2014 Fiscal Year Final Research Report
An iterative method for nonlinear semidefinite programming with the distance information to a cone boundary
Project/Area Number |
24710161
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Research Category |
Grant-in-Aid for Young Scientists (B)
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Allocation Type | Multi-year Fund |
Research Field |
Social systems engineering/Safety system
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Research Institution | Tokyo Institute of Technology |
Principal Investigator |
YAMASHITA Makoto 東京工業大学, 情報理工学(系)研究科, 准教授 (20386824)
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Project Period (FY) |
2012-04-01 – 2015-03-31
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Keywords | 数理最適化 / 非線形最適化 / 半正定値計画問題 / 数値計算 |
Outline of Final Research Achievements |
Nonlinear semidefinite programs are optimization problems with a constraint on the eigenvalues of a variable matrix, and the range of applications includes optimization with uncertainty and financial engineering. We propose an iterative method for box-constrained nonlinear semidefinite programs using the distance information from the current point to the boundary of a positive semidefinite cone. We verified through numerical tests that the proposed method is more effective for box-constrained problems that have strongly nonlinear functions than a feasible direction method.
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Free Research Field |
応用数学
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