A primal-dual interior point method for nonlinear optimization over second-order cones

被引：26
|
作者：
Yamashita, Hiroshi [2 ]
Yabe, Hiroshi [1 ]
机构：
[1] Tokyo Univ Sci, Dept Math Informat Sci, Fac Sci, Shinjuku Ku, Tokyo, Japan
[2] Math Syst Inc, Shinjuku Ku, Tokyo, Japan
来源：
OPTIMIZATION METHODS & SOFTWARE | 2009年 / 24卷 / 03期
基金：
日本学术振兴会;
关键词：
constrained optimization; nonlinear SOCP; primal-dual interior point method; barrier penalty function; potential function; global convergence; CONSTRAINED OPTIMIZATION; ALGORITHMS; CONVERGENCE;
D O I：
10.1080/10556780902752447
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
In this paper, we are concerned with nonlinear minimization problems with second-order cone constraints. A primal-dual interior point method that uses a commutative class of search directions is considered. We propose a new primal-dual merit function by combining the barrier penalty function and the potential function within the framework of the line search strategy, and show the global convergence property of our method.
引用
收藏
页码：407 / 426
页数：20
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