Polynomial Primal-Dual Cone Affine Scaling for Semidefinite Programming

Arjan B. Berkelaar, Jos F. Sturm and Shuzhong Zhang
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Arjan B. Berkelaar: Erasmus University Rotterdam
Jos F. Sturm: Erasmus University Rotterdam
Shuzhong Zhang: Erasmus University Rotterdam

No 97-025/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In this paper we generalize the primal--dual cone affine scaling algorithm of Sturm and Zhang to semidefinite programming.We show in this paper that the underlying ideas of the cone affine scaling algorithm can be naturely applied to semidefiniteprogramming, resulting in a new algorithm. Compared to other primal--dual affine scaling algorithms for semidefiniteprogramming (see, De Klerk, Roos and Terlaky), our algorithm enjoys the lowest computationalcomplexity.

Keywords: Semidefinite Programming; Affine Scaling; Primal-Dual Interior Point Methods (search for similar items in EconPapers)
Date: 1997-02-15
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