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A new non-interior continuation method for second-order cone programming
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DOI：10.1515/jnum-2013-0012.png)
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摘要
En 中文
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 non-interior 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.
Keyword:
second-order cone programming
smoothing function
non-interior continuation method
global convergence
quadratic convergence
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