A modified alternating direction method for convex quadratically constrained quadratic semidefinite programs

Jie Sun and Su Zhang

European Journal of Operational Research, 2010, vol. 207, issue 3, 1210-1220

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.

Keywords: Alternating; direction; method; Conic; programming; Quadratic; semidefinite; optimization (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:207:y:2010:i:3:p:1210-1220

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