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A Stochastic Smoothing Algorithm for Semidefinite Programming

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arxiv 1204.0665 v2 pith:W7RMMZBQ submitted 2012-04-03 math.OC

A Stochastic Smoothing Algorithm for Semidefinite Programming

classification math.OC
keywords smoothingstochasticalgorithmeigenvaluemaximummethodsmoothalgorithms
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We use a rank one Gaussian perturbation to derive a smooth stochastic approximation of the maximum eigenvalue function. We then combine this smoothing result with an optimal smooth stochastic optimization algorithm to produce an efficient method for solving maximum eigenvalue minimization problems. We show that the complexity of this new method is lower than that of deterministic smoothing algorithms in certain precision/dimension regimes.

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