language: en

Mixed Semidefinite-Quadratic-Linear Programs

Jean-Pierre Haeberly Madhu V. Nayakkankuppam Michael L. Overton
September 23, 1998

Abstract We consider mixed semidefinite-quadratic-linear programs. These are linear optimization problems with three kinds of cone constraints, namely: the semidefinite cone, the quadratic cone and the nonnegative orthant. We outline a primal-dual path following method to solve these problems and highlight the main features of SDPpack, a Matlab package which solves such programs. We give some examples where such mixed programs arise, and provide numerical results on benchmark problems.

1 Introduction