On the solution of large-scale SDP problems by the modified barrier method using iterative solvers

Abstract

The limiting factors of second-order methods for large-scale semidefinite optimization are the storage and factorization of the Newton matrix. For a particular algorithm based on the modified barrier method, we propose to use iterative solvers instead of the routinely used direct factorization techniques. The preconditioned conjugate gradient method proves to be a viable alternative for problems with a large number of variables and modest size of the constrained matrix. We further propose to avoid explicit calculation of the Newton matrix either by an implicit scheme in the matrix---vector product or using a finite-difference formula. This leads to huge savings in memory requirements and, for certain problems, to further speed-up of the algorithm.