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A homotopy method for nonlinear second-order cone programming

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Abstract

This paper is concerned with a homotopy method for solving nonlinear second-order cone programming problems. The method extends to this setting a combined homotopy interior point method, recently introduced for solving nonlinear programming problems. Global convergence of a smooth curve determined by constructed homotopy is proven under mild conditions. Some numerical results are reported and show that the considered algorithm is applicable and efficient.

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Authors and Affiliations

  1. Faculty of Management and Economics, Dalian University of Technology, Dalian, 116024, China

    Li Yang & YanXi Li

  2. School of Mathematical Sciences, Dalian University of Technology, Dalian, 116024, China

    Bo Yu

Authors
  1. Li Yang
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  2. Bo Yu
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  3. YanXi Li
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Corresponding author

Correspondence to Li Yang.

Additional information

The work was supported by the National Natural Science Foundation of China (11301050, 11171051, 91230103, 71172136).

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Yang, L., Yu, B. & Li, Y. A homotopy method for nonlinear second-order cone programming. Numer Algor 68, 355–365 (2015). https://doi.org/10.1007/s11075-014-9848-6

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  • DOI: https://doi.org/10.1007/s11075-014-9848-6

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