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A barrier-based smoothing proximal point algorithm for NCPs over closed convex cones.

หน่วยงาน Nanyang Technological University, Singapore

รายละเอียด

ชื่อเรื่อง : A barrier-based smoothing proximal point algorithm for NCPs over closed convex cones.
นักวิจัย : Chua, Chek Beng. , Li, Zhen.
คำค้น : -
หน่วยงาน : Nanyang Technological University, Singapore
ผู้ร่วมงาน : -
ปีพิมพ์ : 2556
อ้างอิง : Chua, C. B.,& Li, Z. (2013). A Barrier-Based Smoothing Proximal Point Algorithm for NCPs over Closed Convex Cones. SIAM Journal on Optimization, 23(2), 745-769. , http://hdl.handle.net/10220/13174 , http://dx.doi.org/10.1137/12087565X
ที่มา : -
ความเชี่ยวชาญ : -
ความสัมพันธ์ : SIAM journal on optimization
ขอบเขตของเนื้อหา : -
บทคัดย่อ/คำอธิบาย :

We present a new barrier-based method of constructing smoothing approximations for the Euclidean projector onto closed convex cones. These smoothing approximations are used in a smoothing proximal point algorithm to solve monotone nonlinear complementarity problems (NCPs) over a convex cone via the normal map equation. The smoothing approximations allow for the solution of the smoothed normal map equations with Newton's method and do not require additional analytical properties of the Euclidean projector. The use of proximal terms in the algorithm adds stability to the solution of the smoothed normal map equation and avoids numerical issues due to ill-conditioning at iterates near the boundary of the cones. We prove a sufficient condition on the barrier used that guarantees the convergence of the algorithm to a solution of the NCP. The sufficient condition is satisfied by all logarithmically homogeneous barriers. Preliminary numerical tests on semidefinite programming problems show that our algorithm is comparable with the Newton-CG augmented Lagrangian algorithm proposed in [X. Y. Zhao, D. Sun, and K.-C. Toh, SIAM J. Optim., 20 (2010), pp. 1737--1765].

บรรณานุกรม :
Chua, Chek Beng. , Li, Zhen. . (2556). A barrier-based smoothing proximal point algorithm for NCPs over closed convex cones..
    กรุงเทพมหานคร : Nanyang Technological University, Singapore.
Chua, Chek Beng. , Li, Zhen. . 2556. "A barrier-based smoothing proximal point algorithm for NCPs over closed convex cones.".
    กรุงเทพมหานคร : Nanyang Technological University, Singapore.
Chua, Chek Beng. , Li, Zhen. . "A barrier-based smoothing proximal point algorithm for NCPs over closed convex cones.."
    กรุงเทพมหานคร : Nanyang Technological University, Singapore, 2556. Print.
Chua, Chek Beng. , Li, Zhen. . A barrier-based smoothing proximal point algorithm for NCPs over closed convex cones.. กรุงเทพมหานคร : Nanyang Technological University, Singapore; 2556.