An SQP-type algorithm for nonlinear second-order cone programs |
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Authors: | Hirokazu Kato Masao Fukushima |
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Institution: | (1) Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan |
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Abstract: | We propose an SQP-type algorithm for solving nonlinear second-order cone programming (NSOCP) problems. At every iteration,
the algorithm solves a convex SOCP subproblem in which the constraints involve linear approximations of the constraint functions
in the original problem and the objective function is a convex quadratic function. Those subproblems can be transformed into
linear SOCP problems, for which efficient interior point solvers are available. We establish global convergence and local
quadratic convergence of the algorithm under appropriate assumptions. We report numerical results to examine the effectiveness
of the algorithm.
This work was supported in part by the Scientific Research Grant-in-Aid from Japan Society for the Promotion of Science. |
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Keywords: | Nonlinear second-order cone programming problem SQP method Global convergence Quadratic convergence |
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