Extension of the LP-Newton method to conic programming problems via semi-infinite representation
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Publication:2225528
DOI10.1007/S11075-020-00933-6zbMATH Open1464.90102arXiv1902.01004OpenAlexW3019171275MaRDI QIDQ2225528FDOQ2225528
Authors: Mirai Tanaka, Takayuki Okuno 
Publication date: 8 February 2021
Published in: Numerical Algorithms (Search for Journal in Brave)
Abstract: The LP-Newton method solves the linear programming problem (LP) by repeatedly projecting a current point onto a certain relevant polytope. In this paper, we extend the algorithmic framework of the LP-Newton method to the second-order cone programming problem (SOCP) via a linear semi-infinite programming (LSIP) reformulation of the given SOCP. In the extension, we produce a sequence by projection onto polyhedral cones constructed from LPs obtained by finitely relaxing the LSIP. We show the global convergence property of the proposed algorithm under mild assumptions, and investigate its efficiency through numerical experiments comparing the proposed approach with the primal-dual interior-point method for the SOCP.
Full work available at URL: https://arxiv.org/abs/1902.01004
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