Abstract:
This report describes SDPpack Version 0.9 Beta for Matlab 5.0.
This version extends the previous release for semidefinite programming
(SDP) to mixed semidefinite--quadratic--linear programs (SQLP),
i.e.\ linear optimization problems over a product of semidefinite cones,
quadratic cones and the nonnegative orthant. Together, these cones make
up all possible homogeneous self-dual cones over the reals.
The main routine implements a primal--dual Mehrotra predictor--corrector
scheme based on the XZ+ZX search direction for SDP. More specialized
routines are also available, one to solve SDP's with diagonal constraints
only, and one to compute the Lov\'asz $\theta$ function of a graph,
both using the XZ search direction. Routines are also provided to
determine whether an SQLP is primal or dual degenerate at its solution
and whether strict complementarity holds there. Primal nondegeneracy
is associated with dual uniqueness and dual nondegeneracy with primal
uniqueness, though these conditions are not equivalent if strict
complementarity fails to hold.
A routine is also provided to compute the condition number of an SQLP.
The Matlab code calls mex files for improved performance; binaries are
available for several platforms. Benchmarks show that the codes
provide highly accurate solutions to a wide variety of problems.