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Exploiting sparsity in semidefinite programming via matrix completion. II: Implementation and numerical results. (English) Zbl 1030.90081

Summary: In Part I of this series [M. Fukuda, M. Kojima, K. Murota and K. Nakata, SIAM J. Optim. 11, 647-674 (2000; Zbl 1010.90053)], we introduced a general framework of exploiting the aggregate sparsity pattern over all data matrices of large scale and sparse SemiDefinite Programs (SDPs) when solving them by primal-dual interior-point methods. This framework is based on some results about positive semidefinite matrix completion, and it can be embodied in two different ways. One is by a conversion of a given sparse SDP having a large scale positive semidefinite matrix variable into an SDP having multiple but smaller positive semidefinite matrix variables. The other is by incorporating a positive definite matrix completion itself in a primal-dual interior-point method. The current article presents the details of their implementations. We introduce new techniques to deal with the sparsity through a clique tree in the former method and through new computational formulae in the latter one. Numerical results over different classes of SDPs show that these methods can be very efficient for some problems.

MSC:

90C22 Semidefinite programming
90C51 Interior-point methods
65K05 Numerical mathematical programming methods
65F50 Computational methods for sparse matrices
05C50 Graphs and linear algebra (matrices, eigenvalues, etc.)

Citations:

Zbl 1010.90053
Full Text: DOI