Self-Dual Embedding Technique
In Chapter 3, we have analyzed the iteration complexity of finding an ϵ-optimal solution, if an interior, sufficiently centered pair of primal and dual solutions is known beforehand. We will see in this chapter how we can adapt the algorithms of Chapter 3 to solve semidefinite programming problems without any pre-knowledge. To this end, we use the self-dual embedding technique. This technique will also be used to tackle semidefinite programming problems that may be unbounded, unsolvable, or infeasible.
KeywordsConvex Program Cluster Point Semidefinite Programming Strong Duality Centered Sequence
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