On the Nesterov-Todd direction in semidefinite programming

被引:186
作者
Todd, MJ [1 ]
Toh, KC
Tutuncu, RH
机构
[1] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA
[2] Natl Univ Singapore, Dept Math, Singapore 119620, Singapore
[3] Carnegie Mellon Univ, Dept Math Sci, Pittsburgh, PA 15213 USA
关键词
semidefinite programming; Newton direction; predictor-corrector interior-point method;
D O I
10.1137/S105262349630060X
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We study different choices of search direction for primal-dual interior-point methods for semidefinite programming problems. One particular choice we consider comes from a specialization of a class of algorithms developed by Nesterov and Todd for certain convex programming problems. We discuss how the search directions for the Nesterov{Todd (NT) method can be computed efficiently and demonstrate how they can be viewed as Newton directions. This last observation also leads to convenient computation of accelerated steps, using the Mehrotra predictor-corrector approach, in the NT framework. We also provide an analytical and numerical comparison of several methods using different search directions, and suggest that the method using the NT direction is more robust than alternative methods.
引用
收藏
页码:769 / 796
页数:28
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