Primal–dual interior point methods and the HKM method in particular have been implemented in a number of software packages for semidefinite programming. These methods have performed well in practice on small to medium sized SDP’s. However, primal–dual codes have had some trouble in solving larger problems because of the method’s storage requirements. In this paper we analyze the storage requirements of the HKM method and describe a 64-bit parallel implementation of the method that has been used to solve some large scale problems that have not previously been solved by primal–dual methods.
Citation
New Mexico Tech, February 28, 2005. A revised version of this paper has been accepted for publication in "Computational Optimization and Applications"