A non-interior point continuation algorithm based on orthogonal projection for second-order cone programming

作者：Fang, Liang^*; Hu, Yunhong; Feng, Zengzhe; He, Guoping

来源：5th International Conference on Natural Computation, ICNC 2009, Tianjian, China, 2009-08-14 to 2009-08-16.

DOI：10.1109/ICNC.2009.168

• Continuation algorithm
• Globally convergent
• Numerical results
• Optimality conditions
• Orthogonal projection
• Projection equations
• Second-order cone programming
• System of linear equations

Based on orthogonal projection, a non-interior point continuation algorithm for second-order cone programming problems is proposed and analyzed. The main idea of the method is that we reformulate the complementary condition in the optimality conditions as a projection equation. Using this reformulation, we only need to solve a system of linear equations, compute two simple projections and perform one line search at each iteration. The algorithm can start from an arbitrary initial point, and doesn 't need that A has full row rank. The method is globally convergent under mild conditions. Preliminary numerical results demonstrate the effectiveness of the algorithm.

• 出版日期2009
• 单位上海交通大学; 山东科技大学