Mathematical Programming

, Volume 126, Issue 1, pp 1–29

Primal-dual first-order methods with \({\mathcal {O}(1/\epsilon)}\) iteration-complexity for cone programming

Authors

    • School of Industrial and Systems EngineeringGeorgia Institute of Technology
  • Zhaosong Lu
    • Department of MathematicsSimon Fraser University
  • Renato D. C. Monteiro
    • School of ISyEGeorgia Institute of Technology
FULL LENGTH PAPER Series A

DOI: 10.1007/s10107-008-0261-6

Cite this article as:
Lan, G., Lu, Z. & Monteiro, R.D.C. Math. Program. (2011) 126: 1. doi:10.1007/s10107-008-0261-6

Abstract

In this paper we consider the general cone programming problem, and propose primal-dual convex (smooth and/or nonsmooth) minimization reformulations for it. We then discuss first-order methods suitable for solving these reformulations, namely, Nesterov’s optimal method (Nesterov in Doklady AN SSSR 269:543–547, 1983; Math Program 103:127–152, 2005), Nesterov’s smooth approximation scheme (Nesterov in Math Program 103:127–152, 2005), and Nemirovski’s prox-method (Nemirovski in SIAM J Opt 15:229–251, 2005), and propose a variant of Nesterov’s optimal method which has outperformed the latter one in our computational experiments. We also derive iteration-complexity bounds for these first-order methods applied to the proposed primal-dual reformulations of the cone programming problem. The performance of these methods is then compared using a set of randomly generated linear programming and semidefinite programming instances. We also compare the approach based on the variant of Nesterov’s optimal method with the low-rank method proposed by Burer and Monteiro (Math Program Ser B 95:329–357, 2003; Math Program 103:427–444, 2005) for solving a set of randomly generated SDP instances.

Keywords

Cone programmingPrimal-dual first-order methodsSmooth optimal methodNonsmooth methodProx-methodLinear programmingSemidefinite programming

Mathematics Subject Classification (2000)

65K0565K1090C0590C2290C25

Copyright information

© Springer-Verlag 2009