MPC

Mathematical Programming Computation, Volume 2, Issue 3-4, December 2010

Implementation of nonsymmetric interior-point methods for linear optimization over sparse matrix cones

Martin S. Andersen, Joachim Dahl, Lieven Vandenberghe

We describe an implementation of nonsymmetric interior-point methods for linear cone programs defined by two types of matrix cones: the cone of positive semidefinite matrices with a given chordal sparsity pattern and its dual cone, the cone of chordal sparse matrices that have a positive semidefinite completion. The implementation takes advantage of fast recursive algorithms for evaluating the function values and derivatives of the logarithmic barrier functions for these cones.We present experimental results of two implementations, one of which is based on an augmented system approach, and a comparison with publicly available interior-point solvers for semidefinite programming.

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