Document Zbl 1411.90213

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Program. Comput.</a> <a href="/?q=in%3A432315" title="Articles in this Issue">10, No. 4, 703-743 (2018)</a>. </div> <div class="abstract">Summary: In this paper, we present a two-phase augmented Lagrangian method, called QSDPNAL, for solving convex quadratic semidefinite programming (QSDP) problems with constraints consisting of a large number of linear equality and inequality constraints, a simple convex polyhedral set constraint, and a positive semidefinite cone constraint. A first order algorithm which relies on the inexact Schur complement based decomposition technique is developed in QSDPNAL-Phase I with the aim of solving a QSDP problem to moderate accuracy or using it to generate a reasonably good initial point for the second phase. In QSDPNAL-Phase II, we design an augmented Lagrangian method (ALM) wherein the inner subproblem in each iteration is solved via inexact semismooth Newton based algorithms. Simple and implementable stopping criteria are designed for the ALM. Moreover, under mild conditions, we are able to establish the rate of convergence of the proposed algorithm and prove the R-(super)linear convergence of the KKT residual. In the implementation of QSDPNAL, we also develop efficient techniques for solving large scale linear systems of equations under certain subspace constraints. More specifically, simpler and yet better conditioned linear systems are carefully designed to replace the original linear systems and novel shadow sequences are constructed to alleviate the numerical difficulties brought about by the crucial subspace constraints. Extensive numerical results for various large scale QSDPs show that our two-phase algorithm is highly efficient and robust in obtaining accurate solutions. The software reviewed as part of this submission was given the DOI (Digital Object Identifier) <a href="https://doi.org/10.5281/zenodo.1206980">doi:10.5281/zenodo.1206980</a>.</div> <div class="clear"></div> <br> <div class="citations"><div class="clear"><a href="/?q=rf%3A7050493">Cited in <strong>33</strong> Documents</a></div></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A90C06" title="MSC2020">90C06</a> </td> <td class="space"> Large-scale problems in mathematical programming </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A90C20" title="MSC2020">90C20</a> </td> <td class="space"> Quadratic programming </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A90C22" title="MSC2020">90C22</a> </td> <td class="space"> Semidefinite programming </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A90C25" title="MSC2020">90C25</a> </td> <td class="space"> Convex programming </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A65F10" title="MSC2020">65F10</a> </td> <td class="space"> Iterative numerical methods for linear systems </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Aquadratic+semidefinite+programming">quadratic semidefinite programming</a>; <a href="/?q=ut%3ASchur+complement">Schur complement</a>; <a href="/?q=ut%3Aaugmented+Lagrangian">augmented Lagrangian</a>; <a href="/?q=ut%3Ainexact+semismooth+Newton+method">inexact semismooth Newton method</a></div> <div class="software"> <h3>Software:</h3><a href="/software/4726">QSDP</a>; <a href="/software/751">QAPLIB</a>; <a href="/software/18799">QSDPNAL</a>; <a href="/software/5127">SNLSDP</a>; <a href="/software/13239">SDPNAL+</a></div>  <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;">  </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function">  <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1411.90213" data-ciurl="/ci/07050493" data-biburl="/bibtex/07050493.bib" data-amsurl="/amsrefs/07050493.bib" data-xmlurl="/xml/07050493.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/07050493.pdf" title="Zbl 1411.90213 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1007/s12532-018-0137-6" aria-label="DOI for “QSDPNAL: a two-phase augmented Lagrangian method for convex quadratic semidefinite programming”" title="10.1007/s12532-018-0137-6">DOI</a> <a class="btn btn-default btn-xs" type="button" href="https://arxiv.org/abs/1512.08872"title="Note: arXiv document may differ from published version">arXiv</a> <a class="btn btn-default btn-xs" type="button" href="http://hdl.handle.net/10397/98599" title="Full Text Link">Link</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Alfakih, A.Y., Khandani, A., Wolkowicz, H.: Solving Euclidean distance matrix completion problems via semidefinite programming. 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