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Recursive Construction of Optimal Self-Concordant Barriers for Homogeneous Cones

Olena Shevchenko(olenashevchenko***at***gmail.com)

Abstract: In this paper, we give a recursive formula for optimal dual barrier functions on homogeneous cones. This is done in a way similar to the primal construction of Guler and Tuncel by means of the dual Siegel cone construction of Rothaus. We use invariance of the primal barrier function with respect to a transitive subgroup of automorphisms and the properties of the duality mapping, which is a bijection between the primal and the dual cones. We give simple direct proofs of self-concordance of the primal optimal barrier and provide an alternative expression for the dual universal barrier function.

Keywords: optimal self-concordant barrier, duality, homogeneous, Siegel Cone, Legendre-Fenchel transformation

Category 1: Linear, Cone and Semidefinite Programming


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Entry Submitted: 12/17/2006
Entry Accepted: 12/17/2006
Entry Last Modified: 12/17/2006

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