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A two step algorithm for solving a large scale semi-definite logit model

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Abstract

This paper proposes a two step algorithm for solving a large scale semi-definite logit model, which is appreciated as a powerful model in failure discriminant analysis. This problem has been successfully solved by a cutting plane (outer approximation) algorithm. However, it requires much more computation time than the corresponding linear logit model. A two step algorithm to be proposed in this paper is intended to reduce the amount of computation time by eliminating a certain portion of the data based on the information obtained by solving an associated linear logit model. It will be shown that this algorithm can generate a solution with almost the same quality as the solution obtained by solving the original large scale semi-definite model within a fraction of computation time.

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Authors and Affiliations

  1. Department of Industrial and Systems Engineering, Chuo-University, Tokyo, Japan

    Hiroshi Konno, Naoya Kawadai & Hiroshi Shimode

Authors
  1. Hiroshi Konno
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  2. Naoya Kawadai
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  3. Hiroshi Shimode
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Correspondence to Hiroshi Shimode.

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Konno, H., Kawadai, N. & Shimode, H. A two step algorithm for solving a large scale semi-definite logit model. Optimization Letters 1, 329–340 (2007). https://doi.org/10.1007/s11590-006-0023-4

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  • DOI: https://doi.org/10.1007/s11590-006-0023-4

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