PENSDP
swMATH ID:  5119 
Software Authors:  Kočvara, Michal; Stingl, Michael 
Description:  On the solution of largescale SDP problems by the modified barrier method using iterative solvers The limiting factors of secondorder methods for largescale 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 matrixvector product or using a finitedifference formula. This leads to huge savings in memory requirements and, for certain problems, to further speedup 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 
Standard Articles
1 Publication describing the Software, including 1 Publication in zbMATH  Year 

On the solution of largescale SDP problems by the modified barrier method using iterative solvers. Zbl 1177.90312 Kočvara, Michal; Stingl, Michael 
2007

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Referenced by 36 Authors
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Referenced in 13 Serials
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