Semi-definite Programming

Convex optimization problems involving finite autocorrelation sequences

  • Brien Alkire
  • Lieven Vandenberghe
    • Categories Applications - Science and Engineering, Convex Optimization, Semi-definite Programming Tags , , , ,

    We discuss convex optimization problems where some of the variables are constrained to be finite autocorrelation sequences. Problems of this form arise in signal processing and communications, and we describe applications in filter design and system identification. Autocorrelation constraints in optimization problems are often approximated by sampling the corresponding power spectral density, which results in … Read more

    A scaled Gauss-Newton Primal–Dual Search Direction for Semidefinite Optimization

  • Etienne de Klerk
  • Cornelis Roos
  • J Peng
  • Tamás Terlaky
    • Categories Linear, Cone and Semidefinite Programming, Semi-definite Programming Tags , ,

    Interior point methods for semidefinite optimization (SDO) have recently been studied intensively, due to their polynomial complexity and practical efficiency. Most of these methods are extensions of linear optimization (LO) algorithms. Unlike in the LO case, there are several different ways of constructing primal-dual search directions in SDO. The usual scheme is to apply linearization … Read more