A new notion of weighted centers for semidefinite programming.
Chua, Chek Beng.
Date of Issue2006
School of Physical and Mathematical Sciences
The notion of weighted centers is essential in V-space interior-point algorithms for linear programming. Although there were some successes in generalizing this notion to semidefinite programming via weighted center equations, we still do not have a generalization that preserves two important properties—(1) each choice of weights uniquely determines a pair of primal-dual weighted centers, and (2) the set of all primal-dual weighted centers completely fills up the relative interior of the primal-dual feasible region. This paper presents a new notion of weighted centers for semidefinite programming that possesses both uniqueness and completeness. Furthermore, it is shown that under strict complementarity, these weighted centers converge to weighted centers of optimal faces. Finally, this convergence result is applied to homogeneous cone programming, where the central paths defined by a certain class of optimal barriers for homogeneous cones are shown to converge to analytic centers of optimal faces in the presence of strictly complementary solutions.
SIAM Journal of Optimization.
Siam Journal of Optimization @ copyright 2006 Society for Industrial and Applied Mathematics. The journal's website is located at http://www.siam.org/journals/siopt.php