On the Convergence of the Entropy-Exponential Penalty Trajectories and Generalized Proximal Point Methods in Semidefinite Optimization

The convergence of primal and dual central paths associated to entropy and exponential functions, respectively, for semidefinite programming problem are studied in this paper. As an application, the proximal point method with the Kullback-Leibler distance applied to semidefinite programming problems is considered, and the convergence of primal and dual sequences is proved.

Citation

Journal of Global Optimization, 45, 211-227, 2009