A new one-step smoothing Newton method for second-order cone programming. (Q713481)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new one-step smoothing Newton method for second-order cone programming. |
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A new one-step smoothing Newton method for second-order cone programming. (English)
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29 October 2012
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The paper deals with the second-order cone programming (SOCP) problem. The authors present a one-step smoothing Newton method for solving the SOCP problem based on a new smoothing function of the Fischer-Burmeister function. The algorithm solves only one system of linear equations and performs only one Armijo-type line-search per iteration. Global and local quadratic convergence under standard assumptions are proved. Numerical experiments demonstrate efficiency of the algorithm.
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Fischer-Burmeister function
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Euclidean Jordan algebra
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smoothing Newton method
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global convergence
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local quadratic convergence
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