Journal article
A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization
Mathematical programming, Vol.95(2), pp.329-357
02/01/2003
DOI: 10.1007/s10107-002-0352-8
Abstract
In this paper, we present a nonlinear programming algorithm for solving semidefinite programs (SDPs) in standard form. The algorithm's distinguishing feature is a change of variables that replaces the symmetric, positive semidefinite variable X of the SDP with a rectangular variable R according to the factorization X = RR T. The rank of the factorization, i.e., the number of columns of R, is chosen minimally so as to enhance computational speed while maintaining equivalence with the SDP. Fundamental results concerning the convergence of the algorithm are derived, and encouraging computational results on some large-scale test problems are also presented.
Details
- Title: Subtitle
- A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization
- Creators
- Samuel Burer - University of IowaRenato D. C Monteiro - Georgia Institute of Technology
- Resource Type
- Journal article
- Publication Details
- Mathematical programming, Vol.95(2), pp.329-357
- Publisher
- Springer
- DOI
- 10.1007/s10107-002-0352-8
- ISSN
- 0025-5610
- eISSN
- 1436-4646
- Language
- English
- Date published
- 02/01/2003
- Academic Unit
- Business Analytics
- Record Identifier
- 9984380530602771
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