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Original Articles

A corrector–predictor path-following method for second-order cone optimization

Pages 2064-2078 | Received 29 May 2014, Accepted 13 Aug 2015, Published online: 23 Sep 2015
 

Abstract

In this paper, we present a corrector–predictor path-following interior-point method for second-order cone optimization (SOCO) based on a new proximity measure. The algorithm produces a sequence of iterates in a neighbourhood of the central path based on a new proximity measure. We show that the algorithm is well-defined and derive the complexity bound for the algorithm. We obtain the best-known result for SOCO. The numerical results show that the proposed algorithm is effective.

2010 AMS Subject Classification:

Disclosure statement

No potential conflict of interest was reported by the authors.

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