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| Indexado |
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| DOI | 10.1080/10556780903483356 | ||||
| Año | 2010 | ||||
| Tipo | artículo de investigación |
Citas Totales
Autores Afiliación Chile
Instituciones Chile
% Participación
Internacional
Autores
Afiliación Extranjera
Instituciones
Extranjeras
In this work, we propose an inexact interior proximal-type algorithm for solving convex second-order cone programs. This kind of problem consists of minimizing a convex function (possibly nonsmooth) over the intersection of an affine linear space with the Cartesian product of second-order cones. The proposed algorithm uses a variable metric, which is induced by a class of positive-definite matrices and an appropriate choice of regularization parameter. This choice ensures the well definedness of the proximal algorithm and forces the iterates to belong to the interior of the feasible set. Also, under suitable assumptions, it is proven that each limit point of the sequence generated by the algorithm solves the problem. Finally, computational results applied to structural optimization and support vector machines are presented.
| Ord. | Autor | Género | Institución - País |
|---|---|---|---|
| 1 | ALVAREZ-DAZIANO, FELIPE | Hombre |
Universidad de Chile - Chile
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| 2 | LOPEZ-LUIS, JULIO CESAR | Hombre |
Universidad de Chile - Chile
|
| 3 | RAMIREZ-ESTAY, HECTOR | Hombre |
Universidad de Chile - Chile
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| Fuente |
|---|
| Fondo Nacional de Desarrollo Científico y Tecnológico |
| Comisión Nacional de Investigación Científica y Tecnológica |
| Comisión Nacional de Investigación CientÃfica y Tecnológica |
| Fondo Nacional de Desarrollo CientÃfico y Tecnológico |
| MIDEPLAN-Chile |
| Agradecimiento |
|---|
| The authors are grateful to the anonymous referees for their comments on the original manuscript. Their suggestions were very useful to improve this work. The authors also wish to thank Professor Paulo J.S. Silva for stimulating conversations and helpful comments. This work was partially supported by FONDECYT under grants 1050706 and 1070297, FONDAP inApplied Mathematics, BASAL project, and the Millennium Scientific Institute on Complex Engineering Systems funded by MIDEPLAN-Chile. The second author was also supported by CONICYT. |