Solving Large-Scale Least Squares Semidefinite Programming by Alternating Direction Methods

Authors:
Bingsheng He;Minghua Xu;Xiaoming Yuan
Affiliations:
hebma@nju.edu.cn;xuminghua@cczu.edu.cn;xmyuan@hkbu.edu.hk
Venue:
SIAM Journal on Matrix Analysis and Applications
Year:
2011

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Abstract

The well-known least squares semidefinite programming (LSSDP) problem seeks the nearest adjustment of a given symmetric matrix in the intersection of the cone of positive semidefinite matrices and a set of linear constraints, and it captures many applications in diversing fields. The task of solving large-scale LSSDP with many linear constraints, however, is numerically challenging. This paper mainly shows the applicability of the classical alternating direction method (ADM) for solving LSSDP and convinces the efficiency of the ADM approach. We compare the ADM approach with some other existing approaches numerically, and we show the superiority of ADM for solving large-scale LSSDP.