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A Primal-Dual Potential Reduction Method for Problems Involving Matrix Inequalities
Interior point algorithms Linear matrix inequaliües Semidefinite programming
2015/7/13
We describe a potential reduction method for convex optimization problems involving matrix inequalities. The method is based on the theory developed by Nesterov and Nemirovsky and generalizes Gonzaga ...
Robust Optimal Control of Linear Discrete-Time Systems Using Primal-Dual Interior-Point Methods
Robust Optimal Control Linear Discrete-Time Systems Primal-Dual Interior-Point Methods
2015/7/10
This paper describes how to efficiently solve a robust optimal control problem using recently developed primal-dual interior-point methods. Among potential applications are model predictive control. T...
A Primal-Dual Operator Splitting Method for Conic Optimization
Primal-Dual Operator Splitting Method Conic Optimization
2015/7/9
We develop a simple operator splitting method for solving a primal conic optimization problem; we show that the iterates also solve the dual problem. The resulting algorithm is very simple to describe...