A unifying framework for several cutting plane methods for semidefinite programming
Authors:
Kartik Krishnan a;
John E. Mitchell b
| Affiliations: | a Department of Computing & Software, McMaster University, Hamilton, Ontario, Canada |
| b Mathematical Sciences, Rensselaer Polytechnic Institute, Troy, NY, USA |
DOI:
10.1080/10556780500065283
Publication Frequency:
6 issues per year
Subjects:
Algorithms & Complexity;
Computer Mathematics;
Linear & Nonlinear Optimization;
Operations Research;
Optimization;
SPC/Reliability/Quality Control;
Software Engineering & Systems Development;
Stochastic Models & Processes;
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Abstract
Cutting plane methods provide the means to solve large scale semidefinite programs (SDP) cheaply and quickly. They can also conceivably be employed for the purposes of re-optimization after branching or the addition of cutting planes. We give a survey of various cutting plane approaches for SDP in this paper. These cutting plane approaches arise from various perspectives, and include techniques based on interior point cutting plane approaches, non-differentiable optimization, and finally an approach which mimics the simplex method for linear programming (LP).
We present an accessible introduction to various cutting plane approaches that have appeared in the literature. We place these methods in a unifying framework which illustrates how each approach arises as a natural enhancement of a primordial LP cutting plane scheme based on a semi-infinite formulation of the SDP. |
| Keywords: Semidefinite programming; Non-differentiable optimization; Interior point cutting plane methods; Active set approaches |
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