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Burer-Monteiro ADMM for large-scale SDPs

Abstract:

We propose a bilinear decomposition for the Burer-Monteiro method and combine it with the standard Alternating Direction Method of Multipliers algorithm for semidefinite programming. Bilinear decomposition reduces the degree of the augmented Lagrangian from four to two, which makes each of the subproblems a quadratic programming and hence computationally efficient. Our approach is able to solve a class of large-scale SDPs with diagonal constraints. We prove that our ADMM algorithm converges g...

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Publication status:
Published
Peer review status:
Not peer reviewed

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Publisher copy:
10.48550/arXiv.2302.04016

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Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Role:
Author
ORCID:
0000-0001-8960-9725
Publisher:
arxiv
Host title:
arxiv
Publication date:
2023-02-08
Acceptance date:
2023-02-08
DOI:
Language:
English
Keywords:
Pubs id:
1329711
Local pid:
pubs:1329711
Deposit date:
2023-02-23

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