, Volume 2, Issue 3-4, pp 167-201,
Open Access This content is freely available online to anyone, anywhere at any time.

Implementation of nonsymmetric interior-point methods for linear optimization over sparse matrix cones

Abstract

We describe an implementation of nonsymmetric interior-point methods for linear cone programs defined by two types of matrix cones: the cone of positive semidefinite matrices with a given chordal sparsity pattern and its dual cone, the cone of chordal sparse matrices that have a positive semidefinite completion. The implementation takes advantage of fast recursive algorithms for evaluating the function values and derivatives of the logarithmic barrier functions for these cones. We present experimental results of two implementations, one of which is based on an augmented system approach, and a comparison with publicly available interior-point solvers for semidefinite programming.

The authors’ (Andersen and Vandenberghe) research was supported in part by NSF grants ECS-0524663 and ECCS-0824003.