Title: SDPNAL+ (version 1.0) -- A Matlab software for semidefinite programming with bound constraints

Speaker: Prof. Zhao Xinyuan, Beijing University of Technology

Abstract: SDPNALP is a Matlab software package that implements an augmented Lagrangian based method to solve large scale semidefinite programming problems with bound constraints. The implementation was initially based on a majorized semismooth Newton-CG augmented Lagrangian method, here we designed it within an inexact symmetric Gauss-Seidel based semi-proximal ADMM/ALM framework for the purpose of deriving simpler stopping conditions and closing the gap between the practical implementation of the algorithm and the theoretical algorithm. The basic code is written in Matlab, but some subroutines in C language are incorporated via Mex files. We also design a convenient interface for users to input their SDP models into the solver. Numerous problems arising from combinatorial optimization and binary integer quadratic programming problems have been tested to evaluate the performance of the solver. Extensive numerical experiments show that the proposed method is quite efficient and robust, in that it is able to solve 98.9% of the 745 test instances of SDP problems arising from various applications to the accuracy of 10-6 in the relative KKT residual.

赵欣苑，博士，现任北京工业大学应用数理学院副教授、硕士生导师。2009年毕业于新加坡国立大学获数学专业博士学位。2010年入职北京工业大学应用数理学院。主要研究领域涉及矩阵优化、非线性规划和稀疏优化等问题的理论、算法及应用。主持多项国家和省部级基金，在SIAM Jounral on Optimization, Optimization Methods and Software,Signal, Image and Video Processing等期刊上发表多篇论文。目前是中国运筹学会数学规划分会理事，北京市运筹学会理事。

报告时间：2019-06-27, 10:30-11:30

报告地点：中国人民大学，数学科学研究院（环境楼）316会议室