Let be the operator
Then the adjoint of with respect to the standard inner products
in
and
is the operator
Our homogeneous and self-dual linear feasibility model for SDP is based on those appearing in [11] for linear programming (LP). It has the following form:
where are positive semidefinite. A solution to this system
with
positive either gives optimal solutions to the SDP and
its dual or gives a certificate of primal or dual infeasibility.
At each iteration of our algorithms, we apply Newton's method to a perturbation of equation (22), namely,
where the right-hand side quantities are considered as fixed.
Here and
are parameters, and
and
are
defined in (26) and (25) below, respectively.
Just as in the case of infeasible path-following methods,
the search direction
at each iteration of our homogeneous algorithms
is computed from a symmetrized Newton equation
derived from the perturbed equation (23):
where
and
,
are defined as in (6)
and (7), respectively, and
We compute the search direction via a Schur complement
equation as follows. First compute from the
equation
where
Then compute ,
, and
from the equations