A New Infeasible Interior-Point Algorithm with Full Nesterov-Todd Step for Semi-Definite Optimization

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Abstract:

  We present a new full Nesterov and Todd step infeasible interior-point algorithm for semi-definite optimization. The algorithm decreases the duality gap and the feasibility residuals at the same rate. In the algorithm, we construct strictly feasible iterates for a sequence of perturbations of the given problem and its dual problem. Every main iteration of the algorithm consists of a feasibility step and some centering steps. We show that the algorithm converges and finds an approximate solution in polynomial time. A numerical study is made for the numerical performance. Finally, a comparison of the obtained results with those by other existing algorithms is made.

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Journal title

volume 4  issue None

pages  88- 107

publication date 2013-05

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