Linear matrix inequalities with chordal sparsity patterns and applications to robust quadratic optimization

Martin Skovgaard Andersen, Lieven Vandenberghe, Joachim Dahl

Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearch

Abstract

We discuss nonsymmetric interior-point methods for linear cone programs with chordal sparse matrix cone constraints. The algorithms take advantage of fast recursive algorithms for evaluating the function values and derivatives for the logarithmic barrier functions of the cone of positive semidefinite matrices with a given chordal sparsity pattern, and of the corresponding dual cone. We provide numerical results that show that our implementation can be significantly faster than general purpose semidefinite programming solvers. As a specific application, we discuss robust quadratic optimization.
Original languageEnglish
Title of host publication2010 IEEE International Symposium on Computer-Aided Control System Design (CACSD)
PublisherIEEE
Publication date2010
Pages7-12
ISBN (Print)978-1-4244-5354-2
DOIs
Publication statusPublished - 2010
Externally publishedYes
EventIEEE International Symposium on Computer-Aided Control System Design - Yokohama, Angola
Duration: 8 Sep 201010 Sep 2010

Conference

ConferenceIEEE International Symposium on Computer-Aided Control System Design
CountryAngola
CityYokohama
Period08/09/201010/09/2010

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