-

 

 

 




Optimization Online





 

A primal-dual interior-point algorithm for nonsymmetric exponential-cone optimization.

Joachim Dahl(joachim.dahl***at***mosek.com)
Erling Andersen, D.(e.d.andersen***at***mosek.com)

Abstract: A new primal-dual interior-point algorithm applicable to nonsymmetric conic optimization is proposed. It is a generalization of the famous algorithm suggested by Nesterov and Todd for the symmetric conic case, and uses primal-dual scalings for nonsymmetric cones proposed by Tuncel. We specialize Tuncel's primal-dual scalings for the important case of 3 dimensional exponential-cones, resulting in a practical algorithm with good numerical performance, on level with standard symmetric cone (e.g., quadratic cone) algorithms. A significant contribution of the paper is a novel higher-order search direction, similar in spirit to a Mehrotra corrector for symmetric cone algorithms. To a large extent, the efficiency of our proposed algorithm can be attributed to this new corrector.

Keywords: cone programming, exponential cone

Category 1: Linear, Cone and Semidefinite Programming

Citation: Unpublished, Technical Report, May 2019, MOSEK ApS, Fruebjergvej 3, 2100 Copenhagen O, Denmark.

Download: [PDF]

Entry Submitted: 05/27/2019
Entry Accepted: 05/27/2019
Entry Last Modified: 05/27/2019

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society