A trust-region method for box-constrained nonlinear semidefinite programs
نویسندگان
چکیده
We propose a trust-region method for nonlinear semidefinite programs with box-constraints. The penalty barrier method can handle this problem, but the size of variable matrices available in practical time is restricted to be less than 500. We develop a trust-region method based on the approach of Coleman and Li (1996) that utilizes the distance to the boundary of the box-constraints into consideration. To extend this method to the space of positive semidefinite matrices, we device a new search direction by incorporating the eigenvectors of the variable matrix into the distance to the boundary. In this paper, we establish a global convergence of the proposed method, and preliminary numerical experiments show that our method solves the problems with the size being larger than 5000, and it is faster than the feasible direction for functions with nonlinearity higher than quadratic.
منابع مشابه
Non Linear Spectral SDP Method for BMI-Constrained Problems: Applications to Control Design
The purpose of this paper is to examine a nonlinear spectral semidefinite programming method to solve problems with bilinear matrix inequality (BMI) constraints. Such optimization programs arise frequently in automatic control and are difficult to solve due to the inherent non-convexity. The method we discuss here is of augmented Lagrangian type and uses a succession of unconstrained subproblem...
متن کاملSuccessive Linearization Methods for Nonlinear Semidefinite Programs
We present a successive linearization method with a trust region-type globalization for the solution of nonlinear semidefinite programs. At each iteration, the method solves a quadratic semidefinite program, which can be converted to a linear semidefinite program with a second order cone constraint. A subproblem of this kind can be solved quite efficiently by using some recent software for semi...
متن کاملA globally convergent primal-dual interior-point three-dimensional filter method for nonlinear semidefinite programming
This paper proposes a primal-dual interior-point filter method for nonlinear semidefinite programming, which is the first multidimensional (three-dimensional) filter methods for interior-point methods, and of course for constrained optimization. A freshly new definition of filter entries is proposed, which is greatly different from those in all the current filter methods. A mixed norm is used t...
متن کاملA QQP-Minimization Method for Semidefinite and Smooth Nonconvex Programs
In several applications, semideenite programs with nonlinear equality constraints arise. We give two such examples to emphasize the importance of this class of problems. We then propose a new solution method that also applies to smooth nonconvex programs. The method combines ideas of a predictor corrector interior-point method, of the SQP method, and of trust region methods. In particular, we b...
متن کاملA feasible direction method for the semidefinite program with box constraints
In this paper, we try to solve the semidefinite program with box constraints. Since the traditional projection method for constrained optimization with box constraints is not suitable to the semidefinite constraints, we present a new algorithm based on the feasible directionmethod. In the paper, we discuss two cases: the objective function in semidefinite programming is linear and nonlinear, re...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2014