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作者:

Zhao, Xin-Yuan (Zhao, Xin-Yuan.) (学者:赵欣苑) | Cai, Tao (Cai, Tao.) | Xu, Dachuan (Xu, Dachuan.) (学者:徐大川)

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摘要:

This paper presents a Newton-CG augmented Lagrangian method for solving convex quadratically constrained quadratic semidefinite programming (QCQSDP) problems. Based on the Robinson's CQ, the strong second order sufficient condition, and the constraint nondegeneracy conditions, we analyze the global convergence of the proposed method. For the inner problems, we prove the equivalence between the positive definiteness of the generalized Hessian of the objective functions in those inner problems and the constraint nondegeneracy of the corresponding dual problems, which guarantees the superlinear convergence of the inexact semismooth Newton-CG method to solve the inner problem. Numerical experiments show that the proposed method is very efficient to solve the large-scale convex QCQSDP problems.

关键词:

Semismoothness Iterative solver Augmented Lagrangian Newton-CG method Quadratically constrained quadratic semidefinite programs

作者机构:

  • [ 1 ] [Zhao, Xin-Yuan]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China
  • [ 2 ] [Cai, Tao]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China
  • [ 3 ] [Xu, Dachuan]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China

通讯作者信息:

  • 徐大川

    [Xu, Dachuan]Beijing Univ Technol, Dept Appl Math, 100 Pingleyuan, Beijing 100124, Peoples R China

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来源 :

ADVANCES IN GLOBAL OPTIMIZATION

ISSN: 2194-1009

年份: 2015

卷: 95

页码: 337-345

语种: 英文

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