Results 1 
4 of
4
CSDP, a C library for semidefinite programming.
, 1997
"... this paper is organized as follows. First, we discuss the formulation of the semidefinite programming problem used by CSDP. We then describe the predictor corrector algorithm used by CSDP to solve the SDP. We discuss the storage requirements of the algorithm as well as its computational complexity. ..."
Abstract

Cited by 144 (1 self)
 Add to MetaCart
this paper is organized as follows. First, we discuss the formulation of the semidefinite programming problem used by CSDP. We then describe the predictor corrector algorithm used by CSDP to solve the SDP. We discuss the storage requirements of the algorithm as well as its computational complexity. Finally, we present results from the solution of a number of test problems. 2 The SDP Problem We consider semidefinite programming problems of the form max tr (CX)
Moment Problems and Semidefinite Optimization
 WORKING PAPER, SLOAN SCHOOL OF MANAGEMENT, MIT
, 2000
"... Problems involving moments of random variables arise naturally in many areas of mathematics, economics, and operations research. How dowe obtain optimal bounds on the probability that a random variable belongs in a set, given some of its moments? How dowe price financial derivatives without assuming ..."
Abstract

Cited by 11 (0 self)
 Add to MetaCart
Problems involving moments of random variables arise naturally in many areas of mathematics, economics, and operations research. How dowe obtain optimal bounds on the probability that a random variable belongs in a set, given some of its moments? How dowe price financial derivatives without assuming any model for the underlying price dynamics, given only moments of the price of the underlying asset? How do we obtain stronger relaxations for stochastic optimization problems exploiting the knowledge that the decision variables are moments of random variables? Can we generate near optimal solutions for a discrete optimization problem from a semidefinite relaxation by interpreting an optimal solution of the relaxation as a covariance matrix? In this paper, we demonstrate that convex, and in particular semidefinite, optimization methods lead to interesting and often unexpected answers to these questions.
Control applications of nonlinear convex programming
 the 1997 IFAC Conference on Advanced Process Control
, 1998
"... Since 1984 there has been a concentrated e ort to develop e cient interiorpoint methods for linear programming (LP). In the last few years researchers have begun to appreciate a very important property of these interiorpoint methods (beyond their e ciency for LP): they extend gracefully to nonline ..."
Abstract

Cited by 6 (3 self)
 Add to MetaCart
Since 1984 there has been a concentrated e ort to develop e cient interiorpoint methods for linear programming (LP). In the last few years researchers have begun to appreciate a very important property of these interiorpoint methods (beyond their e ciency for LP): they extend gracefully to nonlinear convex optimization problems. New interiorpoint algorithms for problem classes such as semide nite programming (SDP) or secondorder cone programming (SOCP) are now approaching the extreme e ciency of modern linear programming codes. In this paper we discuss three examples of areas of control where our ability to e ciently solve nonlinear convex optimization problems opens up new applications. In the rst example we show how SOCP can be used to solve robust openloop optimal control problems. In the second example, we show how SOCP can be used to simultaneously design the setpoint and feedback gains for a controller, and compare this method with the more standard approach. Our nal application concerns analysis and synthesis via linear matrix inequalities and SDP. Submitted to a special issue of Journal of Process Control, edited by Y. Arkun & S. Shah, for papers presented at the 1997 IFAC Conference onAdvanced Process Control, June 1997, Ban. This and related papers available via anonymous FTP at
Parallel Implementation of Successive Convex Relaxation Methods for . . .
 J. OF GLOBAL OPTIMIZATION
, 2002
"... As computing resources continue to improve, global solutions for larger size quadraticallyconstrained optimization problems become more achievable. In this paper, we focus on larger size problems and get accurate bounds for optimal values of such problems with the successive use of SDP relaxations ..."
Abstract

Cited by 2 (2 self)
 Add to MetaCart
As computing resources continue to improve, global solutions for larger size quadraticallyconstrained optimization problems become more achievable. In this paper, we focus on larger size problems and get accurate bounds for optimal values of such problems with the successive use of SDP relaxations on a parallel computing system called Ninf (Network based Information Library for high performance computing).