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https://doi.org/10.1016/j.ejor.2010.07.020
Title: | A modified alternating direction method for convex quadratically constrained quadratic semidefinite programs | Authors: | Sun, J. Zhang, S. |
Keywords: | Alternating direction method Conic programming Quadratic semidefinite optimization |
Issue Date: | 2010 | Citation: | Sun, J., Zhang, S. (2010). A modified alternating direction method for convex quadratically constrained quadratic semidefinite programs. European Journal of Operational Research 207 (3) : 1210-1220. ScholarBank@NUS Repository. https://doi.org/10.1016/j.ejor.2010.07.020 | Abstract: | We propose a modified alternating direction method for solving convex quadratically constrained quadratic semidefinite optimization problems. The method is a first-order method, therefore requires much less computational effort per iteration than the second-order approaches such as the interior point methods or the smoothing Newton methods. In fact, only a single inexact metric projection onto the positive semidefinite cone is required at each iteration. We prove global convergence and provide numerical evidence to show the effectiveness of this method. © 2010 Elsevier B.V. All rights reserved. | Source Title: | European Journal of Operational Research | URI: | http://scholarbank.nus.edu.sg/handle/10635/44063 | ISSN: | 03772217 | DOI: | 10.1016/j.ejor.2010.07.020 |
Appears in Collections: | Staff Publications |
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