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求解二次锥规划问题的非精确光滑算法

Inexact Smoothing Algorithm for Solving Second-Order Cone Programming Problems
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摘要 针对大规模二次锥规划问题提出一种非精确光滑算法.该算法允许搜索方向有一定的误差,在选择步长时采用非单调线性搜索策略.证明了从任意点出发能得到算法的局部二次收敛速率. A new inexact smoothing algorithm for solving large-scale second-order cone programming problems （SOCP） was proposed. This algorithm allows the search direction to have the certain error, and the non- monotone linear strategy is used to select the step length. The algorithm can get its local quadratic convergence from any point.
作者 于桃艳 刘三阳 蔡晓娜 张菲
机构地区 西安电子科技大学理学院
出处 《吉林大学学报（理学版）》 CAS CSCD 北大核心 2012年第5期881-886,共6页 Journal of Jilin University:Science Edition
基金 国家自然科学基金(批准号:60974082) "无线传感器网络功率控制与优化研究国家重点实验室"专项科研基金(批准号:ISN02080003)
关键词 二次锥规划问题 非精确光滑算法 局部二次收敛 second-order cone programming problems inexact smoothing algorithm local quadraticconvergence
分类号 O29 [理学—应用数学]
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参考文献10

  • 1Alizadeh F, Goldfarb D. Second-Order Cone Programming [ J]. Mathematical Programming, 2003, 95: 3-51.
  • 2Debnath R, Muramatsu M, Takahashi H. An Effcient Support Vector Machine Learning Method with Second-Order Cone Programming for Large-Scale Problems [ J ]. Applied Intelligence, 2005, 23 ( 3 ) : 219-239.
  • 3Shivaswamy P K, Bhattacharyya C, Smola A J. Second Order Cone Programming Approaches for Handling Missing and Uncertain Data [J]. Journal of Machine Learning Research, 2006, 7: 1283-1314.
  • 4KUO Yu-ju, Mittelmann H D. Interior Point Methods for Second-Order Cone Programming and OR Applications [ J ]. Computational Optimization and Applications, 2004, 28 (3) : 255-285.
  • 5LIANG Fang, HE Guo-ping. A New Non-interior Contimuation Method for Second-Order Cone Programming [ J]. International Joint Conference on Computational Sciences and Optimization, 2009, 2: 719-722.
  • 6PAN Shao-hua, CHEN Jein-shan. A Linearly Convergent Derivative-Free Descent Method for the Second-Order Cone Complementarity Problem [ J]. Optimization, 2010, 59 (8) : 1173-1197.
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  • 8Fukushima M, LUO Zhi-quan, Tseng P. Smoothing Functions for Second-Order-Cone Complimentarity Problems [ J ]. SIAM Journal on Optimization, 2002, 12(2) : 436-460.
  • 9RUI Shao-ping, XU Cheng-xian. Inexact Non-interior Continuation Method for Solving Large-Scale Monotone SDCP [ J]. Applied Mathematics and Computation, 2009, 215 (7) : 2521-2527.
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吉林大学学报（理学版）
2012年 第5期

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