Journal of Applied Mathematics

A Novel Approach for Solving Semidefinite Programs

Hong-Wei Jiao, Ya-Kui Huang, and Jing Chen

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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.

Article information

Source
J. Appl. Math., Volume 2014 (2014), Article ID 613205, 9 pages.

Dates
First available in Project Euclid: 2 March 2015

Permanent link to this document
https://projecteuclid.org/euclid.jam/1425305983

Digital Object Identifier
doi:10.1155/2014/613205

Mathematical Reviews number (MathSciNet)
MR3253628

Citation

Jiao, Hong-Wei; Huang, Ya-Kui; Chen, Jing. A Novel Approach for Solving Semidefinite Programs. J. Appl. Math. 2014 (2014), Article ID 613205, 9 pages. doi:10.1155/2014/613205. https://projecteuclid.org/euclid.jam/1425305983


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