Analysis of a non-monotone smoothing-type algorithm for the second-order cone programming

[摘要] The smoothing-type algorithm is a powerful tool for solving the second-order cone programming (SOCP), which is in general designed based on a monotone line search. In this paper, we propose a smoothing-type algorithm for solving the SOCP with a non-monotone line search. By using the theory of Euclidean Jordan algebras, we prove that the proposed algorithm is globally and locally quadratically convergent under suitable assumptions. The preliminary numerical results are also reported which indicate that the non-monotone smoothing-type algorithm is promising for solving the SOCP.

[学科分类] 应用数学

[关键词] second-order cone programming;smoothing Newton algorithm;non-monotone line search;convergence