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PENSDP

swMATH ID: 5119
Software Authors: Kočvara, Michal; Stingl, Michael
Description: On the solution of large-scale SDP problems by the modified barrier method using iterative solvers The limiting factors of second-order methods for large-scale semidefinite optimization are the storage and factorization of the Newton matrix. For a particular algorithm based on the modified barrier method, we propose to use iterative solvers instead of the routinely used direct factorization techniques. The preconditioned conjugate gradient method proves to be a viable alternative for problems with a large number of variables and modest size of the constrained matrix. We further propose to avoid explicit calculation of the Newton matrix either by an implicit scheme in the matrix-vector product or using a finite-difference formula. This leads to huge savings in memory requirements and, for certain problems, to further speed-up of the algorithm.
Homepage: http://www.penopt.com/pensdp.html
Related Software: PENNON; SDPLR; Benchmarks for Optimization Software; COL; SDPT3; SDPA; SDPLIB; top88.m; top.m; SeDuMi; SBmethod; QSDP; CSDP; DIMACS; ARPACK; ADMiRA; Optspace; COSMO; OSQP; ALGENCAN
Referenced in: 24 Publications

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