An Active Set Method for Single-Cone Second-Order Cone Programs
نویسندگان
چکیده
منابع مشابه
An Active Set Method for Single-Cone Second-Order Cone Programs
We develop an active set method for solving second-order cone programs that may have an arbitrary number of linear constraints but are restricted to have only one second-order cone constraint. Problems of this form arise in the context of robust optimization and trust region methods. The proposed active set method exploits the fact that a second-order cone program with only one second-order con...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2006
ISSN: 1052-6234,1095-7189
DOI: 10.1137/040612592