pith. sign in

arxiv: 2008.08047 · v3 · pith:Q3DCXRS3new · submitted 2020-08-18 · 🧮 math.OC

A geodesic interior-point method for linear optimization over symmetric cones

classification 🧮 math.OC
keywords linearconesconvergencegeodesicinterior-pointmethodoptimizationprogramming
0
0 comments X
read the original abstract

We develop a new interior-point method (IPM) for symmetric-cone optimization, a common generalization of linear, second-order-cone, and semidefinite programming. In contrast to classical IPMs, we update iterates with a geodesic of the cone instead of the kernel of the linear constraints. This approach yields a primal-dual-symmetric, scale-invariant, and line-search-free algorithm that uses just half the variables of a standard primal-dual IPM. With elementary arguments, we establish polynomial-time convergence matching the standard square-root-n bound. Finally, we prove global convergence of a long-step variant and provide an implementation that supports all symmetric cones. For linear programming, our algorithms reduce to central-path tracking in the log domain.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.