The Q method for second order cone programming

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Abstract

We develop the Q method for the second order cone programming problem. The algorithm is the adaptation of the Q method for semidefinite programming originally developed by Alizadeh, Haeberly and Overton [A new primal-dual interior point method for semidefinite programming. In: Proceedings of the fifth SIAM conference on applications of linear algebra, Snowbird, Utah, 1994.] and [Primal-dual interior-point methods for semidefinite programming: convergence rates, stability and numerical results. SIAM Journal on Optimization 1998;8(3):746-68 [electronic].]. We take advantage of the special algebraic structure associated with second order cone programs to formulate the Q method. Furthermore we discuss the convergence properties of the algorithm. Finally, some numerical results are presented.

Original languageEnglish (US)
Pages (from-to)1510-1538
Number of pages29
JournalComputers and Operations Research
Volume35
Issue number5
DOIs
StatePublished - May 2008

All Science Journal Classification (ASJC) codes

  • Computer Science(all)
  • Modeling and Simulation
  • Management Science and Operations Research

Keywords

  • Infeasible interior point method
  • Second order cone programming
  • The Q method

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