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Conference Paper (international conference)
PENNON. A generalized augmented Lagrangian method for semidefinite programming
,
: High Performance Algorithms and Software for Nonlinear Optimization, p. 297-315 , Eds: di Pillo G., Murli A.
: Kluwer, (Dordrecht 2003)
: High Performance Algorithms and Software for Nonlinear Optimization, (Erice, IT, 30.06.2001-08.07.2001)
: CEZ:AV0Z1075907
: GA201/00/0080, GA ČR, 03ZOM3ER, BMBF
: semidefinite programming, cone programming, method of augmented Langrangians
(eng): This article describes a generalization of the PBM method by Ben-Tal and Zibulevsky to convex semidefinite programming problems. The algorithm used is a generalized version of the Augmented Lagrangian method. We present details of this algorithm as implemented in a new code PENNON. The code can also solve second-order conic programming (SOCP) problems, as well as problems with a mixture of SDP, SOCP and NLP constraints. Results of extensive numerical tests are presented.
: 12A
: BA