In the context of augmented Lagrangian approaches for solving semidefinite programming problems, we investigate the possibility of eliminating the positive semidefinite constraint on the dual matrix by employing a factorization. Hints on how to deal with the resulting unconstrained maximization of the augmented Lagrangian are given. We further use the approximate maximum of the augmented Lagrangian with the aim of improving the convergence rate of alternating direction augmented Lagrangian frameworks. Numerical results are reported, showing the benefits of the approach.

Using a factored dual in augmented Lagrangian methods for semidefinite programming / De Santis, Marianna; Rendl, Franz; Wiegele, Angelika. - In: OPERATIONS RESEARCH LETTERS. - ISSN 0167-6377. - 46:5(2018), pp. 523-528. [10.1016/j.orl.2018.08.003]

Using a factored dual in augmented Lagrangian methods for semidefinite programming

De Santis, Marianna
;
2018

Abstract

In the context of augmented Lagrangian approaches for solving semidefinite programming problems, we investigate the possibility of eliminating the positive semidefinite constraint on the dual matrix by employing a factorization. Hints on how to deal with the resulting unconstrained maximization of the augmented Lagrangian are given. We further use the approximate maximum of the augmented Lagrangian with the aim of improving the convergence rate of alternating direction augmented Lagrangian frameworks. Numerical results are reported, showing the benefits of the approach.
2018
Alternating direction augmented Lagrangian method; Semidefinite programming; Theta function; Software; Management Science and Operations Research; Industrial and Manufacturing Engineering; Applied Mathematics
01 Pubblicazione su rivista::01a Articolo in rivista
Using a factored dual in augmented Lagrangian methods for semidefinite programming / De Santis, Marianna; Rendl, Franz; Wiegele, Angelika. - In: OPERATIONS RESEARCH LETTERS. - ISSN 0167-6377. - 46:5(2018), pp. 523-528. [10.1016/j.orl.2018.08.003]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1179561
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