A large-update primal-dual interior-point algorithm for second-order cone optimization based on a new proximity function

作者：Fathi Hafshejani S; Mansouri H^*; Peyghami M Reza

来源：Optimization, 2016, 65(7): 1477-1496.

DOI：10.1080/02331934.2016.1147034

• Second-order cone optimization problem
• primal-dual interior-point methods
• kernel function

In this paper, we propose a large-update primal-dual interior-point algorithm for second-order cone optimization (SOCO) based on a class of kernel functions consisting of a trigonometric barrier term. The algorithm starts from a strictly feasible point and generates a sequence of points converging to an optimal solution of the problem. Using a simple analysis, we show that the algorithm has O(root N log N log N/is an element of) worst case iteration complexity for large-update primal-dual interior point methods which coincides with the so far best-known iteration bound for SOCO.

• 出版日期2016