Abstract
A VU-decomposition method for solving a second-order cone problem is presented in this paper. It is first transformed into a nonlinear programming problem. Then, the structure of the Clarke subdifferential corresponding to the penalty function and some results of its VU-decomposition are given. Under a certain condition, a twice continuously differentiable trajectory is computed to produce a second-order expansion of the objective function. A conceptual algorithm for solving this problem with a superlinear convergence rate is given.
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Communicated by He-xiang LÜ
Project supported by the National Natural Science Foundation of China (No. 10771026) and the Foundation of Dalian University of Technology (Nos. MXDUT73008 and MXDUT98009)
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Lu, Y., Pang, Lp. & Xia, Zq. A VU-decomposition method for a second-order cone programming problem. Appl. Math. Mech.-Engl. Ed. 31, 263–270 (2010). https://doi.org/10.1007/s10483-010-0214-6
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DOI: https://doi.org/10.1007/s10483-010-0214-6