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An accelerated active-set algorithm for a quadratic semidefinite program with general constraints

Author

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  • Chungen Shen

    (University of Shanghai for Science and Technology)

  • Yunlong Wang

    (Shanghai Jiao Tong University)

  • Wenjuan Xue

    (Shanghai University of Electric Power)

  • Lei-Hong Zhang

    (Soochow University)

Abstract

In this paper, we are concerned with efficient algorithms for solving the least squares semidefinite programming which contains many equalities and inequalities constraints. Our proposed method is built upon its dual formulation and is a type of active-set approach. In particular, by exploiting the nonnegative constraints in the dual form, our method first uses the information from the Barzlai–Borwein step to estimate the active/inactive sets, and within an adaptive framework, it then accelerates the convergence by switching the L-BFGS iteration and the semi-smooth Newton iteration dynamically. We show the global convergence under mild conditions, and furthermore, the local quadratic convergence under the additional nondegeneracy condition. Various types of synthetic as well as real-world examples are tested, and preliminary but promising numerical experiments are reported.

Suggested Citation

  • Chungen Shen & Yunlong Wang & Wenjuan Xue & Lei-Hong Zhang, 2021. "An accelerated active-set algorithm for a quadratic semidefinite program with general constraints," Computational Optimization and Applications, Springer, vol. 78(1), pages 1-42, January.
    • Handle: RePEc:spr:coopap:v:78:y:2021:i:1:d:10.1007_s10589-020-00228-5
    DOI: 10.1007/s10589-020-00228-5
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    References listed on IDEAS

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