二阶锥规划的光滑牛顿算法  

A Smoothing Newton Method for Second-order Cone Programming

作　　者：吴水艳[1] 

机构地区：[1]咸阳师范学院数学与信息科学学院,陕西咸阳712000

出　　处：《咸阳师范学院学报》2012年第4期14-18,共5页Journal of Xianyang Normal University

基　　金：陕西省教育厅科研基金项目(11JK1050)

摘　　要：基于光滑Fischer-Burmeister函数,给出一个求解二阶锥规划的光滑牛顿算法。算法对于初始点的选取没有任何限制,并且在每一步迭代时只需要求解一个线性方程组,只进行一次线搜索。同时在不满足严格互补的条件下,证明了算法是全局收敛的和局部二次收敛的。数值试验结果表明算法的有效性。Based on the Fischer-Burmeister smoothing function, a smoothing Newton method is presented for solving the second-order cone programming. The proposed algorithm does not have re- strictions regarding its starting point, and solves only one linear system of equations and performs only one line search at each iteration. Without requiring strict complementarity assumption, the proposed al- gorithm is proved to be globally and locally quadratically convergent under suitable assumptions. Nu- merical results indicate that the algorithm is efficient in practical comnutation.

关 键 词：二阶锥规划 光滑牛顿法 光滑函数 全局收敛 局部二次收敛 

分 类 号：O221.2[理学—运筹学与控制论]