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Solving semidefinite-quadratic-linear programs using SDPT3

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Abstract.

 This paper discusses computational experiments with linear optimization problems involving semidefinite, quadratic, and linear cone constraints (SQLPs). Many test problems of this type are solved using a new release of SDPT3, a Matlab implementation of infeasible primal-dual path-following algorithms. The software developed by the authors uses Mehrotra-type predictor-corrector variants of interior-point methods and two types of search directions: the HKM and NT directions. A discussion of implementation details is provided and computational results on problems from the SDPLIB and DIMACS Challenge collections are reported.

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Authors and Affiliations

  1. Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213, USA. e-mail: reha@andrew.cmu.edu. Research supported in part by NSF through grant CCR-9875559., , , , , , US

    R. H. Tütüncü

  2. Department of Mathematics, National University of Singapore, 10 Kent Ridge Crescent, Singapore 119260. e-mail: mattohkc@math.nus.edu.sg. Research supported in part by the Singapore-MIT Alliance., , , , , , SG

    K. C. Toh

  3. School of Operations Research and Industrial Engineering, Cornell University, Ithaca, New York 14853, USA. e-mail: miketodd@cs.cornell.edu. Research supported in part by NSF through grant DMS-9805602 and ONR through grant N00014-96-1-0050., , , , , , US

    M. J. Todd

Authors
  1. R. H. Tütüncü
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  2. K. C. Toh
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  3. M. J. Todd
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Received: March 19, 2001 / Accepted: January 18, 2002 Published online: October 9, 2002

Mathematics Subject Classification (2000): 90C05, 90C22

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Tütüncü, R., Toh, K. & Todd, M. Solving semidefinite-quadratic-linear programs using SDPT3. Math. Program., Ser. B 95, 189–217 (2003). https://doi.org/10.1007/s10107-002-0347-5

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  • DOI: https://doi.org/10.1007/s10107-002-0347-5

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