An efficient primal dual semismooth Newton method for semidefinite programming

Abstract: In this paper, we present an efficient semismooth Newton method, named SSNCP, for solving a class of semidefinite programming problems. Our approach is rooted in an equivalent semismooth system derived from the saddle point problem induced by the augmented Lagrangian duality. An additional correction step is incorporated after the semismooth Newton step to ensure that the iterates eventually reside on a manifold where the semismooth system is locally smooth. Global convergence is achieved by carefully designing inexact criteria and leveraging the $\alpha$-averaged property to analyze the error. The correction steps address challenges related to the lack of smoothness in local convergence analysis. Leveraging the smoothness established by the correction steps and assuming a local error bound condition, we establish the local superlinear convergence rate without requiring the stringent assumptions of nonsingularity or strict complementarity. Furthermore, we prove that SSNCP converges to an $\varepsilon$-stationary point with an iteration complexity of $\widetilde{\mathcal{O}}(\varepsilon^{-3/2})$. Numerical experiments on various datasets, especially the Mittelmann benchmark, demonstrate the high efficiency and robustness of SSNCP compared to state-of-the-art solvers.