SDPT3 - a MATLAB software package for semidefinite programming

K. C. Toh , M. J. Todd , and R. H. Tütüncü

Abstract:

This software package is a MATLAB implementation of infeasible path-following algorithms for solving standard semidefinite programs (SDP). Mehrotra-type predictor-corrector variants are included. Analogous algorithms for the homogeneous formulation of the standard SDP are also implemented. Four types of search directions are available, namely, the AHO, HKM, NT and GT directions. A few classes of SDP problems are also included. Numerical results for these classes show that our algorithms are fairly efficient and robust on problems with dimensions of the order of a hundred.

• Introduction
• Infeasible-interior-point algorithms
  • The search direction
  • Computation of specific search directions
  • The primal-dual path-following algorithm
  • The Mehrotra-type predictor-corrector algorithm
• Homogeneous and self-dual algorithms
  • The search direction
  • Primal and dual step-lengths
  • The homogeneous path-following algorithm
  • The homogeneous predictor-corrector algorithm
• Initial iterates
• The main routine
• Example files
• Sample Runs
• Numerical results
• References