Implementation of nonsymmetric interior-point methods for linear optimization over sparse matrix cones

Martin Skovgaard Andersen, Joachim Dahl, Lieven Vandenberghe

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

We describe an implementation of nonsymmetric interior-point methods for linear cone programs defined by two types of matrix cones: the cone of positive semidefinite matrices with a given chordal sparsity pattern and its dual cone, the cone of chordal sparse matrices that have a positive semidefinite completion. The implementation takes advantage of fast recursive algorithms for evaluating the function values and derivatives of the logarithmic barrier functions for these cones. We present experimental results of two implementations, one of which is based on an augmented system approach, and a comparison with publicly available interior-point solvers for semidefinite programming.
Original languageEnglish
JournalMathematical Programming Computation
Volume2
Issue number3-4
Pages (from-to)167-201
ISSN1867-2949
DOIs
Publication statusPublished - 2010
Externally publishedYes

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