A trust region method for solving semidefinite programs

作者：Huang Aiqun^*; Xu Chengxian

来源：Computational Optimization and Applications, 2013, 55(1): 49-71.

DOI：10.1007/s10589-012-9514-7

• Semidefinite programming
• Frechet derivative
• Global convergence
• Trust region method

When using interior point methods for solving semidefinite programs (SDP), one needs to solve a system of linear equations at each iteration. For problems of large size, solving the system of linear equations can be very expensive. In this paper, we propose a trust region algorithm for solving SDP problems. At each iteration we perform a number of conjugate gradient iterations, but do not need to solve a system of linear equations. Under mild assumptions, the convergence of this algorithm is established. Numerical examples are given to illustrate the convergence results obtained.

• 出版日期2013-5
• 单位西安交通大学