This paper presents a logarithmic barrier method for solving a semi-definite linear program. The descent direction is the classical Newton direction. We propose alternative ways to determine the step-size along the direction which are more efficient than classical line-searches.
Mots clés : linear semi-definite programming, barrier methods, line-search
@article{RO_2008__42_2_123_0, author = {Crouzeix, Jean-Pierre and Merikhi, Bachir}, title = {A logarithm barrier method for semi-definite programming}, journal = {RAIRO - Operations Research - Recherche Op\'erationnelle}, pages = {123--139}, publisher = {EDP-Sciences}, volume = {42}, number = {2}, year = {2008}, doi = {10.1051/ro:2008005}, mrnumber = {2431396}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ro:2008005/} }
TY - JOUR AU - Crouzeix, Jean-Pierre AU - Merikhi, Bachir TI - A logarithm barrier method for semi-definite programming JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2008 SP - 123 EP - 139 VL - 42 IS - 2 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ro:2008005/ DO - 10.1051/ro:2008005 LA - en ID - RO_2008__42_2_123_0 ER -
%0 Journal Article %A Crouzeix, Jean-Pierre %A Merikhi, Bachir %T A logarithm barrier method for semi-definite programming %J RAIRO - Operations Research - Recherche Opérationnelle %D 2008 %P 123-139 %V 42 %N 2 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ro:2008005/ %R 10.1051/ro:2008005 %G en %F RO_2008__42_2_123_0
Crouzeix, Jean-Pierre; Merikhi, Bachir. A logarithm barrier method for semi-definite programming. RAIRO - Operations Research - Recherche Opérationnelle, Tome 42 (2008) no. 2, pp. 123-139. doi : 10.1051/ro:2008005. http://www.numdam.org/articles/10.1051/ro:2008005/
[1] Interior point methods in semi-definite programming with application to combinatorial optimization. SIAM J. Optim. 5 (1995) 13-55. | MR | Zbl
,[2] Primal-dual interior-point methods for semi-definite programming, convergence rates, stability and numerical results. SIAM J. Optim. 8 (1998) 746-768. | MR | Zbl
, , and ,[3] A numerical implementation of an interior point method for semi-definite programming. Pesquisa Operacional 23-1 (2003) 49-59.
, , and ,[4] Numerical optimization, theoretical and practical aspects. Mathematics and Applications 27, Springer-Verlag, Berlin (2003). | MR | Zbl
, , , and ,[5] New bounds for the extreme values of a finite sample of real numbers. J. Math. Anal. Appl. 197 (1996) 411-426. | MR | Zbl
and ,[6] Interior point methods for the monotone semi-definite linear complementarity problem in symmetric matrices. SIAM J. Optim. 7 (1997) 86-125. | MR | Zbl
, , and ,[7] Semi-definite programming. Math. program. Serie B 77 (1997) 105-109. | Zbl
and ,[8] Convex analysis. Princeton University Press, New Jerzey (1970). | MR | Zbl
,[9] Positive definite programming. SIAM Review 38 (1996) 49-95. | Zbl
and , and G.-P.-H. Styan, Bounds for eigenvalues using traces. Linear Algebra Appl. 29 (1980) 471-506. |Cité par Sources :