A study of search directions in primal-dual interior-point methods for semidefinite programmin

Todd, M. J.

eCommons@Cornell

A study of search directions in primal-dual interior-point methods for semidefinite programming

We discuss several di#erent search directions which can be used in primal-dual interior-point methods for semidefinite programming problems and investigate their theoretical properties, including scale invariance, primal-dual symmetry, and whether they always generate well-defined directions. Among the directions satisfying all but at most two of these desirable properties are the Alizadeh-Haeberly-Overton, HelmbergRendl -Vanderbei-Wolkowicz/Kojima-Shindoh-Hara/Monteiro, Nesterov-Todd, Gu, and Toh directions, as well as directions we will call the MTW and Half directions. The first five of these appear to be the best in our limited computational testing also. Key words: semidefinite programming, search direction, invariance properties. AMS Subject classification: 90C05. Abbreviated title: Search directions in SDP  1 Introduction  This paper is concerned with interior-point methods for semidefinite programming (SDP) problems and in particular the various search directions they use and ..

M. J. Todd

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