# Modified Interior-Point Method for Large-and-Sparse Low-Rank Semidefinite Programs

## TL;DR

This paper introduces a modified interior-point method that efficiently solves large, sparse, low-rank semidefinite programs by using a specialized preconditioner to improve conjugate gradient convergence, significantly reducing computation time and memory usage.

## Contribution

The paper presents a novel preconditioning technique that explicitly accounts for low-rank perturbations in the Hessian, enhancing the efficiency of solving large-scale SDPs.

## Key findings

- Reduced solution time for large SDPs by several orders of magnitude.
- Lowered memory requirements for solving large matrix-completion problems.
- Achieved faster convergence of conjugate gradient method through the new preconditioner.

## Abstract

Semidefinite programs (SDPs) are powerful theoretical tools that have been studied for over two decades, but their practical use remains limited due to computational difficulties in solving large-scale, realistic-sized problems. In this paper, we describe a modified interior-point method for the efficient solution of large-and-sparse low-rank SDPs, which finds applications in graph theory, approximation theory, control theory, sum-of-squares, etc. Given that the problem data is large-and-sparse, conjugate gradients (CG) can be used to avoid forming, storing, and factoring the large and fully-dense interior-point Hessian matrix, but the resulting convergence rate is usually slow due to ill-conditioning. Our central insight is that, for a rank-$k$, size-$n$ SDP, the Hessian matrix is ill-conditioned only due to a rank-$nk$ perturbation, which can be explicitly computed using a size-$n$ eigendecomposition. We construct a preconditioner to "correct" the low-rank perturbation, thereby allowing preconditioned CG to solve the Hessian equation in a few tens of iterations. This modification is incorporated within SeDuMi, and used to reduce the solution time and memory requirements of large-scale matrix-completion problems by several orders of magnitude.