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A new non-interior continuation method for second-order cone programming
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J. Tang
Published/Copyright:
November 30, 2013
Abstract
- We propose a new smoothing function in this paper by smoothing the symmetric perturbed Fischer-Burmeister function. Based on this new function, we present a new noninterior continuation method for solving the second-order cone programming. We adopt a variant merit function. Our algorithm needs to solve only one system of linear equations and to perform only one line search at each iteration. It can start from an arbitrary point and does not require the iteration points to be in the set of strictly feasible solutions. We prove the global and local quadratic convergence of the algorithm under suitable assumptions. Numerical results indicate that our algorithm performs well.
Keywords : second-order cone programming; smoothing function; non-interior continuation method; global convergence; quadratic convergence
Published Online: 2013-11-30
Published in Print: 2013-11
© 2013 by Walter de Gruyter GmbH & Co.
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Keywords for this article
second-order cone programming;
smoothing function;
non-interior continuation method;
global convergence;
quadratic convergence
