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G-2012-12

A Primal-Dual Regularized Interior-Point Method for Semidefinite Programming

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Interior-point methods in semi-definite programming (SDP) require the solution of a sequence of linear systems which are used to derive the search directions. Safeguards are typically required in order to handle rank-deficient Jacobians and free variables. We propose a primal-dual regularization to the original SDP and show that it is possible to recover an optimal solution of the original SDP via inaccurate solves of a sequence of regularized SDPs for both the NT and dual HKM directions. This work is a generalization of recent work by Friedlander and Orban for quadratic programming.

, 29 pages

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Optimization Methods and Software, 32(1), 193–219, 2017 BibTeX reference

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G1212.pdf (600 KB)