An alternating direction method for second-order conic programming

被引：3

作者：

Mu, Xuewen ^{[1
]}

Zhang, Yaling ^{[2
]}

机构：

[1] Xidian Univ, Dept Math, Xian 710071, Peoples R China

[2] Xian Sci & Technol Univ, Dept Comp Sci, Xian 710054, Peoples R China

来源：

COMPUTERS & OPERATIONS RESEARCH | 2013年 / 40卷 / 07期

关键词：

Second-order cone programming; Dual augmented Lagrangian method; Alternating direction method; Primal-dual interior point method; NEWTON METHODS; DECOMPOSITION; OPTIMIZATION; CONVERGENCE; PROJECTION;

D O I：

10.1016/j.cor.2013.01.010

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

An alternating direction dual augmented Lagrangian method for second-order cone programming (SOCP) problems is proposed. In the algorithm, at each iteration it first minimizes the dual augmented Lagrangian function with respect to the dual variables, and then with respect to the dual slack variables while keeping the other two variables fixed, and then finally it updates the Lagrange multipliers. Convergence result is given. Numerical results demonstrate that our method is fast and efficient, especially for the large-scale second-order cone programming. (C) 2013 Elsevier Ltd. All rights reserved.

引用

页码：1752 / 1757

页数：6

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