A Recurrent Neural Network Model for Solving Linear Semidefinite Programming

Abstract

In this paper we solve a wide rang of Semidefinite Programming (SDP) Problem by using Recurrent Neural Networks (RNNs). SDP is an important numerical tool for analysis and synthesis in systems and control theory. First we reformulate the problem to a linear programming problem, second we reformulate it to a first order system of ordinary differential equations. Then a recurrent neural network model is proposed to compute related primal and dual solutions simultaneously.Illustrative examples are included to demonstrate the validity and applicability of the technique.