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

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.

Keywords:

• second-order cone optimization
• corrector–predictor method
• polynomial complexity

2010 AMS Subject Classification:

• 90C51

Disclosure statement

No potential conflict of interest was reported by the authors.