Volume 49, Number 3, July-September 2015
|Page(s)||555 - 568|
|Published online||06 February 2015|
A relaxed logarithmic barrier method for semidefinite programming
Laboratory of Fundamental and Numerical Mathematics, Setif-1 University, 19000 Setif, Algeria.
Received: 21 January 2014
Accepted: 22 October 2014
Interior point methods applied to optimization problems have known a remarkable evolution in the last decades. They are used with success in linear, quadratic and semidefinite programming. Among these methods, primal-dual central trajectory methods have a polynomial convergence and are credited of a good numerical behavior. In this paper, we propose a new central trajectory method where a relaxation parameter is introduced in order to give more flexibility to the theoretical and numerical aspects of the perturbed problems and accelerate the convergence of the algorithm. This claim is confirmed by numerical tests showing the good behavior of the algorithm which is proposed in this paper.
Mathematics Subject Classification: 90C22 / 90C51
Key words: Linear programming / semidefinite programming / central trajectory Methods
© EDP Sciences, ROADEF, SMAI, 2015
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