A smoothing Newton method for second-order cone optimization based on a new smoothing function

作者：Tang, Jingyong^*; He, Guoping; Dong, Li; Fang, Liang

来源：Applied Mathematics and Computation, 2011, 218(4): 1317-1329.

DOI：10.1016/j.amc.2011.06.015

• Second-order cone optimization
• Smoothing Newton method
• Global convergence
• Quadratic convergence

A new smoothing function is given in this paper by smoothing the symmetric perturbed Fischer-Burmeister function. Based on this new smoothing function, we present a smoothing Newton method for solving the second-order cone optimization (SOCO). The method solves only one linear system of equations and performs only one line search at each iteration. Without requiring strict complementarity assumption at the SOCO solution, the proposed algorithm is shown to be globally and locally quadratically convergent. Numerical results demonstrate that our algorithm is promising and comparable to interior-point methods.

• 出版日期2011-10-15
• 单位山东科技大学; 泰山学院; 信阳师范学院; 上海交通大学