An algorithm for nonsymmetric conic optimization inspired by MOSEK

DOI10.1080/10556788.2021.1882457MaRDI QIDQ5043851zbMATH OpenOpenAlexFDO

Authors Riley Badenbroek, Joachim Dahl

Publication date 6 October 2022

Published in Optimization Methods \& Software (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2003.01546

zbMATH Keywords

interior point methodhomogeneous modelconic optimizationself-dual embeddingnonsymmetric conesMOSEK

Mathematics Subject Classification ID

Nonlinear programming (90C30) Interior-point methods (90C51)

Abstract: We analyze the scaling matrix, search direction, and neighborhood used in MOSEK's algorithm for nonsymmetric conic optimization [Dahl and Andersen, 2019]. It is proven that these can be used to compute a near-optimal solution to the homogeneous self-dual model in polynomial time.

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Cited in

(2)

• Interior-point algorithms with full Newton steps for nonsymmetric convex conic optimization
• A homogeneous interior-point algorithm for nonsymmetric convex conic optimization

Describes a project that uses

Uses Software

• Mosek
• SDPHA

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