Interior Proximal Algorithm with Variable Metric for Second-Order Cone Programming: Applications to Structural Optimization and Support Vector Machines

In this work, we propose an inexact interior proximal type algorithm for solving convex second-order cone programs. This kind of problems 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 distance variable metric, which is induced … Read more