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A Novel Approach for Solving Semidefinite Programs

Author

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  • Hong-Wei Jiao
  • Ya-Kui Huang
  • Jing Chen

Abstract

A novel linearizing alternating direction augmented Lagrangian approach is proposed for effectively solving semidefinite programs (SDP). For every iteration, by fixing the other variables, the proposed approach alternatively optimizes the dual variables and the dual slack variables; then the primal variables, that is, Lagrange multipliers, are updated. In addition, the proposed approach renews all the variables in closed forms without solving any system of linear equations. Global convergence of the proposed approach is proved under mild conditions, and two numerical problems are given to demonstrate the effectiveness of the presented approach.

Suggested Citation

  • Hong-Wei Jiao & Ya-Kui Huang & Jing Chen, 2014. "A Novel Approach for Solving Semidefinite Programs," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, August.
    • Handle: RePEc:hin:jnljam:613205
    DOI: 10.1155/2014/613205
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