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Augmented Lagrangian Method
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Convex Matrix Optimization (MOP) arises in a wide variety of applications. The last three decades have seen dramatic advances in the theory and practice of matrix optimization because of its extremely powerful modeling capability. In particular, semidefinite programming (SP) and its generalizations have been widely used to model problems in applications such as combinatorial and polynomial optimization, covariance matrix estimation, matrix completion and sensor network localization. The first part of the talk will describe the primal-dual interior-point methods (IPMs) implemented in SDPT3 for solving medium scale SP, followed by inexact IPMs (with linear systems solved by iterative solvers) for large scale SDP and discussions on their inherent limitations. The second part will present algorithmic advances for solving large scale SDP based on the proximal-point or augmented Lagrangian framework In particular, we describe the design and implementation of an augmented Lagrangian based method (called SDPNAL+) for solving SDP problems with large number of linear constraints. The last part of the talk will focus on recent advances on using a combination of local search methods and convex lifting to solve low-rank factorization models of SP problems.
Event date: 11/10/2022
Speaker: Prof. Kim-Chuan Toh (National University of Singapore)
Hosted by: Department of Applied Mathematics
- Subjects:
- Mathematics and Statistics
- Keywords:
- Convex programming Semidefinite programming
- Resource Type:
- Video