A non-interior continuation method for second-order cone programming

被引：23

作者：

Chi, Xiaoni ^{[1
]}

Liu, Sanyang ^{[1
]}

机构：

[1] Xidian Univ, Dept Math Sci, Xian, Peoples R China

来源：

OPTIMIZATION | 2009年 / 58卷 / 08期

基金：

美国国家科学基金会;

关键词：

second-order cone programming; non-interior continuation method; global convergence; local superlinear convergence; NONLINEAR COMPLEMENTARITY-PROBLEMS; SMOOTHING NEWTON METHODS; CONVERGENCE; ALGORITHMS; P-0;

D O I：

10.1080/02331930701763421

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We extend the smoothing function proposed by Huang, Han and Chen [Journal of Optimization Theory and Applications, 117 (2003), pp. 39-68] for the non-linear complementarity problems to the second-order cone programming (SOCP). Based on this smoothing function, a non-interior continuation method is presented for solving the SOCP. The proposed algorithm solves only one linear system of equations and performs only one line search at each iteration. It is shown that our algorithm is globally and locally superlinearly convergent in absence of strict complementarity at the optimal solution. Numerical results indicate the effectiveness of the algorithm.

引用

页码：965 / 979

页数：15

共 20 条

[1] Second-order cone programming [J].