Implementation of nonsymmetric interior-point methods for linear optimization over sparse matrix cones

  • We describe an implementation of nonsymmetric interior-point methods for linear cone programs defined by two types of matrix cones: the cone of positive semidefinite matrices with a given chordal sparsity pattern and its dual cone, the cone of chordal sparse matrices that have a positive semidefinite completion. The implementation takes advantage of fast recursive algorithms for evaluating the function values and derivatives of the logarithmic barrier functions for these cones.We present experimental results of two implementations, one of which is based on an augmented system approach, and a comparison with publicly available interior-point solvers for semidefinite programming.

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Metadaten
Author:Martin S. Andersen, Joachim Dahl, Lieven Vandenberghe
DOI:https://doi.org/10.1007/s12532-010-0016-2
ISSN:1867-2949
Parent Title (English):Mathematical Programming Computation
Publisher:Springer Science and Business Media LLC
Document Type:Article
Language:English
Year of Completion:2010
Tag:Software; Theoretical Computer Science
Volume:2
Issue:3-4
Page Number:35
First Page:167
Last Page:201
Mathematical Programming Computation :MPC 2010 - Issue 3-4
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