Second-Order Cone Programming

A primal-dual interior-point method based on various selections of displacement step for second-order cone programming

  • Baha Alzalg
    • Categories Second-Order Cone Programming Tags , , , ,

    In this paper, a primal-dual interior-point method equipped with various selections of the displacement step are derived for solving second-order cone programming problems. We first establish the existence and uniqueness of the optimal solution of the corresponding perturbed problem and then demonstrate its convergence to the optimal solution of the original problem. Next, we present … Read more

    Warm-start of interior point methods for second order cone optimization via rounding over optimal Jordan frames

  • Sertalp B. Çay
  • Imre Pólik
  • Tamás Terlaky
    • Categories Branch and Cut Algorithms, Second-Order Cone Programming Tags , , , ,

    Interior point methods (IPM) are the most popular approaches to solve Second Order Cone Optimization (SOCO) problems, due to their theoretical polynomial complexity and practical performance. In this paper, we present a warm-start method for primal-dual IPMs to reduce the number of IPM steps needed to solve SOCO problems that appear in a Branch and … Read more

    From Data to Decisions: Distributionally Robust Optimization is Optimal

  • Daniel Kuhn
  • Bart Paul Gerard Van Parys
  • Peyman Mohajerin Esfahani
    • Categories Robust Optimization, Second-Order Cone Programming, Stochastic Programming Tags , , , , ,

    We study stochastic programs where the decision-maker cannot observe the distribution of the exogenous uncertainties but has access to a finite set of independent samples from this distribution. In this setting, the goal is to find a procedure that transforms the data to an estimate of the expected cost function under the unknown data-generating distribution, … Read more

    On the Fermat point of a triangle

  • Jakob Krarup
  • Cornelis Roos
    • Categories Second-Order Cone Programming Tags , ,

    For a given triangle $\triangle ABC$, Pierre de Fermat posed around 1640 the problem of finding a point $P$ minimizing the sum $s_P$ of the Euclidean distances from $P$ to the vertices $A$, $B$, $C$. Based on geometrical arguments this problem was first solved by Torricelli shortly after, by Simpson in 1750, and by several … Read more

    An Extension of Chubanov’s Polynomial-Time Linear Programming Algorithm to Second-Order Cone Programming

  • Tomonari Kitahara
  • Takashi Tsuchiya
    • Categories Second-Order Cone Programming Tags , ,

    Recently, Chubanov proposed an interesting new polynomial-time algorithm for linear program. In this paper, we extend his algorithm to second-order cone programming. Article Download View An Extension of Chubanov's Polynomial-Time Linear Programming Algorithm to Second-Order Cone Programming

    A Complete Characterization of Disjunctive Conic Cuts for Mixed Integer Second Order Cone Optimization

  • Pietro Belotti
  • Julio C. Góez
  • Imre Pólik
  • Ted K. Ralphs
  • Tamás Terlaky
    • Categories (Mixed) Integer Nonlinear Programming, Second-Order Cone Programming Tags , ,

    We study the convex hull of the intersection of a disjunctive set defined by parallel hyperplanes and the feasible set of a mixed integer second order cone optimization problem. We extend our prior work on disjunctive conic cuts, which has thus far been restricted to the case in which the intersection of the hyperplanes and … Read more

    Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information

  • Ruiwei Jiang
  • Siqian Shen
  • Yiling Zhang
    • Categories 0-1 Programming, Second-Order Cone Programming, Stochastic Programming

    We consider chance-constrained binary programs, where each row of the inequalities that involve uncertainty needs to be satis ed probabilistically. Only the information of the mean and covariance matrix is available, and we solve distributionally robust chance-constrained binary programs (DCBP). Using two different ambiguity sets, we equivalently reformulate the DCBPs as 0-1 second-order cone (SOC) programs. … Read more

    A Second-Order Cone Based Approach for Solving the Trust Region Subproblem and Its Variants

  • Nam Ho-Nguyen
  • Fatma Kılınç-Karzan
    • Categories Constrained Nonlinear Optimization, Quadratic Programming, Second-Order Cone Programming Tags , , , ,

    We study the trust region subproblem (TRS) of minimizing a nonconvex quadratic function over the unit ball with additional conic constraints. Despite having a nonconvex objective, it is known that the TRS and a number of its variants are polynomial-time solvable. In this paper, we follow a second-order cone based approach to derive an exact … Read more

    Two-sided linear chance constraints and extensions

  • Daniel Bienstock
  • Miles Lubin
  • Juan Pablo Vielma
    • Categories Convex Optimization, Second-Order Cone Programming, Stochastic Programming

    We examine the convexity and tractability of the two-sided linear chance constraint model under Gaussian uncertainty. We show that these constraints can be applied directly to model a larger class of nonlinear chance constraints as well as provide a reasonable approximation for a challenging class of quadratic chance constraints of direct interest for applications in … Read more

    A relaxed-certificate facial reduction algorithm based on subspace intersection

  • Henrik A. Friberg
    • Categories Linear, Cone and Semidefinite Programming, Second-Order Cone Programming Tags , , ,

    A “facial reduction”-like regularization algorithm is established for conic optimization problems by relaxing requirements on the reduction certificates. It requires only a linear number of reduction certificates from a constant time-solvable auxiliary problem, but is challenged by representational issues of the exposed reductions. A condition for representability is presented, analyzed for Cartesian product cones, and … Read more