|
|||||
|
|
A smoothing Newton method for second-order cone optimization based on a new smoothing function |
|
| Authors: | Jingyong Tang Guoping HeLi Dong Liang Fang |
| Affiliation: | a Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, PR China b College of Mathematics and Information Science, Xinyang Normal University, Xinyang 464000, PR China c College of Information Science and Engineering, Shandong University of Science and Technology, Qingdao 266510, PR China d College of Mathematics and System Science, Taishan University, Tai’an 271021, PR China |
| Abstract: | 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. |
| Keywords: | Second-order cone optimization Smoothing Newton method Global convergence Quadratic convergence |
| 本文献已被 ScienceDirect 等数据库收录！ | |