On Hazan’s Algorithm for Symmetric Programming Problems

Leonid Faybusovich ()
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Leonid Faybusovich: University of Notre Dame

Journal of Optimization Theory and Applications, 2015, vol. 164, issue 3, No 10, 915-932

Abstract: Abstract We describe the generalization of Hazan’s algorithm for symmetric programming problems. It is shown that the crucial low-rank approximation property to an optimal solution is preserved in this setting. Moreover, this setting is natural for preserving this property. It is explicitly shown how to use the decomposition of a symmetric cone into a direct sum of its irreducible components to reduce the computational complexity of the algorithm.

Keywords: Symmetric programming; Euclidean Jordan algebras; Low-rank approximations to optimal solutions; 90C25; 17C20 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10957-014-0577-8

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