An Algorithm for Nonsymmetric Conic Optimization Inspired by MOSEK

Riley Badenbroek, Joachim Dahl

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Abstract

We analyze the scaling matrix, search direction, and neighborhood used in MOSEK's algorithm for nonsymmetric conic optimization [Dahl and Andersen, 2019]. It is proven that these can be used to compute a near-optimal solution to the homogeneous self-dual model in polynomial time.
Original languageEnglish
Place of PublicationIthaca
PublisherCornell University Library
Number of pages29
Publication statusSubmitted - Mar 2020

Publication series

NamearXiv
Volume2003.01546

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    Badenbroek, R., & Dahl, J. (2020). An Algorithm for Nonsymmetric Conic Optimization Inspired by MOSEK. (arXiv; Vol. 2003.01546). Cornell University Library. https://arxiv.org/abs/2003.01546