B-355 a Note on the Calculation of Step-lengths in Interior-point Methods for Semideenite Programming
نویسنده
چکیده
In each iteration of an interior-point method for semideenite programming, the maximum step-length that can be taken by the iterate while maintaining the positive semideeniteness constraint need to be estimated. In this note, we show how the maximum step-length can be estimated via the Lanczos iteration, a standard iterative method for estimating the extremal eigenvalues of a matrix. We also give a posteriori error bounds for the estimate.
منابع مشابه
A Note on the Calculation of Step-Lengths in Interior-Point Methods for Semidefinite Programming
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