Full Nesterov–Todd step infeasible interior-point method for symmetric optimization

• DOI: 10.1016/j.ejor.2011.02.022
• Publication Date: 2011-02-26T12:16:43Z
• Authors: G. Gu; M. Zangiabadi; C. Roos
• Keywords: Interior point method; Second-order cone programming; Semidefinite Programming

Abstract Euclidean Jordan algebras were proved more than a decade ago to be an indispensable tool in the unified study of interior-point methods. By using it, we generalize the full-Newton step infeasible interior-point method for linear optimization of Roos [Roos, C., 2006. A full-Newton step O(n) infeasible interior-point algorithm for linear optimization. SIAM Journal on Optimization. 16 (4), 1110–1136 (electronic)] to symmetric optimization. This unifies the analysis for linear, second-order cone and semidefinite optimizations.