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R E S E A R C H

Open Access

A globally convergent QP-free algorithm

for nonlinear semidefinite programming

Jian-Ling Li

1

, Zhen-Ping Yang

1

and Jin-Bao Jian

2*

*Correspondence:

jianjb@gxu.edu.cn 2School of Mathematics and

Statistics, Guangxi Colleges and Universities Key Laboratory of Complex System Optimization and Big Data Processing, Yulin Normal University, Jiaoyu Road, Yulin, Guangxi 537000, China Full list of author information is available at the end of the article

Abstract

In this paper, we present a QP-free algorithm for nonlinear semidefinite programming. At each iteration, the search direction is yielded by solving two systems of linear equations with the same coefficient matrix;l1penalty function is

used as merit function for line search, the step size is determined by Armijo type inexact line search. The global convergence of the proposed algorithm is shown under suitable conditions. Preliminary numerical results are reported.

MSC: Primary 90C30; secondary 90C22

Keywords: nonlinear semidefinite programmming; KKT conditions; QP-free algorithm; global convergence

1 Introduction

Consider the following nonlinear semidefinite programming (NLSDP for short):

minf(x)

s.t.A(x);

hj(x) = , jE={, , . . . ,l},

(.)

wheref :RnR,h

j(j∈E) :RnRl andA:RnSmare continuously differentiable functions, not necessarily convex.Sm is a space whose elements are real symmetric ma-trices of sizem×m.denotes the negative semidefinite order, that is,ABif and only ifABis a negative semidefinite matrix.

NLSDP (.) has a broad range of applications such as eigenvalue problems, control problems, optimal structural design, truss design problems (see [–]). So it is desired to develop numerical methods for solving NLSDP (.).

In recent years, NLSDPs have been attracting a great deal of research attention [, –]. As is well known, NLSDP (.) is an extension of nonlinear programming, some efficient numerical methods for the latter are generalized to solve NLSDP. For example, Correa and Ramirez [] proposed an algorithm which used the sequential linear SDP method. Fares et al.[] applied the sequential linear SDP method to robust control problems. Freund et al.[] also studied a sequential SDP method. Kanzowet al.[] presented a successive linearization method with a trust region-type globalization strategy.

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In addition, Kovara and Stingl [] developed a computer code PENNON for solving NLSDP (.), where the augmented Lagrangian function method was used. Sunet al.[] and Luoet al.[, ] proposed an augmented Lagrangian method for NLSDP (.), re-spectively. Sunet al. [] analyzed the rate of local convergence of the augmented La-grangian method for NLSDPs. Yamashitaet al.recently proposed a primal-dual interior point method for NLSDP (.) (see []). The algorithm is globally convergent and lo-cally superlinearly convergent under suitable conditions. Very recently Aroztegui [] pro-posed a feasible direction interior point algorithm for NLSDP (.) with only semidefinite matrix constraint.

As we know, QP-free (also called SSLE) method is a kind of efficient methods for stan-dard nonlinear programs (see []-[]). In this paper, motivated from QP-free method for standard nonlinear programs, based on techniques of perturbation and penalty function, we propose a globally convergent QP-free algorithm for NLSDP (.). The construction of systems of linear equations (SLE for short) is a key point. Based on KKT conditions of NLSDP (.) and techniques of perturbation, we construct two SLEs skillfully. At each iteration, the search direction is yielded by solving two SLEs with the same coefficient ma-trix; An exact penalty function is used as the merit function for line search and the step size is determined by suitable inexact line search. The global convergence of the proposed algorithm is shown under some mild conditions.

The paper is organized as follows. In Section  we restate some definitions and results on NLSDP and matrix analysis. In Section  the algorithm is presented and its feasibility is discussed. The global convergence is analyzed in Section . Some preliminary numer-ical results are reported in Section  and some concluding remarks are given in the final section.

2 Preliminaries

For the sake of convenience, some results on matrix analysis and NLSDP are restated in this section, which will be employed in the following analysis of the proposed algorithm. More introduction for theory of matrices should be seen in [] and []. Denote byRm×n the space ofm×nreal matrices, denote byS+m andS++m the sets ofm-order symmetric positive semidefinite and positive definite matrices, respectively. The setsSm

– andS––m are defined similarly.

Definition . For anyA= (aij),B= (bij)∈Rm×n, the inner product ofAandBis defined by

A,B=TrBTA= m

i= n

j=

aijbij, (.)

whereTr(P) means the trace of the matrixP.

Definition .([]) For anyMRm×m, let

sym(M) =  

M+MT, skw(M) =  

MMT, (.)

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Given a matrixASm, letm=

m(m+ ), define a mapsvec:SmRm:

svec(A) = (a,

a, . . . ,

am,a,

a, . . . ,

am, . . . ,amm)T,

and the mapsmat:RmSmis defined to be the inverse ofsvec. Then the inner product of matrices is indicated by

A,B=svec(A)Tsvec(B), forA,BSm. (.)

Definition .([]) For anyA,BRm×m, the symmetric Kronecker product, denoted by AsB, is a mapping on a vectoru=svec(U) whereUis anm×msymmetric matrix and is defined as

(A⊗sB)u=  svec

BUAT+AUBT. (.)

For any matrixUSm, it is verified that the following equality is true:

(A⊗sB)svec(U) =svec

sym(BUA). (.)

Note that the linear operatorAsBis defined implicitly in (.). In Appendix of [] a matrix representation ofAsBis given as follows:

AsB= 

Q(AB+BA)Q

T, (.)

whereAB= [aijB] (i,j= , , . . . ,m) is the Kronecker product ofAandB,Qis an orthog-onalm×mmatrix (i.e. QQT=I

m), with the following property:

Qvec(U) =svec(U), QTsvec(U) =vec(U), ∀USm, (.)

wherevec(U) = (u,u, . . . ,um,u,u, . . . ,um, . . . ,umm)T.

Remark . One choice for the matrixQis given in the appendix of [].

Lemma .([]) For any A,BSm,the following results are true: () AsB=BsA;

() (A⊗sB)T=AT⊗sBT;

() (A⊗sB)(CsD) =(AC⊗sBD+ADsBC);

() IfAandBare symmetric positive definite,thenAsBis positive definite.

Lemma .([]) If A,BSm,Aand AB+BA,then B.

Lemma . If ASm

++,BS––m,then all eigenvalues of AB are less than zero.

The proof is elementary and omitted here.

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Lemma . Suppose ASm

++,BS––m,and they commute,then(A⊗sIm)–(B⊗sIm)∈S––m.

Proof SinceASm

++,BS––m, and they commute, there exists an orthogonal matrixPRm×msuch that

A=PDAP–, B=PDBP–,

where DA is a diagonal and positive definite matrix, andDB is a diagonal and negative definite matrix. It follows from Lemma .() that

AsIm=T DAT–, BsIm=T DBT–,

whereT =PsP,DA=DAsImandDB=DBsIm. We know from Lemma .(), () thatT is orthogonal, from Lemma .() thatDAis a diagonal and positive definite matrix, andDBis a diagonal and negative definite matrix. Hence,

(A⊗sIm)–(B⊗sIm) =T DADBT–∈S––m.

In the rest of this section we state the first order optimality conditions for NLSDP (.). For the sake of convenience, we first introduce some notations. Given a matrix valued functionA(·), we use the notation

DA(x) =

∂A(x) ∂x

, . . . ,∂A(x)

∂xn

T

for its differential operator evaluated atx, where ∂Ax(x)

i denotes the partial derivative of

A(x) with respect toxi with components ∂apq(x)

xi (p,q= , . . . ,m). Then the derivative of

A(·) in the directiond= (d, . . . ,dn)T∈Rnatxdenoted byDA(x)dis defined by

DA(x)d= n

i= di

∂A(x) ∂xi

. (.)

If we denote

A(x) :=

svec

∂A(x) ∂x

, . . . ,svec

∂A(x) ∂xn

m×n

, (.)

then by (.), the following equality is true:

svecDA(x)d=∇A(x)d. (.)

The Lagrangian function of NLSDP (.)L:Rn×Sm×RlRis defined by

L(x,,μ) =f(x) +A(x),+h(x)Tμ, (.) whereh(x) = (h(x),h(x), . . . ,hl(x))T. In view of (.), the above equality can be rewritten as follows:

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whereλ:=svec(). The gradient ofL(x,λ,μ) with respect toxis given as follows:

xL(x,λ,μ) =∇f(x) +∇A(x)Tλ+∇h(x)μ, (.)

where∇h(x) = (h(x),∇h(x), . . . ,∇hl(x)).

We are now in a position to restate the definition of the first order optimality conditions for NLSDP (.).

Definition .([]) ForxRn, if there exist a matrixSmand a vectorμ(∈Rl) such that

xL(x,,μ) = , (.a)

A(x) = , , (.b)

h(x) = , A(x), (.c)

thenxis called a KKT point of NLSDP (.).

Remark . According to the Von Neumann-Theobald inequality, the complementarity conditionA(x) =  has the following two useful equivalent forms:

TrA(x)= ,

λj()λj

A(x)= , ∀j∈ {, , . . . ,m}.

3 The algorithm

In this section, we present our algorithm and show it is well defined. For the sake of sim-plicity, we introduce some notations:

= xRn:A(x),h(x) = ,

F= xRn:A(x), F= xRn:A(x)≺

,

that is,is the feasible set of NLSDP (.).

In general,A(x) is not guaranteed to be symmetric, so we considersym(A(x)) = 

instead ofA(x) = . Then the three equalities of KKT condition (.a)-(.c) can be

rewritten in the following form:

f(x) +∇A(x)Tλ+∇h(x)μ= ,

svecsymA(x)= , h(x) = .

(.)

In order to solve (.) at each Newton iteration, we define a vector-value functionϕ: Rn+m+lRn+m+las follows:

ϕ(x,λ,μ) =

⎛ ⎜ ⎝

ϕLg(x,λ,μ)

ϕC(x,λ,μ)

ϕh(x,λ,μ)

⎞ ⎟ ⎠=

⎛ ⎜ ⎝

f(x) +∇A(x)Tλ+h(x)μ svec(sym(A(x)))

h(x)

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It follows from (.) and Lemma . that

ϕC(x,λ,μ) =svec

symIA(x)=IsA(x)

svec() = (sI)svec

A(x),

thus, the Jacobian ofϕis

ϕ(x,λ,μ) =

⎛ ⎜ ⎝

∇

xxL(x,λ,μ) ∇A(x)T ∇h(x) (sI)A(x) IsA(x)

h(x)T

⎞ ⎟ ⎠.

Instead of the Hessian∇

xxL(x,λ,μ), we employ a positive definite matrix denoted byH which can be a quasi-Newton approximation or the identity matrix. A Newton-like itera-tion to solve (.) is given by the linear systems as follows:

⎛ ⎜ ⎝

HA(x)T ∇h(x) (sI)A(x) IsA(x)

h(x)T

⎞ ⎟ ⎠

⎛ ⎜ ⎝

x–x

λλ

μμ

⎞ ⎟ ⎠

= –

⎛ ⎜ ⎝

f(x) +∇A(x)Tλ+∇h(x)μ

svec(sym(A(x)))

h(x)

⎞ ⎟

⎠, (.)

where (x,,μ)∈F×S++m ×Rlis the current point, (x,,μ)∈F×S++m ×Rlis the new estimates given by the Newton-like iteration, λ:=svec() andλ:=svec(). Let d=xx, we obtain from (.)

Hd+∇A(x)Tλ+∇h(x)μ= –∇f(x), (.a)

(sI)A(x)d+

IsA(x)

λ= , (.b)

h(x)Td= –h(x). (.c)

Ifd= , then we have

f(x) +∇A(x)Tλ+∇h(x)μ= ,

IsA(x)

λ= , h(x) = .

SinceA(x)≺,IsA(x) is nonsingular and we have:=smat(λ) = , which implies thatA(x) = . Therefore,xis a KKT point. Ifd= , thendis not guaranteed to be a feasible direction. To obtain a better search direction, we modify (.b) by introducing an appropriate right hand side, so we obtain another linear equations as follows:

Hd+∇A(x)Tλ+∇h(x)μ= –∇f(x),

(sI)A(x)d+

IsA(x)

λ= –λd,

h(x)Td= –h(x).

(.)

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A For anyxF,the matrix

B(x) =

A(x)T h(x) A(x)sIm

is full of column rank.

The following lemma gives a sufficient condition of the assumption A.

Lemma . For any xF,ifA(x)≺and{∇h(x), . . . ,∇hl(x)}is linearly independent,

then B(x)is full of column rank,i.e.,the assumptionAholds.

Lemma . Let H be a positive definite matrix.If the assumptionAholds,then the coef-ficient matrix of the SLEs(.a)-(.c)and(.)

W(x,H,)def=

⎛ ⎜ ⎝

HA(x)T h(x) (sIm)∇A(x) A(x)sI

h(x)T

⎞ ⎟

⎠ (.)

is nonsingular,hence,SLEs(.a)-(.c)and(.)have a unique solution,respectively.

The proof is elementary and it is omitted here.

In our algorithm the following exact penalty function is used as a merit function for line search:

P(x;σ) =f(x) +σ

jE

hj(x), (.)

whereσ >  is a penalty parameter. Further, we define a functionP(•;d;σ) :Rn×Rn× [, +∞)→Rassociated withP(x;σ) by

P(x;d;σ) =f(x) +∇f(x)Td+σ

jE

hj(x) +∇hj(x)Td. (.)

Now the algorithm is described in detail.

Algorithm A

Parameters.α∈(,),β,ξ∈(, ),λI> ,σ–> ,ρ,ρ> . Initialization. Select an initial iteration pointxF

, H∈S++n ,  (∈S++m) satisfying

λIImsuch thatandA(x) commute. Letλ=svec(),k:= .

Step . Let(dk,λk,μk)be the solution of the SLE (.a)-(.c) in(d,λ,μ),i.e.,

⎧ ⎪ ⎪ ⎨ ⎪ ⎪ ⎩

Hkd+∇A(xk)Tλ+

jEμjhj(xk) = –∇f(xk), (ksIm)∇A(xk)d+ (A(xk)⊗sIm)λ= ,

hj(xk)Td= –hj(xk), jE.

(.)

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Step . Let(dk,λk,μk)be the solution of the SLE (.) in(d,λ,μ),i.e.,

⎧ ⎪ ⎪ ⎨ ⎪ ⎪ ⎩

Hkd+∇A(xk)Tλ+

jEμjhj(xk) = –∇f(xk), (ksIm)∇A(xk)d+ (A(xk)⊗sIm)λ= –λkdk,

hj(xk) T

d= –hj(xk), jE.

(.)

Step . Compute the search directiondkand the approximate multiplier vector(λk,μk):

dk= ( –δk)dk+δkdk, (.)

λk= ( –δk)λk+δkλk, (.)

μk= ( –δk)μk+δkμk, (.)

where

δk=

⎧ ⎪ ⎪ ⎨ ⎪ ⎪ ⎩

 –ξ, if∇f(xk)Tdk≤;

, if∇f(xk)Tdk> andf(xk)Tdk≤ ∇f(xk)Tdk;

min{ξ,|( –ξ)∇f(xk)Tdk+(μk)Th(xk)

f(xk)T(dkdk) |}, otherwise.

(.)

Step . (Update the penalty parameter) Setσk= ( –ξ)maxjE|μkj|+ρ. The updating

rule ofσkis as follows:

σk=

⎧ ⎨ ⎩

max{σk,σk–+ρ}, ifσk>σk–,

σk–, otherwise.

(.)

Step . (Line search) Set the step sizetkto be the first number of the sequence{,β,β, . . .} satisfying the following two inequalities:

Pxk+tdk;σk

Pxk;σk

+tαPxk;dk;σk

Pxk; ;σk

, (.)

Axk+tdk≺. (.)

Step . Setxk+=xk+t

kdk. Using the following methods to generatek+commuting with A(xk+):

Step .. If the search directiondkdoes not descend or is not feasible, set k+=Im and go to Step .

Step .. Compute the least eigenvalueλmin(k)of the matrix¯k. Ifλmin(k)≥λI, then letk+=k; otherwise, letk+=k+ (λIλmin(k))Im.

Step . Set λk+=svec(k+), and updateHk by some method toHk+ such thatHk+ is

symmetric positive definite. Letk:=k+ , return to Step .

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Lemma . Suppose that the assumptionAholds.If dk= ,then xkis a KKT point of NLSDP(.).

Lemma . Suppose that the assumptionAholds.Then the search direction dkof Algo-rithmAsatisfies the following inequality:

fxkTdk≤–ξdkTHkdk+ ( –ξ)

jE

μkjhj

xk. (.)

Proof First we show that the inequality

fxkTdk≤–dkTHkdk+

jE

μkjhj

xk (.)

holds. Premultiplying the first equation of (.) by (dk)T, we obtain

dkTHkdk+

jE

μkjdkT∇hj

xk+dkT∇AxkTλk= –dkT∇fxk. (.)

According to the second equation of (.), we get

dkT∇AxkTλk= –λkT(ksIm)–

AxksIm

T

λk.

Substituting the above equality and the third equality of (.) into (.), we have

dkT∇fxk = –dkTHkdk+

λkT(ksIm)–

AxksIm

T

λk+ jE

μkjhj

xk.

In view of Lemma ., the matrix (ksIm)–(A(xk)⊗sIm) is negative semidefinite, so it follows from the above equality that

dkT∇fxk≤–dkTHkdk+

jE

μkjhj

xk,

i.e., the inequality (.) holds.

Next, we will prove the inequality (.) is true. The rest of the proof is divided into three cases.

CaseA.∇f(xk)Tdk≤. From (.) we haveδk=  –ξ. It follows from (.), (.), (.) andξ∈(, ) that

fxkTdk≤–ξdkTHkdk+ξ

jE

μkjhj

xk

≤–ξdkTHkdk+ ( –ξ)

jE

μkjhj

xk, (.)

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Case B.∇f(xk)Tdk>  and f(xk)Tdk≤ ∇f(xk)Tdk. From (.), one hasδ k = . It follows from (.), (.) andξ∈(, ) that

fxkTdk =∇fxkTdk≤ ∇fxkTdk

≤–dkTHkdk+

jE

μkjhj

xk,

which implies (.) holds.

CaseC.∇f(xk)Tdk>  andf(xk)Tdk>f(xk)Tdk. It follows from (.) andξ(, ) that

δk=

( –ξ)∇f(x

k)Tdk+ (μk)Th(xk)

f(xk)T(dkdk)

≤ |(ξ– )∇f(xk)Tdk|+|(μk)Th(xk)|

f(xk)T(dkdk) . (.)

If∇f(xk)Tdk, then we obtain from the above inequality

( –δk)∇f

xkTdk+δkf

xkTdk≤ξfxkTdk+μkThxk, which together with (.) and (.) gives

fxkTdk≤–ξdkTHkdk+ ( +ξ)

jE

μkjhj

xk

≤–ξdkTHkdk+ ( –ξ)

jE

μkjhj

xk. (.)

If∇f(xk)Tdk> , then the inequality (.) gives rise to

δkf

xkTdk–δkf

xkTdk≤( –ξ)∇fxkTdk+μkThxk, which together with (.) and (.) shows

fxkTdk≤–( –ξ)dkTHkdk+ ( –ξ)

jE

μkjhj

xk

≤–ξdkTHkdk+ ( –ξ)

jE

μkjhj

xk. (.)

The inequalities (.) and (.) indicate that the inequality (.) is true.

Lemma . Suppose that the assumptionAholds.If xk(∈F)is not a KKT point of NLSDP (.),then

Pxk;dk;σk

Pxk; ;σk

< . (.)

Proof From (.) and (.) we know that (dk,λk,μk) is the solution of the following SLE:

Hkd+∇A

xkTλ+ jE

μjhj

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(ksIm)∇A

xkd+AxksIm

λ= –δkλkdk, (.b)

hj

xkTd= –hj

xk, jE. (.c) From the definition (.) of the functionP(xk;dk;σk) and (.c), we have

Pxk;dk;σk

Pxk; ;σk

=∇fxkTdkσk

jE

hj

xk

≤–ξdkTHkdk+ ( –ξ)

jE

μkjhj

xkσk

jE

hj

xk

≤–ξdkTHkdk+

( –ξ)max jE

μkj–σk jE

hj

xk, (.)

the first inequality above is due to (.).

Sincexkis not a KKT point of NLSDP (.), it implies from Step  of Algorithm A that dk= , so (dk)TH

kdk> . On the other hand, it follows from the updating rule ofσkthat

σk> ( –ξ)maxjE|μkj|, therefore, (.) gives rise to

Pxk;dk;σk

Pxk; ;σk

< ,

that is, the inequality (.) holds.

Lemma . Suppose that the assumptionAholds.If AlgorithmAdoes not stop at the current iterate xk,then(.)and(.)are satisfied for t> small enough,so AlgorithmA is well defined.

Proof It follows from the Taylor expansion and (.) that

Pxk+tdk;σk

Pxk;σk

=tfxkTdk+σk

jE

hj

xk+thj

xkTdkhj

xk+o(t)

=Pxk;tdk;σk

Pxk; ;σk

+o(t). (.)

The second equality above is due to (.). From the convexity ofP(xk;d;σ

k) ford, we obtain

Pxk;tdk;σk

Pxk; ;σk

tPxk;dk;σk

Pxk; ;σk

, (.)

which together with (.) and Lemma . gives fortsmall enough

Pxk+tdk;σk

Pxk;σk

tαPxk;dk;σk

Pxk; ;σk

,

whereα∈(, ). Hence, (.) holds for sufficiently smallt> .

In what follows, we prove (.) holds for sufficiently small t> . SinceA(x) is twice continuously differentiable function, it follows from Taylor expansion that

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Note that the largest eigenvalue functionλmax(A) =maxv=vTAv, we deduce from (.) andA(xk) that

λmax

Axk+tdk=max v= v

TAxkv+vTO(t)v< 

for  <t<  small enough, which implies (.) holds for  <t<  small enough.

By summarizing the above discussions, we conclude that Algorithm A is well defined.

4 Global convergence

If Algorithm A terminates at xk after a finite number of iterations, we know from Lemma . thatxk is a KKT point of NLSDP (.). In this section, without loss of gen-erality, we assume that the sequence{xk}generated by Algorithm A is infinite. We will prove any accumulation point of{xk}is a stationary point or a KKT point of NLSDP (.), i.e., Algorithm A is globally convergent. We first generalize the definition of stationary point for nonlinear programming defined in [] to nonlinear semidefinite programming.

Definition . LetxRn, if there exist a matrix(Sm) and a vectorμ(Rl) such that

xL(x,,μ) = , (.)

A(x) = , A(x), h(x) = , (.)

thenxis called a stationary point of NLSDP (.).

In order to analyze the global convergence, some additional assumptions are required: A The sequence{xk}yielded by AlgorithmAlies in a nonempty closed and bounded

setX.

A The functionsf(x),h(x)andA(x)are twice continuously differentiable on an open set containingX.

A There exists a positive constantλssuch thatλs>λI andλIImkλsImfor allk. A The matrixHkis uniformly positive definite, i.e., there exist two positive constantsa

andbsuch thatayyTH

kybyfor allyRn.

Letx∗ be an accumulation point of{xk}, then there exists a subsetK⊆ {, , . . .}such thatlimkKxk=x∗. Without loss of generality, we suppose

Hk

K

−→H∗, ∇hxk−→ ∇K hx∗,

k

K

−→, Wxk,Hk,k

K

−→Wx∗,H∗,∗,

whereW(xk,H

k,k) is defined by (.) and

Wx∗,H∗,∗def=

⎛ ⎜ ⎝

H∗ ∇A(x∗)T ∇h(x∗) (∗⊗sIm)∇A(x∗) A(x∗)⊗sIm

h(x∗)T

⎞ ⎟ ⎠.

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Lemma . Suppose the assumptionsA-Ahold.Then there exists a constant M> such that|f(yk)| ≤M,f(yk)M,f(yk)M,h(yk)M,h(yk)M,A(yk)

FM,DA(yk)

FM andDA(yk)FM,for any ykN(xk),whereN(xk)is a neighbor-hood of xk.

Lemma . Suppose the assumptionsA-Ahold.Then

() there exists a constantc> such thatW(xk,Hk,k)– ≤cfor anykK;

() there exists a constantM> such thatλk ≤M,λk ≤M,μk ≤M,

μk ≤M,dk ≤Manddk ≤Mfor anykK.

The following result is an important property of the penalty parameterσk, which is ob-tained by the updating rule (.).

Lemma . Suppose the assumptionsA-Ahold.Then the penalty parameterσkis up-dated only in a finite number of steps.

Based on Lemma ., in the rest of the paper, we assume, without loss of generality, that

σk≡ ˜σfor allk, where

˜

σ>sup k

( –ξ)max jE

μkj.

By using of Lemma ., we obtain the following result.

Lemma . Suppose the assumptionsA-Ahold.Then there exists a constant c> such that

dkdk≤cdk. (.)

For the sake of simplicity, in the rest of this section, let (d∗,μ∗,λ∗) be the solution of the following SLE in (d,μ,λ):

⎧ ⎪ ⎪ ⎨ ⎪ ⎪ ⎩

Hd+∇A(x∗)Tλ+jEμjhj(x∗) = –∇f(x∗), (∗⊗sIm)∇A(x∗)d+ (A(x∗)⊗sIm)λ= ,

hj(x∗)Td= –hj(x∗), jE.

(.)

Let (d∗,μ∗,λ∗) be the solution of the following SLE in (d,μ,λ):

⎧ ⎪ ⎪ ⎨ ⎪ ⎪ ⎩

H∗d+∇A(x∗)Tλ+jEμjhj(x∗) = –∇f(x∗), (sIm)∇A(x∗)d+ (A(x∗)⊗sIm)λ= –λd∗,

hj(x∗)Td= –hj(x∗), jE.

(.)

From the above equalities and Lemma ., we obtain the following conclusion.

Lemma . Suppose the assumptionsA-Ahold,andδk

K

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(ii) dk−→K d∗,μk−→K μ∗,λk−→K λ∗,

(iii) d∗= if and only ifd= whered= ( –δ)d∗+δ∗d∗.

Remark . By (.), we know that{δk}is bounded, so in the rest of the paper, we assume,

without loss of generality, thatδk

K −→δ.

Lemma . Suppose the assumptionsA-Ahold.Let xbe an accumulation point of the sequence{xk}and xk−→K x.If dk−→K ,then xis a KKT point or a stationary point of NLSDP(.),andλk−→K svec(∗),μk−→K μ∗,where(∗,μ∗)is the Lagrangian multiplier corresponding to x∗.

Proof It is clear from Lemma . that{λk}and{μk}are bounded. Assume thatλˆ,μˆ are accumulation points of{λk}and{μk}, respectively. Without loss of generality, we assume

thatλk−→ ˆK λandμk−→ ˆK μ.

Obviously, (dk,λk,μk) satisfies the SLE (.a)-(.c). By taking the limit on K in (.a)-(.c), we obtain

Axλˆ+ jE

ˆ

μjhj

x∗= –∇fx∗, (.a)

Ax∗⊗sI

ˆ

λ= , (.b)

hj

x∗= , jE. (.c)

Ifx∗∈F,i.e.,A(x∗)≺, then we know from Lemma .() thatA(x∗)⊗sIis nonsingular, so the equation (.b) has a unique solutionλˆ = . Let:=smat(λˆ) = , soA(x∗) = . Together with (.a) and (.c), we conclude thatx∗is a KKT point of NLSDP (.).

Ifx∗∈\F, let:=smat(λˆ). It follows from (.b) thatsym(A(x∗)) = , which means thatA(x∗) is a skw-symmetric matrix. HenceTr(A(x∗)) = . According to Remark ., we obtainA(x∗) = . Combining with (.a) and (.c),x∗is a stationary point of NLSDP (.). (λ∗,μ∗) is the Lagrangian multiplier corresponding tox∗, that is,

Ax∗Tλ∗+ jE

μjhj

x∗= –∇fx∗,

Ax∗= ,

where∗=smat(λ∗). It is not difficult to verify that (λ∗,μ∗) is the solution of the following SLE:

Ax∗Tλ∗+ jE

μjhj

x∗= –∇fx∗, (.a)

Ax∗⊗sI

λ∗= . (.b)

From (.a)-(.c), we know that (λˆ,μˆ) is also the solution of (.a)-(.b). It is clear from the assumption A that the solution of (.a)-(.b) is unique, therefore,λˆ =λ∗,μˆ =μ∗.

The proof is completed.

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Lemma . Suppose the assumptionsA-Ahold.Let xk−→K x.If dk–−→K ,then xis a KKT point or a stationary point of NLSDP(.).

Lemma . Suppose the assumptions A-Ahold, xk−→K x. IfinfK{dk–}> ,then dk−→K .

Proof By contradiction, we assume that there exist a subsetKKand a constantd¯>  such thatdk ≥ ¯d,k(K) large enough. From the assumptions A-A, (.) and the updating rule ofk, we assume without loss of generality thatHk

K

−→H∗,δk

K

−→δ∗,k

K

−→

. On the other hand, it follows from the updating rule ofkand the assumption A that

∗is positive definite. According to Lemma .(iii), there existsd>  such thatdk ≥d for allkK.

Firstly, we show that there existst>  independent ofksuch that (.) and (.) are satisfied for alltt. For anykK, it is clear from the assumptions A and A and Lem-mas .-. and LemLem-mas .-. that

Pxk;dk;σ˜–Pxk; ;σ˜≤–ξad. (.)

Together with (.)-(.), there existstf >  independent ofksuch that

Pxk+tdk;σ˜–Pxk;σ˜≤tαPxk;dk;σ˜–Pxk; ;σ˜ (.) for allkKandt∈(,tf], whereα∈(, ). The above inequality shows the inequality (.) holds.

We next prove the inequality (.) holds. It follows from (.) and Lemma .() and Lemma . that

fxkTdk+μkThxk

=–dkTHkdk+

λkT(ksIm)–

AxksIm

T

λk

adk.

Combining with Lemmas .-. and (.), there exists a constant  <δ˜≤ such that

δk≥ ˜δforkK. By the mean-value theorem and Lemmas .-., we obtain

Axk+tdk=Axk+tDAxkdk+tDAx+tϑdkdk,dk

Axk+tDAxkdk+tMIm (.)

for any kK, where ϑ∈(, ), M= max{M, M}. LetN(t;xk) =A(xk) +tDA(xk)dk+ tMI

m, the above inequality is rewritten as

Axk+tdkNt;xk, (.)

thus, in order to prove thatA(xk+tdk) is negative definite, it is sufficient to prove that N(t;xk) is negative definite. In view of

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it is sufficient to show that there existstA>  independent ofksuch that

symkN

t;xk≺, ∀t∈(,tA]. (.) In view of (.), (.) and Lemma .(), we obtain

(ksIm)∇A

xkdk=svecsymkDA

xkdk. (.) Letk=smat(λk),i.e.,λk=svec(k), it is obvious from (.) that

AxksIm

λk=AxksIm

sveck=svecsymkAxk. (.) Hence, (.), (.) and (.b) give rise to

symkDA

xkdk+kAxk =smatsvecsymkDA

xkdk+svecsymkAxk =smat–δkλkdk= –δkdkk.

Based on the above equality, we have

symkN

t;xk=symk

Axk+tDAxkdk+tMIm

=symktk

Axk+tMktδkdkk

≺symktk

Axk+tM–˜dk; (.)

note the positive definiteness ofk, hence, if

max vTktk

Axkv:vRm,v= ≤, for anykK, (.)

then (.) holds fortδM˜d.

SincekandA(xk) are symmetric and commuting, there exists an orthogonal matrix Qksuch that

k=QTkD k

λQk, A

xk=QTkDkAQk, (.) whereDkλandDkAare diagonal matrices. Then (ktk)A(xk) =QTk(D

k

λtQkkQTkDkAQk. Let!k=QkkQTk, so in order to prove (.), it is enough to show that there exists a constanttA>  such that

vTDkλt!k

DkAv≤, ∀v:v= , (.) for anyt∈(,tA) andkK. By Lemma . andk=smat(λk), we know{k}is bounded, furthermore,{!k}is also bounded. Let!∗be an accumulation point of{!k}. Without loss of generality, we assume that!k K

−→!∗. LetBk=!k!, obviously,Bk K

−→, thus there existsγ >  such that

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for anykK. Note that

vTDkλt!k

DkAv=vTDkλt!

DkAvtvTBkDkAv. (.)

It follows from the assumption A that all eigenvalues ofDkλare betweenλI andλsfor allk. According to Weyl’s theorem (see []), there existst>  such that all eigenvalues of (Dt!∗) are positive for anyt∈(,t]. We also know fromA(xk)≺ and the second equality in (.) thatDAis negative definite. Therefore, for anyvwithv=  andt∈ (,t], it follows from Lemma . that (D

k

λt!∗)DkAis also negative definite. Combining with (.), for anyvwithv=  and anyt∈(,t), we obtain

vTDkλt!

DkAvtvTBkDkAv≤, (.)

together with (.) shows that (.) is satisfied, further, (.) and (.) hold.

LettA= min{t,mdM}, thus (.) holds for anyt∈(,tA]. Hence, we see thatA(xk+

tdk)≺ holds fort∈(,tA] and anykK. Let¯t= min{tf,tA}, for anyt∈(,¯t], (.) and (.) are satisfied for alltt. Combining with (.) and (.), we obtain for any kK

Pxk+;σ˜≤Pxk;σ˜–tαξad. (.)

On the other hand, the sequence {P(xk;σ˜)} decreases monotonically and P(xk;σ˜)−→K P(x∗;σ˜), so{P(xk;σ˜)}

k=is convergent. Letlimk→∞P(xk;σ˜) =and taking the limit in the above inequality, we have –tξ αad≥, which is a contradiction. Hence,dk−→K .

Based on Lemmas .-., the following global convergence of Algorithm A is immedi-ate.

Theorem . Suppose the assumptionsA-Ahold.Then AlgorithmAeither terminates in a finite number of iterations at a KKT point of the NLSDP(.),or it generates a sequence

{xk}whose every accumulation point is a KKT point or a stationary point of the NLSDP (.).

5 Numerical experiments

Algorithm A has been implemented in Matlab b and the codes have been run on a . GHz Intel(R) Core(TM)i- machine with a Windows  system. We chooseHas n-order identical matrix and at each iteration,Hkis updated by the damped BFGS formula in [] andasm-order identical matrix. In the numerical experiments, we choose the parameters as follows:

α= ., β= ., ξ= ., λI= .,

σ–= ., ρ= , ρ= .

The stop criterion isdk–.

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I. The first test problem is Rosen-Suzuki problem [] combined with a negative semidefinite constraint and denoted byCM:

minf(x) =x+x+ x+x– x– x– x+ x

s.t.x+x+x+x+x–x+x–x–  = ,

x+ x+x+ xx–x–  = ,

x

+x+x+ x–x–x–  = ,

⎛ ⎜ ⎜ ⎜ ⎝

–x–x     –x –x   –x –x     –x–x

⎞ ⎟ ⎟ ⎟ ⎠.

II. We select some test problems from [] only with equality constraints and we add a negative semidefinite matrix constraint.

() We select the problems HS, HS, HS, HS combined with the following× order symmetric matrix which comes from [] and rename them MHS, MHS, MHS and MHS, respectively:

–x  –x –x

 –x  

.

() Choose the problems HS, HS, HS and HS combined with the following ×order symmetric matrix and rename them MHS, MHS, MHS and MHS, respectively:

⎛ ⎜ ⎝

–x

 –x  –x

 –x 

 

  –x

⎞ ⎟ ⎠.

() Choose the problems HS, HS, HS, HS, HS, HS, HS and HS, adding the negative semidefinite matrix constraint in the problemCMand renaming them MHS, MHS, MHS, MHS, MHS, MHS, MHS and MHS. III. Nearest correlation matrix problem (NCM for short) (see []):

minf(X) = 

XAF

s.t.XI,

Xii= , i= , , . . . ,m,

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[image:19.595.117.479.96.284.2]

Table 1 The numerical results of test problems I and II

Problem n l m x0 Iter. NF NC ffinal Time (s)

CM 4 3 4 (2.5, 2.5, 2.5, –2.5)T 19 72 72 –4.400000e+001 4.097408e–001 PHS6 2 1 2 (–2, –2)T 99 128 128 1.226381e–006 3.541575e–001 PHS7 2 1 2 (1, 5)T 43 169 169 –1.732051e+000 3.551911e–001

PHS8 2 2 2 (1, 4)T 4 4 4 –1 2.195229e–001

PHS9 2 1 2 (–4, 4)T 2 2 2 –4.999996e–001 2.025914e–001

PHS26 3 1 3 (1.5, 1.5, 1.5)T 28 28 28 3.726010e–005 2.514937e–001 PHS27 3 1 3 (–1, 1, 1)T 17 17 17 5.426241e–002 2.354974e–001 PHS28 3 1 3 (1, –1, –1)T 6 6 6 6.756098e–001 1.708627e–001 PHS40 4 3 4 (0.5, 0.5, 0.5, 0.5)T 8 10 10 –2.500001e–001 2.773717e–001 PHS42 4 2 4 (–1, 1, 1, 1)T 17 28 28 1.385766e+001 2.415490e–001 PHS47 5 3 4 (–1, 1, 1, 1, 1)T 31 80 80 2.910505e–001 2.642828e–001 PHS48 5 2 4 (3, 3, 3, 3, –3)T 49 140 140 3.060758e–008 2.962501e–001 PHS50 5 3 4 (–3, 3, 3, 3, 3)T 23 84 84 2.390072e–009 3.139633e–001 PHS51 5 3 4 (–1, 1, 1, 1, 1)T 13 14 14 4.687353e–008 2.302719e–001 PHS61 3 2 3 (2.5, 2.5, 2.5)T 59 59 59 –8.191909e+001 3.401501e–001 PHS77 5 2 4 (1, 1, 1, 1, 1)T 23 25 25 2.415051e–001 2.393263e–001 PHS79 5 3 4 (–1, 1, 1, 1, 1)T 44 50 50 7.877716e–002 3.415668e–001

Table 2 The numerical results for NCM problem

n l m Algorithm Iter. NF NC

10 5 5 Algo. A 8 15 15

Algo. YYNY 8 -

-Algo. SDPIP 9 -

-45 10 10 Algo. A 10 19 19

Algo. YYNY 8 -

-Algo. SDPIP 10 -

-105 15 15 Algo. A 10 20 20

Algo. YYNY 10 -

-Algo. SDPIP 11 -

-190 20 20 Algo. A 10 18 18

Algo. YYNY 11 -

-Algo. SDPIP 12 -

-300 25 25 Algo. A 10 25 25

Algo. YYNY 10 -

-Algo. SDPIP 11 -

-435 30 30 Algo. A 10 19 19

Algo. YYNY 9 -

-Algo. SDPIP 10 -

-595 35 35 Algo. A 11 25 25

Algo. YYNY 11 -

-Algo. SDPIP 11 -

-780 40 40 Algo. A 11 24 24

Algo. YYNY 11 -

-Algo. SDPIP 11 -

-1,225 50 50 Algo. A 12 34 34

Algo. YYNY – -

-Algo. SDPIP – -

-The numerical results are listed in Table  and Table . -The meanings of the notations in Table  and Table  are as follows:

n: the number of variables;

l: the number of equality constraints;

[image:19.595.161.433.318.629.2]
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NF: the number of evaluations forf(x);

NC: the number of evaluations for all constraint functions; ffinal: the optimal value;

Time (s): the time of calculation; -: means that the result is not given.

6 Concluding remarks

We have presented a globally convergent QP-free algorithm for nonlinear SDP problems. Based on KKT conditions of nonlinear SDP problems and techniques of perturbation, we construct two SLEs skillfully. Under some linear independence condition, the SLEs have unique solution. At each iteration, the search direction is yielded by solving two SLEs with the same coefficient matrix; some penalty function is used as the merit function for line search and the penalty parameter is updated automatically in the algorithm. The prelimi-nary numerical results show that the proposed algorithm is effective and comparable.

Acknowledgements

Project supported by the Natural Science Foundation of China (No. 11561005), the Natural Science Foundation of Guangxi Province (Nos. 2016GXNSFAA380248, 2014GXNSFFA118001).

Competing interests

The authors declare that they have no competing interests.

Authors’ contributions

All authors read and approved the final manuscript.

Author details

1College of Mathematics and Information Science, Guangxi University, Daxue Road 100, Nanning, Guangxi 530004, China. 2School of Mathematics and Statistics, Guangxi Colleges and Universities Key Laboratory of Complex System

Optimization and Big Data Processing, Yulin Normal University, Jiaoyu Road, Yulin, Guangxi 537000, China.

Publisher’s Note

Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.

Received: 5 March 2017 Accepted: 5 June 2017

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Figure

Table 1 The numerical results of test problems I and II

References

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