Conditional quadratic semidefinite programming: examples and methods
type: Item
instance of: scholarly article
title: Conditional quadratic semidefinite programming: examples and methods
zbMATH Open document ID: 1338.90296
author: Houduo Qi
published in: Journal of the Operations Research Society of China
publication date: 2015-01-27T00:00:00Z
review text: By conditional semidefinite programming the author means a linear programming problem in the cone of positive semidefinite matrices projected in a lower dimensional subspace. The author argue that it is a relevant class of convex optimization problems by enumerating a list of examples from the literature (matrix completion, matrix approximation, Euclidean distance matrices), providing a new example of calibration of correlation matrix from mathematical finance (in section 5), and describing a semismooth quasi-Newton-conjugate-gradient algorithm with favorable convergence properties.
reviewed by: Didier Henrion
Mathematics Subject Classification ID: 90C22
Mathematics Subject Classification ID: 15A83
zbMATH DE Number: 6391350
zbMATH Keywords: semidefinite programming
zbMATH Keywords: matrix completion problems
zbMATH Keywords: matrix projection problems
MaRDI profile type: Publication
full work available at URL: s40305-014-0048-9
OpenAlex ID: W2041814638
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DOI: 10.1007/S40305-014-0048-9
description: scientific article; zbMATH DE number 6391350