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论文类型：期刊论文

发表时间：2011-05-01

发表刊物：COMPUTATIONAL OPTIMIZATION AND APPLICATIONS

收录刊物：SCIE、EI

卷号：49

期号：1

页面范围：61-99

ISSN号：0926-6003

关键字：Second order cone optimization; Augmented Lagrangian; Nonlinear Lagrange method

摘要：This paper focuses on the study of a class of nonlinear Lagrangians for solving nonconvex second order cone programming problems. The nonlinear Lagrangians are generated by Lowner operators associated with convex real-valued functions. A set of conditions on the convex real-valued functions are proposed to guarantee the convergence of nonlinear Lagrangian algorithms. These conditions are satisfied by well-known nonlinear Lagrangians appeared in the literature. The convergence properties for the nonlinear Lagrange method are discussed when subproblems are assumed to be solved exactly and inexactly, respectively. The convergence theorems show that, under the second order sufficient conditions with sigma-term and the strict constraint nondegeneracy condition, the algorithm based on any of nonlinear Lagrangians in the class is locally convergent when the penalty parameter is less than a threshold and the error bound of solution is proportional to the penalty parameter. Compared to the analysis in nonlinear Lagrangian methods for nonlinear programming, we have to deal with the sigma term in the convergence analysis. Finally, we report numerical results by using modified Frisch's function, modified Carroll's function and the Log-Sigmoid function.