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Seminar No.1665 Quadratic convergence to the optimal solution of second order conic optimization

Created Date 6/11/2018 福平   View Numbers  242 Return    
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Title: Quadratic convergence to the optimal solution of second order conic optimization
Reporter: Prof. Tamás Terlaky (Lehigh University, USA)
Time: 2018-6-14 (Thursday) 14:00
Place: G507

Abstract: In this paper, we establish the quadratic convergence of Newton's method to the unique maximally complementary optimal solution of second-order conic optimization, when strict complementarity fails. Only very few approaches have been proposed to remedy the failure of strict complementarity, mostly based on nonsmooth analysis of the optimality conditions. Our local convergence result depends on the optimal partition of the problem, which can be identifi ed from a bounded sequence of interior solutions. We provide a theoretical complexity bound for identifying the quadratic convergence region of Newton's method from the trajectory of central solutions.

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