Exploiting Sparsity in Primal-Dual Interior-Point Methods for Semidefinite Programming

Katsuki Fujisawa, Masakazu Kojima and Kazuhide Nakata

The Helmberg-Rendl-Vanderbei-Wolkowicz/Kojima-Shindoh-Hara/Monteiro and the Nesterov-Todd search directions have been used in many primal-dual interior-point methods for semidefinite programs. This paper proposes an efficient method for computing the two directions when a semidefinite program to be solved is large scale and sparse.

Research Report on Mathematical and Computing Sciences B-324, Tokyo Institute of Technology, January, 1997

Contact: fujisawa@is.titech.ac.jp