A sensitivity result for quadratic second-order cone programming and its application
Qi Zhao; Wenhao Fu; Zhongwen Chen
Applications of Mathematics (2021)
- Volume: 66, Issue: 3, page 413-436
- ISSN: 0862-7940
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topZhao, Qi, Fu, Wenhao, and Chen, Zhongwen. "A sensitivity result for quadratic second-order cone programming and its application." Applications of Mathematics 66.3 (2021): 413-436. <http://eudml.org/doc/297586>.
@article{Zhao2021,
abstract = {In this paper, we present a sensitivity result for quadratic second-order cone programming under the weak form of second-order sufficient condition. Based on this result, we analyze the local convergence of an SQP-type method for nonlinear second-order cone programming. The subproblems of this method at each iteration are quadratic second-order cone programming problems. Compared with the local convergence analysis done before, we do not need the assumption that the Hessian matrix of the Lagrangian function is positive definite. Besides, the iteration sequence which is proved to be superlinearly convergent does not contain the Lagrangian multiplier.},
author = {Zhao, Qi, Fu, Wenhao, Chen, Zhongwen},
journal = {Applications of Mathematics},
keywords = {sensitivity; quadratic second-order cone programming; nonlinear second-order cone programming; local convergence},
language = {eng},
number = {3},
pages = {413-436},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {A sensitivity result for quadratic second-order cone programming and its application},
url = {http://eudml.org/doc/297586},
volume = {66},
year = {2021},
}
TY - JOUR
AU - Zhao, Qi
AU - Fu, Wenhao
AU - Chen, Zhongwen
TI - A sensitivity result for quadratic second-order cone programming and its application
JO - Applications of Mathematics
PY - 2021
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 66
IS - 3
SP - 413
EP - 436
AB - In this paper, we present a sensitivity result for quadratic second-order cone programming under the weak form of second-order sufficient condition. Based on this result, we analyze the local convergence of an SQP-type method for nonlinear second-order cone programming. The subproblems of this method at each iteration are quadratic second-order cone programming problems. Compared with the local convergence analysis done before, we do not need the assumption that the Hessian matrix of the Lagrangian function is positive definite. Besides, the iteration sequence which is proved to be superlinearly convergent does not contain the Lagrangian multiplier.
LA - eng
KW - sensitivity; quadratic second-order cone programming; nonlinear second-order cone programming; local convergence
UR - http://eudml.org/doc/297586
ER -
References
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