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Polynomial Primal-Dual Cone Affine Scaling for Semidefinite Programming

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  • Berkelaar, A.B.
  • Sturm, J.F.
  • Zhang, S.

Abstract

In this paper we generalize the primal--dual cone affine scaling algorithm of Sturm and Zhang to semidefinite programming. We show in this paper that the underlying ideas of the cone affine scaling algorithm can be naturely applied to semidefinite programming, resulting in a new algorithm. Compared to other primal--dual affine scaling algorithms for semidefinite programming, our algorithm enjoys the lowest computational complexity.

Suggested Citation

  • Berkelaar, A.B. & Sturm, J.F. & Zhang, S., 1996. "Polynomial Primal-Dual Cone Affine Scaling for Semidefinite Programming," Econometric Institute Research Papers EI 9667-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1397
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    References listed on IDEAS

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    1. NESTEROV , Yurii & TODD , Michael, 1995. "Primal-Dual Interior-Point Methods for Self-Scaled Cones," LIDAM Discussion Papers CORE 1995044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. NESTEROV ., Yurii E. & TODD , Michael J, 1994. "Self-Scaled Cones and Interior-Point Methods in Nonlinear Programming," LIDAM Discussion Papers CORE 1994062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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