What is it about?
We show an important property, Lipschitz continuity, of a matrix-valued function - matrix-valued Fischer-Burmeister function - that allows us to take advantage of properties of Newton-type methods, such as, quadratic convergence, when solving semi-definite programs.
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Why is it important?
This is the first time that Lipschitz continuity of the gradient of the squared norm of the matrix-valued Fischer-Burmeister function is shown, thus laying the foundation for applying Newton-type methods to solve semi-definite programs.
Perspectives
The note revolves around showing Lipschitz continuity of the gradient of the squared norm of the matrix-valued Fischer-Burmeister function, and does not take long to read.
Dr Chee Khian Sim
University of Portsmouth
Read the Original
This page is a summary of: A note on the Lipschitz continuity of the gradient of the squared norm of the matrix-valued Fischer-Burmeister function, Mathematical Programming, December 2005, Springer Science + Business Media,
DOI: 10.1007/s10107-005-0697-x.
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