Initialization in semidefinite programming via a self-dual skew-symmetric embedding

Initialization in semidefinite programming via a self-dual skew-symmetric embedding

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Article ID: iaor19983026
Country: Netherlands
Volume: 20
Issue: 5
Start Page Number: 213
End Page Number: 221
Publication Date: Jun 1997
Journal: Operations Research Letters
Authors: , ,
Keywords: semidefinite programming, interior point methods
Abstract:

The formulation of interior point algorithms for semidefinite programming has become an active research area, following the success of the methods for large-scale linear programming. Many interior point methods for linear programming have now been extended to the more general semidefinite case, but the initialization problem remained unsolved. In this paper we show that the initialization strategy of embedding the problem in a self-dual skew-symmetric problem can also be extended to the semidefinite case. This method also provides a solution for the initialization of quadratic programs and it is applicable to more general convex problems with conic formulation.

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