Convergence Analysis of an Inexact Infeasible Interior Point Method for Semidefinite Programming

In this paper we present an extension to SDP of the well known infeasible Interior Point method for linear programming of Kojima, Megiddo and Mizuno (A primal-dual infeasible-interior-point algorithm for Linear Programming, Math. Progr., 1993). The extension developed here allows the use of inexact search directions; i.e., the linear systems defining the search directions can be solved with an accuracy that increases as the solution is approached. A convergence analysis is carried out and the global convergence of the method is proved.