Di erentiable Exact Penalty Functions for Nonlinear Second-Order Cone Programs
نویسندگان
چکیده
We propose a method to solve nonlinear second-order cone programs (SOCPs), based on a continuously di erentiable exact penalty function. The construction of the penalty function is given by incorporating a multipliers estimate in the augmented Lagrangian for SOCPs. Under the nondegeneracy assumption and the strong second-order su cient condition, we show that a generalized Newton method has global and superlinear convergence. We also present some preliminary numerical experiments.
منابع مشابه
Differentiable Exact Penalty Functions for Nonlinear Second-Order Cone Programs
We propose a method for solving nonlinear second-order cone programs (SOCPs), based on a continuously differentiable exact penalty function. The construction of the penalty function is given by incorporating a multipliers estimate in the augmented Lagrangian for SOCPs. Under the nondegeneracy assumption and the strong second-order sufficient condition, we show that a generalized Newton method h...
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