A preconditioned augmented Lagrangian method for solving semidefinite programming problems
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arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2026
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| _version_ | 1866910228106182656 |
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| author | Tang, Tianyun Toh, Kim-Chuan |
| author_facet | Tang, Tianyun Toh, Kim-Chuan |
| contents | In this work, we propose a preconditioned augmented Lagrangian method (ALM) for solving semidefinite programming (SDP) problems. The preconditioner is implemented via a weighted penalty function in the ALM subproblem, with the weight matrix derived from the projection operator onto the tangent space of the feasible region. This simple yet effective modification significantly accelerates ALM, particularly for ill-conditioned SDPs. By combining the preconditioned ALM with our previously developed feasible method SDPF, we develop SDPF+, an SDP solver capable of handling convex problems with possibly nonlinear objective functions. Extensive numerical experiments demonstrate the efficiency and robustness of SDPF+, showing that it can generally outperform other solvers on large-scale SDPs whose optimal solutions exhibit low-rank structure. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_17089 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A preconditioned augmented Lagrangian method for solving semidefinite programming problems Tang, Tianyun Toh, Kim-Chuan Optimization and Control 90C06, 90C22, 90C30 In this work, we propose a preconditioned augmented Lagrangian method (ALM) for solving semidefinite programming (SDP) problems. The preconditioner is implemented via a weighted penalty function in the ALM subproblem, with the weight matrix derived from the projection operator onto the tangent space of the feasible region. This simple yet effective modification significantly accelerates ALM, particularly for ill-conditioned SDPs. By combining the preconditioned ALM with our previously developed feasible method SDPF, we develop SDPF+, an SDP solver capable of handling convex problems with possibly nonlinear objective functions. Extensive numerical experiments demonstrate the efficiency and robustness of SDPF+, showing that it can generally outperform other solvers on large-scale SDPs whose optimal solutions exhibit low-rank structure. |
| title | A preconditioned augmented Lagrangian method for solving semidefinite programming problems |
| topic | Optimization and Control 90C06, 90C22, 90C30 |
| url | https://arxiv.org/abs/2605.17089 |