A Dynamical Systems Analysis of Semidefinite Programming with Application to Quadratic Optimization with Pure Quadratic Equality Constraints

摘要

This paper considers the problem of minimizing a quadratic cost subject to purely quadratic equality constraints. This problem is tackled by first relating it to a standard semidefinite programming problem. The approach taken leads to a dynamical systems analysis of semidefinite programming and the formulation of a gradient descent flow which can be used to solve semidefinite programming problems. Though the reformulation of the initial problem as a semidefinite programming problem does not in general lead directly to a solution of the original problem, the initial problem is solved by using a modified flow incorporating a penalty function.