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A primal-dual interior point method for nonlinear optimization over second order cones

Hiroshi Yamashita (hy***at***msi.co.jp)
Hiroshi Yabe (yabe***at***rs.kagu.tus.ac.jp)

Abstract: In this paper, we are concerned with nonlinear minimization problems with second order cone constraints. A primal-dual interior point method is proposed for solving the problems. We also propose a new primal-dual merit function by combining the barrier penalty function and the potential function within the framework of the line search strategy, and show the global convergence property of our method.

Keywords: constrained optimization, second order cone, primal-dual interior point method

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Category 2: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

Citation: Mathematical Systems Inc. 2-4-3,Shinjuku, Shinjuku-ku, Tokyo, Japan April/2005

Download: [PDF]

Entry Submitted: 07/04/2005
Entry Accepted: 07/05/2005
Entry Last Modified: 07/04/2005

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