DIFFERENTIABLE EXACT PENALTY FUNCTIONS FOR NONLINEAR SECOND-ORDER CONE PROGRAMS

被引：16

作者：

Fukuda, Ellen H. ^{[1
]}

Silva, Paulo J. S. ^{[1
]}

Fukushima, Masao ^{[2
]}

机构：

[1] Univ Estadual Campinas, Dept Appl Math, Inst Math Stat & Comp Sci, BR-13083859 Campinas, SP, Brazil

[2] Kyoto Univ, Grad Sch Informat, Dept Appl Math & Phys, Kyoto 6068501, Japan

来源：

SIAM JOURNAL ON OPTIMIZATION | 2012年 / 22卷 / 04期

基金：

日本学术振兴会; 巴西圣保罗研究基金会;

关键词：

nonlinear second-order cone program; exact penalty function; semi-smooth reformulation; generalized Newton method; AUGMENTED LAGRANGIAN METHOD; OPTIMIZATION PROBLEMS; COMPLEMENTARITY-PROBLEMS; NEWTON METHOD; CONVERGENCE ANALYSIS; SEMIDEFINITE; CONSTRAINTS; ALGORITHM; DUALITY;

D O I：

10.1137/110852401

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We propose a method for solving nonlinear second-order cone programs (SOCPs), based on a continuously differentiable exact penalty function. The construction of the penalty function is given by incorporating a multipliers estimate in the augmented Lagrangian for SOCPs. Under the nondegeneracy assumption and the strong second-order sufficient condition, we show that a generalized Newton method has global and superlinear convergence. We also present some preliminary numerical experiments.

引用

页码：1607 / 1633

页数：27

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