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Author:

Zhao, Xin-Yuan (Zhao, Xin-Yuan.) (Scholars:赵欣苑) | Sun, Defeng (Sun, Defeng.) | Toh, Kim-Chuan (Toh, Kim-Chuan.)

Indexed by:

EI Scopus SCIE

Abstract:

We consider a Newton-CG augmented Lagrangian method for solving semidefinite programming (SDP) problems from the perspective of approximate semismooth Newton methods. In order to analyze the rate of convergence of our proposed method, we characterize the Lipschitz continuity of the corresponding solution mapping at the origin. For the inner problems, we show that the positive definiteness of the generalized Hessian of the objective function in these inner problems, a key property for ensuring the efficiency of using an inexact semismooth Newton-CG method to solve the inner problems, is equivalent to the constraint nondegeneracy of the corresponding dual problems. Numerical experiments on a variety of large-scale SDP problems with the matrix dimension n up to 4, 110 and the number of equality constraints m up to 2, 156, 544 show that the proposed method is very efficient. We are also able to solve the SDP problem fap36 (with n = 4, 110 and m = 1, 154, 467) in the Seventh DIMACS Implementation Challenge much more accurately than in previous attempts.

Keyword:

semidefinite programming semismoothness iterative solver Newton method augmented Lagrangian

Author Community:

  • [ 1 ] [Zhao, Xin-Yuan]Beijing Univ Technol, Dept Appl Math, Beijing 100022, Peoples R China
  • [ 2 ] [Sun, Defeng]Natl Univ Singapore, Dept Math, Singapore 117543, Singapore
  • [ 3 ] [Toh, Kim-Chuan]Natl Univ Singapore, Dept Math, Singapore 117543, Singapore
  • [ 4 ] [Sun, Defeng]Natl Univ Singapore, Risk Management Inst, Singapore 117543, Singapore
  • [ 5 ] [Toh, Kim-Chuan]Singapore MIT Alliance, Singapore 117576, Singapore

Reprint Author's Address:

  • 赵欣苑

    [Zhao, Xin-Yuan]Beijing Univ Technol, Dept Appl Math, 100 Pingleyuan, Beijing 100022, Peoples R China

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Source :

SIAM JOURNAL ON OPTIMIZATION

ISSN: 1052-6234

Year: 2010

Issue: 4

Volume: 20

Page: 1737-1765

3 . 1 0 0

JCR@2022

ESI Discipline: MATHEMATICS;

JCR Journal Grade:1

CAS Journal Grade:2

Cited Count:

WoS CC Cited Count: 260

SCOPUS Cited Count: 256

ESI Highly Cited Papers on the List: 11 Unfold All

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WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 8

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