1999•Optimization methods & softwareRequires access

A study of search directions in primal-dual interior-point methods for semidefinite programming

Todd M. J.

Abstract

We discuss several different search directions which can be used in primal-dual interior-point methods for semidefinite programming problems and investigate their theoretical properties, including scale invariance, primal-dual symmetry, and whether they always generate well-defined directions. Among the directions satisfying all but at most two of these desirable properties are the Alizadeh-Haeberly-Overton, Helmberg-Rendl-Vanderbei-Wolkowicz/Kojima-Shindoh-HaralMonteiro, Nesterov-Todd, Gu, and Toh directions, as well as directions we will call the MTW and Half directions. The first five of these appear to be the best in our limited computational testing also.

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Key concepts: Interior point method, Semidefinite programming, Semidefinite embedding, Dual (grammatical number), Point (geometry), Mathematical optimization, Computer science, Linear programming