Simple Efficient Solutions for Semidefinite Programming
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Simple Efficient Solutions for Semidefinite Programming
Abstract. This paper provides a simple approach for solving a semidefinite program, SDP. As is common with many other approaches, we apply a primal-dual ...
Simple Efficient Solutions for Semidefinite Programming Henry Wolkowicz
∗
October 4, 2001
University of Waterloo Department of Combinatorics & Optimization Waterloo, Ontario N2L 3G1, Canada Research Report CORR 2001-49 1 Key words: Semidefinite Programming, large sparse problems, inexact Gauss-Newton method, preconditioned conjugate gradients, optimal diagonal preconditioner, Max-Cut Problem. Abstract This paper provides a simple approach for solving a semidefinite program, SDP. As is common with many other approaches, we apply a primal-dual method that uses the perturbed optimality equations for SDP, Fµ (X, y, Z) = 0, where X, Z are n × n symmetric matrices and y ∈
