Please use this identifier to cite or link to this item:
|Title:||A note on the calculation of step-lengths in interior-point methods for semidefinite programming|
|Keywords:||Interior point methods|
|Citation:||Toh, K.-C. (2002-03). A note on the calculation of step-lengths in interior-point methods for semidefinite programming. Computational Optimization and Applications 21 (3) : 301-310. ScholarBank@NUS Repository. https://doi.org/10.1023/A:1013777203597|
|Abstract:||In each iteration of an interior-point method for semidefinite programming, the maximum step-length that can be taken by the iterate while maintaining the positive semidefiniteness constraint needs to be estimated. In this note, we show how the maximum step-length can be estimated via the Lanczos iteration, a standard iterative method for estimating the extremal eigenvalues of a matrix. We also give a posteriori error bounds for the estimate. Numerical results on the performance of the proposed method against two commonly used methods for calculating step-lengths (backtracking via Cholesky factorizations and exact eigenvalues computations) are included.|
|Source Title:||Computational Optimization and Applications|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Jan 12, 2019
WEB OF SCIENCETM
checked on Jan 2, 2019
checked on Jan 18, 2019
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.