October  2011, 7(4): 891-906. doi: 10.3934/jimo.2011.7.891

A full-Newton step interior-point algorithm for symmetric cone convex quadratic optimization

1. 

Department of Mathematics, Shanghai University, 99, Shangda Road, 200444, Shanghai

2. 

Department of Mathematics, Shanghai University, Shanghai 200444, China

Received  November 2009 Revised  May 2011 Published  August 2011

In this paper, we present a full-Newton step primal-dual interior-point algorithm for solving symmetric cone convex quadratic optimization problem, where the objective function is a convex quadratic function and the feasible set is the intersection of an affine subspace and a symmetric cone lies in Euclidean Jordan algebra. The search directions of the algorithm are obtained from the modification of NT-search direction in terms of the quadratic representation in Euclidean Jordan algebra. We prove that the algorithm has a quadratical convergence result. Furthermore, we present the complexity analysis for the algorithm and obtain the complexity bound as $\left\lceil 2\sqrt{r}\log\frac{\mu^0 r}{\epsilon}\right\rceil$, where $r$ is the rank of Euclidean Jordan algebras where the symmetric cone lies in.
Citation: Yanqin Bai, Lipu Zhang. A full-Newton step interior-point algorithm for symmetric cone convex quadratic optimization. Journal of Industrial & Management Optimization, 2011, 7 (4) : 891-906. doi: 10.3934/jimo.2011.7.891
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show all references

References:
[1]

Algorithmica, 10 (1993), 365-382. doi: 10.1007/BF01769704.  Google Scholar

[2]

SIAM J. Optim., 15 (2004), 101-128. doi: 10.1137/S1052623403423114.  Google Scholar

[3]

Cambridge University Press, 2004. Google Scholar

[4]

Oxford Mathematical Monographs, Oxford Science Publications, The Clarendon Press, Oxford University Press, New York, 1994.  Google Scholar

[5]

Special issue dedicated to William B. Gragg (Monterey, CA, 1996), J. Comput. Appl. Math., 86 (1997), 149-175. doi: 10.1016/S0377-0427(97)00153-2.  Google Scholar

[6]

Math. Z., 239 (2002), 117-129. doi: 10.1007/s002090100286.  Google Scholar

[7]

Math. Program., Ser. A, 44 (1989), 43-66.  Google Scholar

[8]

Math. Oper. Res., 22 (1997), 1-42. doi: 10.1287/moor.22.1.1.  Google Scholar

[9]

Princeton Series in Applied Mathematics, Princeton University Press, Princeton, NJ, 2002.  Google Scholar

[10]

Wiley-Interscience Series in Discrete Mathematics and Optimization, John Wiley & Sons, Ltd., Chichester, 1997.  Google Scholar

[11]

Math. Program, Ser. A, 96 (2003), 409-438.  Google Scholar

[12]

Journal of Industrial and Management Optimization, 4 (2010), 895-910. Google Scholar

[13]

Ph.D thesis, Delft University of Technology, 2007. Google Scholar

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