A relaxed-certificate facial reduction algorithm based on subspace intersection

A “facial reduction”-like regularization algorithm is established for general conic optimization problems by relaxing requirements on the reduction certificates. This yields a rapid subspace reduction algorithm challenged only by representational issues of the regularized cone. A condition for pract...

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Bibliographic Details
Published inOperations research letters Vol. 44; no. 6; pp. 718 - 722
Main Author Friberg, Henrik A.
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.11.2016
Subjects
Conic optimization
Facial reduction
Second-order cones
Subspace intersection
Subspace intersection
Facial reduction
Conic optimization
Second-order cones
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Summary:A “facial reduction”-like regularization algorithm is established for general conic optimization problems by relaxing requirements on the reduction certificates. This yields a rapid subspace reduction algorithm challenged only by representational issues of the regularized cone. A condition for practical usage is analyzed and shown to always be satisfied for single second-order cone optimization problems. Should the condition fail on some other class of instances, only partial regularization is achieved based on the success of the individual subspace intersection.
ISSN:0167-6377
1872-7468
DOI:10.1016/j.orl.2016.08.004