A New Class of Large Neighborhood Path-Following Interior Point Algorithms for Semidefinite Optimization with $O(\sqrt{n}\log\frac{\mathrm{Tr}(X^0S^0)}{\epsilon})$ Iteration Complexity

• Authors: Yang Li;Tamás Terlaky
• Venue: SIAM Journal on Optimization
• Year: 2010

In this paper, we extend the Ai-Zhang direction to the class of semidefinite optimization problems. We define a new wide neighborhood $\mathcal{N}(\tau_1,\tau_2,\eta)$, and, as usual but with a small change, we make use of the scaled Newton equations for symmetric search directions. After defining the “positive part” and the “negative part” of a symmetric matrix, we recommend solving the Newton equation with its right-hand side replaced first by its positive part and then by its negative part, respectively. In such a way, we obtain a decomposition of the classical Newton direction and use different step lengths for each of them. Starting with a feasible point $(X^0,y^0,S^0)$ in $\mathcal{N}(\tau_1,\tau_2,\eta)$, the algorithm terminates in at most $O(\eta\sqrt{\kappa_{\infty}n}\log({Tr}(X^0S^0)/\epsilon))$ iterations, where $\kappa_{\infty}$ is a parameter associated with the scaling matrix $P$ and $\epsilon$ is the required precision. To our best knowledge, when the parameter $\eta$ is a constant, this is the first large neighborhood path-following interior point method (IPM) with the same complexity as small neighborhood path-following IPMs for semidefinite optimization that use the Nesterov-Todd direction. In the case where $\eta$ is chosen to be in the order of $\sqrt{n}$, our result coincides with the results for classical large neighborhood IPMs. Some preliminary numerical results also confirm the efficiency of the algorithm.