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A new smoothing Newton-type method for second-order cone programming problems |
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| Authors: | Liang Fang Guoping He Yunhong Hu |
| Affiliation: | aCollege of Mathematics and Systems Science, Taishan University, 271021 Tai’an, PR China;bDepartment of Mathematics, Shanghai Jiao Tong University, 200240 Shanghai, PR China;cCollege of Information Science and Engineering, Shandong University of Science and Technology, 266510 Qingdao, PR China;dDepartment of Applied Mathematics, Yuncheng University, 044000 Yuncheng, PR China |
| Abstract: | A new smoothing function of the well-known Fischer–Burmeister function is given. Based on this new function, a smoothing Newton-type method is proposed for solving second-order cone programming. At each iteration, the proposed algorithm solves only one system of linear equations and performs only one line search. This algorithm can start from an arbitrary point and it is Q-quadratically convergent under a mild assumption. Numerical results demonstrate the effectiveness of the algorithm. |
| Keywords: | Second-order cone programming Smoothing method Interior-point method Q-quadratic convergence Central path |
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