log-determinant semidefinite programming

Dual Spectral Projected Gradient Method for Generalized Log-det Semidefinite Programming

  • Charles Namchaisiri
  • Makoto Yamashita
    • Categories Convex Optimization, Linear, Cone and Semidefinite Programming, Semi-definite Programming Tags , ,

    Log-det semidefinite programming (SDP) problems are optimization problems that often arise from Gaussian graphic models. A log-det SDP problem with an l1-norm term has been examined in many methods, and the dual spectral projected gradient (DSPG) method by Nakagaki et al.~in 2020 is designed to efficiently solve the dual problem of the log-det SDP by … Read more

    An inexact interior point method for L1-regularized sparse covariance selection

  • Lu Li
  • Kim-Chuan Toh
    • Categories Convex Optimization, Semi-definite Programming, Statistics Tags , , , ,

    Sparse covariance selection problems can be formulated as log-determinant (log-det) semidefinite programming (SDP) problems with large numbers of linear constraints. Standard primal-dual interior-point methods that are based on solving the Schur complement equation would encounter severe computational bottlenecks if they are applied to solve these SDPs. In this paper, we consider a customized inexact primal-dual … Read more