An iterative method for nonlinear semidefinite programming with the distance information to a cone boundary

2014 Fiscal Year Final Research Report

• Project/Area Number: 24710161
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Social systems engineering/Safety system
• 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)
• Project Period (FY): 2012-04-01 – 2015-03-31
• 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.

Free Research Field

応用数学