and maximum cuts. 2. Preliminaries: linear programming, semideenite matrices. 3. General properties of semideenite programs: equivalent forms, Farkas Lemma, Duality Theorem, Ellipsoid method, Interior point method. 4. Getting semideenite programs I: eigenvalues of graphs and the method of variables. 5. Getting semideenite programs II: geometric...
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