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|Title:||Solving second order cone programming via a reduced augmented system approach|
Second order cone programming
|Source:||Cai, Z., Toh, K.-C. (2006). Solving second order cone programming via a reduced augmented system approach. SIAM Journal on Optimization 17 (3) : 711-737. ScholarBank@NUS Repository. https://doi.org/10.1137/040614797|
|Abstract:||The standard Schur complement equation-based implementation of interior-point methods for second order cone programming may encounter stability problems in the computation of search directions, and as a consequence, accurate approximate optimal solutions are sometimes not attainable. Based on the eigenvalue decomposition of the (1,1) block of the augmented equation, a reduced augmented equation approach is proposed to ameliorate the stability problems. Numerical experiments show that the new approach can achieve more accurate approximate optimal solutions than the Schur complement equation-based approach. © 2006 Society for Industrial and Applied Mathematics.|
|Source Title:||SIAM Journal on Optimization|
|Appears in Collections:||Staff Publications|
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