Optimization and Systems Theory Seminar
May 21, at 13.00, room 3721, Lindstedtsvägen 25, KTH:
Division of Automatic Control,
Department of Eletrical Engineering,
Logarithmic barriers for sparse matrix cones
In this talk, we present algorithms for evaluating gradients and Hessians
of logarithmic barrier functions for two types of convex cones: the cone
of positive semidefinite matrices with a given sparsity pattern, and its
dual cone, the cone of sparse matrices with the same pattern that have a
positive semidefinite completion. The algorithms are based on the
multifrontal method for sparse Cholesky factorization. We also discuss
some applications, including interior-point methods for nonsymmetric conic
formulations of sparse semidefinite programs, sparse covariance selection,
and sparse quasi-Newton updates.
Calendar of seminars
Last update: May 11, 2012.