二次锥规划的预估-校正光滑方法  

A PREDICTOR-CORRECTOR SMOOTHING METHOD FOR SECOND ORDER CONE PROGRAMMING

作　　者：迟晓妮[1] 刘三阳[2] 

机构地区：[1]黄冈师范学院数学与信息科学学院,黄州438000 [2]西安电子科技大学数学科学系,西安710071

出　　处：《系统科学与数学》2009年第4期547-554,共8页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(60574075;60674108);湖北省教育厅优秀中青年人才项目;黄冈师范学院博士基金项目(08cd158)资助课题.

摘　　要：基于光滑Fischer-Burmeister函数,给出一个求解二次锥规划的预估-校正光滑牛顿法.该算法构造一个等价于最优性条件的非线性方程组,再用牛顿法求解此方程组的扰动.在适当的假设下,证明算法是全局收敛且是局部二阶收敛的.数值试验表明算法的有效性.Based on the Fischer-Burmeister smoothing function, a predietor-corrector smoothing Newton method is presented for solving the second-order cone programming （SOCP）. With this method, the SOCP is reconstructed as a nonlinear system of equations and then the Newton＇s method is used to the perturbation of this system of equations. It is shown that the method is globally and locally quadratically convergent under suitable assumptions. Numerical results show the effectiveness of the method.

关 键 词：二次锥规划 光滑牛顿法 全局收敛 局部二阶收敛. 

分 类 号：O221[理学—运筹学与控制论]