VU-Decomposition Method for a Second-Order Cone Programming Problem
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摘要: 给出解决二阶锥规划(SOCP)问题的VU-分解方法.问题首先被转化为非线性规划,并给出相应的精确罚函数的Clarke次微分结构及VU-空间分解.在某种条件下,可以计算出一个二阶连续可微的轨道,进而得到目标函数f在其上的二阶展开.最后给出一个具有超线性收敛速度的概念型算法.
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关键词:
- 二阶锥规划 /
- 非光滑优化 /
- VU-分解 /
- U-Lagrange函数
Abstract: A VU-decomposition method for solving a second-order coneproblem was presented.First of all,this problem was trans formed into a nonlinear programming problem.Then the structure of Clarke subdifferen tial corresponding to penalty function and some results of its VU-decomposition were given.Under certain condition,a twice continuously differen tiable trajectory could be computed for yielding a second-order expansion of the objective functionf.A conceptual algorithm for solving this problem with a superlinear convergence rate was given.-
Key words:
- second-order cone programming /
- nonsmooth optimization /
- VU-decomposition /
- U-L agrangian
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