Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/12926
Title: On alternating direction methods for monotropic semidefinite programming
Authors: ZHANG SU
Keywords: monotropic, semidefinite programming, alternating direction method, variational inequality, covariance matrix estimation, matrix completion
Issue Date: 14-Sep-2009
Source: ZHANG SU (2009-09-14). On alternating direction methods for monotropic semidefinite programming. ScholarBank@NUS Repository.
Abstract: This thesis studies a new optimization model called monotropic semidefinite programming. This model extends the monotropic programming model from vectors to matrices on one hand, and the linear semidefinite programming model to the convex case on the other hand.We propose several modified alternating direction methods for solving monotropic semidefinite programming problems. In order to avoid solving difficult sub-variational inequality problems on matrix space at each iteration, we establish a set of projection-based algorithms. We discuss alternating direction methods in different ways to deal with quadratic objective and general nonlinear objective. These methods can be used to solve convex nonlinear semidefinite programming problems. A practical application comes from the covariance matrix estimation problem. Another practical application is the matrix completion problem. Both of them can be modeled as convex matrix optimization problems and certain modified alternating direction methods apply. We also conduct numerical tests for problems arising from these applications.
URI: http://scholarbank.nus.edu.sg/handle/10635/12926
Appears in Collections:Ph.D Theses (Open)

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