×

A predictor-corrector smoothing method for second order cone programming. (Chinese. English summary) Zbl 1183.90322

Summary: Based on the Fischer-Burmeister smoothing function, a predictor-corrector smoothing Newton method is presented for solving a second-order cone programming (SOCP). With this method, the SOCP is reconstructed as a nonlinear system of equations and then the Newton method is used to the perturbation of this system of equations. It is shown that the method is globally and locally quadratically convergent under suitable assumptions. Numerical results show the effectiveness of the method.

MSC:

90C25 Convex programming
90C20 Quadratic programming
65K05 Numerical mathematical programming methods
PDFBibTeX XMLCite