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Sampling with respect to a class of measures arising in second-order cone optimization with rank constraints

Leonid Faybusovich (lfaybuso***at***yahoo.com)

Abstract: We describe a classof measures on second-order cones as a push-forward of the Cartesian product of a probabilistic measure on positive semi-line corresponding to Gamma distribution and the uniform measure on the sphere

Keywords: Jordan algebras, optimization, sampling

Category 1: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

Citation: report, Department of Mathematics, University of Notre Dame, July, 2011

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Entry Submitted: 08/24/2011
Entry Accepted: 08/24/2011
Entry Last Modified: 08/26/2011

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