An interior-point trust-region algorithm for general symmetric cone programming

被引：14
|
作者：
Lu, Ye
Yuan, Ya-Xiang
机构：
[1] MIT, Ctr Operat Res, Cambridge, MA 02139 USA
[2] Univ Notre Dame, Dept Math, Notre Dame, IN 46556 USA
[3] Chinese Acad Sci, LSEC, ICMSEC, AMSS, Beijing 100080, Peoples R China
来源：
SIAM JOURNAL ON OPTIMIZATION | 2007年 / 18卷 / 01期
关键词：
interior; point algorithm; trust-region subproblem; symmetric cone;
D O I：
10.1137/040611756
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
An interior-point trust-region algorithm is proposed for minimizing a general (non-convex) quadratic objective function in the intersection of a symmetric cone and an affine subspace. The algorithm uses a trust-region model to ensure descent on a suitable merit function. Global first-order and second-order convergence results are proved. Numerical results are presented.
引用
收藏
页码：65 / 86
页数：22
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