A one-step smoothing Newton method for second-order cone programming (Q953375): Difference between revisions
From MaRDI portal
Latest revision as of 19:53, 28 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A one-step smoothing Newton method for second-order cone programming |
scientific article |
Statements
A one-step smoothing Newton method for second-order cone programming (English)
0 references
20 November 2008
0 references
The second-order cone programming problem is to minimize or maximize a linear function over the intersection of an affine space with the Cartesian product of a finite number of second-order cones. In this paper, a new smoothing function is introduced by smoothing the symmetric perturbed Fischer-Burmeister function. This new function is basis for a one-step smoothing Newton method for solving the second-order cone programming problem. The algorithm can start from an arbitrary point. Only one system of linear equations needs to be solved and only one line search is performed in each iteration. If an accumulation point of the iteration sequence satisfies a nonsingularity assumption then the iteration sequence converges to the accumulation point globally and locally Q-quadratically without strict complementarity. The efficiency of the algorithm is illustrated by some numerical experimental results on ten randomly generated test problems.
0 references
second-order cone programming
0 references
smoothing Newton method
0 references
Q-quadratic convergence
0 references
numerical examples
0 references
Fischer-Burmeister function
0 references
0 references
0 references