A Novel Approach for Solving Semidefinite Programs

Algorithm 1

Linearizing alternating direction augmented Lagrangian algorithm for SDP.

Initialize , , and . Choose initial step size greater than the

maximum eigenvalue of the matrix .

For  , … do

 Compute and .

  Compute and its eigenvalue decomposition, and set .

  Compute .

  Choose greater than the maximum eigenvalue of the matrix .

end