Analysis of a non-monotone smoothing-type algorithm for the second-order cone programming. (Q489252): Difference between revisions
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| English | Analysis of a non-monotone smoothing-type algorithm for the second-order cone programming. |
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Analysis of a non-monotone smoothing-type algorithm for the second-order cone programming. (English)
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27 January 2015
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The authors propose a non-monotone smoothing-type algorithm for solving second-order cone programs. This algorithm is based on a non-monotone line search technique, introduced by \textit{H. Zhang} and \textit{W. W. Hager} [SIAM J. Optim. 14, No. 4, 1043--1056 (2004; Zbl 1073.90024)]. Its convergence is proven by using the theory of Euclidean Jordan algebras. Numerical experiments are also provided.
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second-order cone programming
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smoothing Newton algorithm
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non-monotone line search
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global convergence
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local quadratic convergence
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