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Fast ADMM for homogeneous self-dual embeddings of sparse SDPs

Abstract:

We propose an efficient first-order method, based on the alternating direction method of multipliers (ADMM), to solve the homogeneous self-dual embedding problem for a primal-dual pair of semidefinite programs (SDPs) with chordal sparsity. Using a series of block eliminations, the per-iteration cost of our method is the same as applying a splitting method to the primal or dual alone. Moreover, our approach is more efficient than other first-order methods for generic sparse conic programs sinc...

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Publication status:
Not published
Peer review status:
Not peer reviewed

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Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Role:
Author
More by this author
Institution:
University of Oxford
Oxford college:
St Edmund Hall
Role:
Author
Journal:
arXiv
Publication date:
2016-11-06
Source identifiers:
660411
Keywords:
Pubs id:
pubs:660411
UUID:
uuid:0eaaaf66-53f6-4e70-b2da-a516542a66cd
Local pid:
pubs:660411
Deposit date:
2017-02-21

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