Computable error bounds for semidefinite programming

Authors
Citation
S. Deng et H. Hu, Computable error bounds for semidefinite programming, J GLOB OPT, 14(2), 1999, pp. 105-115
Citations number
14
Categorie Soggetti
Engineering Mathematics
Journal title
JOURNAL OF GLOBAL OPTIMIZATION
ISSN journal
09255001 → ACNP
Volume
14
Issue
2
Year of publication
1999
Pages
105 - 115
Database
ISI
SICI code
0925-5001(199903)14:2<105:CEBFSP>2.0.ZU;2-0
Abstract
We study computability and applicability of error bounds for a given semide finite pro-gramming problem under the assumption that the recession functio n associated with the constraint system satisfies the Slater condition. Spe cifically, we give computable error bounds for the distances between feasib le sets, optimal objective values, and optimal solution sets in terms of an upper bound for the condition number of a constraint system, a Lipschitz c onstant of the objective function, and the size of perturbation. Moreover, we are able to obtain an exact penalty function for semidefinite programmin g along with a lower bound for penalty parameters. We also apply the result s to a class of statistical problems.