Nonlinear Optimization With Linear Matrix Inequalities Constraints

Diana Sima

Abstract

This paper describes a methhod for solving a special type of optimization problem, constrained by a linear matrix inequality condition. Specific optimality conditions are derived and how to use them in an iterative algorithm is emphasized. The discussed approach is a primal-dual interior-point path-following method. Some numerical test are presented in the conclusion.

Keywords

linear matrix iuequality, primal-dual interior-point methods, semidefinite programming

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