Structured Primal-dual Interior-point Methods for Banded Semidefinite Programming

2010 ◽  
pp. 111-141
Author(s):  
Zhiming Deng ◽  
Ming Gu ◽  
Michael L. Overton
Keyword(s):  
Semidefinite Programming ◽  
Interior Point ◽  
Interior Point Methods ◽  
Primal Dual

Exploiting sparsity in primal-dual interior-point methods for semidefinite programming

1997 ◽  
Vol 79 (1-3) ◽  
pp. 235-253 ◽  
Author(s):  
Katsuki Fujisawa ◽  
Masakazu Kojima ◽  
Kazuhide Nakata
Keyword(s):  
Semidefinite Programming ◽  
Interior Point ◽  
Interior Point Methods ◽  
Primal Dual

Eigenvalue optimization

Acta Numerica ◽  
1996 ◽  
Vol 5 ◽  
pp. 149-190 ◽  
Author(s):  
Adrian S. Lewis ◽  
Michael L. Overton
Keyword(s):  
Semidefinite Programming ◽  
Interior Point ◽  
Duality Theory ◽  
Interior Point Methods ◽  
Optimization Problems ◽  
Lyapunov Theory ◽  
Conjugate Duality ◽  
Problem Class ◽  
Primal Dual ◽  
Matrix Norms

Optimization problems involving eigenvalues arise in many different mathematical disciplines. This article is divided into two parts. Part I gives a historical account of the development of the field. We discuss various applications that have been especially influential, from structural analysis to combinatorial optimization, and we survey algorithmic developments, including the recent advance of interior-point methods for a specific problem class: semidefinite programming. In Part II we primarily address optimization of convex functions of eigenvalues of symmetric matrices subject to linear constraints. We derive a fairly complete mathematical theory, some of it classical and some of it new. Using the elegant language of conjugate duality theory, we highlight the parallels between the analysis of invariant matrix norms and weakly invariant convex matrix functions. We then restrict our attention further to linear and semidefinite programming, emphasizing the parallel duality theory and comparing primal-dual interior-point methods for the two problem classes. The final section presents some apparently new variational results about eigenvalues of nonsymmetric matrices, unifying known characterizations of the spectral abscissa (related to Lyapunov theory) and the spectral radius (as an infimum of matrix norms).

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