Journal
MATHEMATICAL PROGRAMMING COMPUTATION
Volume 2, Issue 3-4, Pages 291-315Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s12532-010-0020-6
Keywords
Log-determinant semidefinite programming; Sparse inverse covariance selection; Inexact interior point method; Inexact search direction; Iterative solver
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Sparse covariance selection problems can be formulated as logdeterminant (log-det) semidefinite programming (SDP) problems with large numbers of linear constraints. Standard primal-dual interior-point methods that are based on solving the Schur complement equation would encounter severe computational bottlenecks if they are applied to solve these SDPs. In this paper, we consider a customized inexact primal-dual path-following interior-point algorithm for solving large scale log-det SDP problems arising from sparse covariance selection problems. Our inexact algorithm solves the large and ill-conditioned linear system of equations in each iteration by a preconditioned iterative solver. By exploiting the structures in sparse covariance selection problems, we are able to design highly effective preconditioners to efficiently solve the large and ill-conditioned linear systems. Numerical experiments on both synthetic and real covariance selection problems show that our algorithm is highly efficient and outperforms other existing algorithms.
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