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Solving second order cone programming via a reduced augmented system approach. (English) Zbl 1128.90045

Summary: The standard Schur complement equation-based implementation of interior-point methods for second order cone programming may encounter stability problems in the computation of search directions, and as a consequence, accurate approximate optimal solutions are sometimes not attainable. Based on the eigenvalue decomposition of the \((1,1)\) block of the augmented equation, a reduced augmented equation approach is proposed to ameliorate the stability problems. Numerical experiments show that the new approach can achieve more accurate approximate optimal solutions than the Schur complement equation-based approach.

MSC:

90C20 Quadratic programming
90C22 Semidefinite programming
90C51 Interior-point methods
65K05 Numerical mathematical programming methods

Software:

SeDuMi; mctoolbox; SDPT3; MA47