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A Polynomial Time Constraint-Reduced Algorithm for Semidefinite Optimization Problems

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  • Sungwoo Park

    (KCG holdings)

  • Dianne P. O’Leary

    (University of Maryland)

Abstract

We present an infeasible primal-dual interior point method for semidefinite optimization problems, making use of constraint reduction. We show that the algorithm is globally convergent and has polynomial complexity, the first such complexity result for primal-dual constraint reduction algorithms for any class of problems. Our algorithm is a modification of one with no constraint reduction due to Potra and Sheng (1998) and can be applied whenever the data matrices are block diagonal. It thus solves as special cases any optimization problem that is a linear, convex quadratic, convex quadratically constrained, or second-order cone problem.

Suggested Citation

  • Sungwoo Park & Dianne P. O’Leary, 2015. "A Polynomial Time Constraint-Reduced Algorithm for Semidefinite Optimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 166(2), pages 558-571, August.
    • Handle: RePEc:spr:joptap:v:166:y:2015:i:2:d:10.1007_s10957-015-0714-z
    DOI: 10.1007/s10957-015-0714-z
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    References listed on IDEAS

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    1. F. A. Potra & R. Sheng, 1998. "Superlinear Convergence of Interior-Point Algorithms for Semidefinite Programming," Journal of Optimization Theory and Applications, Springer, vol. 99(1), pages 103-119, October.
    2. Yu. E. Nesterov & M. J. Todd, 1997. "Self-Scaled Barriers and Interior-Point Methods for Convex Programming," Mathematics of Operations Research, INFORMS, vol. 22(1), pages 1-42, February.
    3. Kim-Chuan Toh & Michael J. Todd & Reha H. Tütüncü, 2012. "On the Implementation and Usage of SDPT3 – A Matlab Software Package for Semidefinite-Quadratic-Linear Programming, Version 4.0," International Series in Operations Research & Management Science, in: Miguel F. Anjos & Jean B. Lasserre (ed.), Handbook on Semidefinite, Conic and Polynomial Optimization, chapter 0, pages 715-754, Springer.
    4. de Klerk, E. & Pasechnik, D.V. & Sotirov, R., 2008. "On Semidefinite Programming Relaxations of the Traveling Salesman Problem (revision of DP 2007-101)," Discussion Paper 2008-96, Tilburg University, Center for Economic Research.
    5. Jin Jung & Dianne O’Leary & André Tits, 2012. "Adaptive constraint reduction for convex quadratic programming," Computational Optimization and Applications, Springer, vol. 51(1), pages 125-157, January.
    6. Qing Zhao & Stefan E. Karisch & Franz Rendl & Henry Wolkowicz, 1998. "Semidefinite Programming Relaxations for the Quadratic Assignment Problem," Journal of Combinatorial Optimization, Springer, vol. 2(1), pages 71-109, March.
    7. F. A. Potra & R. Sheng, 1998. "Superlinearly Convergent Infeasible-Interior-Point Algorithm for Degenerate LCP," Journal of Optimization Theory and Applications, Springer, vol. 97(2), pages 249-269, May.
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    Cited by:

    1. Sungwoo Park, 2016. "A Constraint-Reduced Algorithm for Semidefinite Optimization Problems with Superlinear Convergence," Journal of Optimization Theory and Applications, Springer, vol. 170(2), pages 512-527, August.
    2. M. Paul Laiu & André L. Tits, 2019. "A constraint-reduced MPC algorithm for convex quadratic programming, with a modified active set identification scheme," Computational Optimization and Applications, Springer, vol. 72(3), pages 727-768, April.

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