Polynomial Primal-Dual Affine Scaling Algorithms in Semidefinite Programming

E. de Klerk (), C. Roos () and T. Terlaky ()
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E. de Klerk: Delft University of Technology
C. Roos: Delft University of Technology
T. Terlaky: Delft University of Technology

Journal of Combinatorial Optimization, 1998, vol. 2, issue 1, No 4, 69 pages

Abstract: Abstract Two primal-dual affine scaling algorithms for linear programming are extended to semidefinite programming. The algorithms do not require (nearly) centered starting solutions, and can be initiated with any primal-dual feasible solution. The first algorithm is the Dikin-type affine scaling method of Jansen et al. (1993b) and the second the classical affine scaling method of Monteiro et al. (1990). The extension of the former has a worst-case complexity bound of O(τ0nL) iterations, where τ0 is a measure of centrality of the the starting solution, and the latter a bound of O(τ0nL2) iterations.

Keywords: interior-point method; primal-dual method; semidefinite programming; affine scaling; Dikin steps (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1023/A:1009791827917

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