English

The LP-Newton Method and Conic Optimization

Optimization and Control 2017-08-16 v2

Abstract

We propose that the LP-Newton method can be used to solve conic LPs over a conic box, whenever linear optimization over an otherwise unconstrained conic box is easy. In particular, if K\leq_\mathcal{K} is the partial order induced by a proper convex cone K\mathcal{K}, then optimizing a linear function over the intersection of [l,u]K={lKxKu}[{l},{u}]_\mathcal{K}=\{{l}\leq_\mathcal{K} {x}\leq_\mathcal{K}{u}\} and an affine subspace can be done with this method whenever optimizing a linear function over [l,u]K[{l},{u}]_{\mathcal{K}} is efficient. This generalizes the result for the case of K=R+n\mathcal{K}=\mathbb{R}^n_+ that was originally proposed for using the method. Specifically, we show how to adapt this method for both SOCP and SDP problems and illustrate the method with a few experiments. While the approach is promising due to the low amount of Newton steps needed, solving the minimum-norm-point problem involved in the Newton step with a Frank-Wolfe algorithm is not advisable.

Keywords

Cite

@article{arxiv.1611.09260,
  title  = {The LP-Newton Method and Conic Optimization},
  author = {Francesco Silvestri and Gerhard Reinelt},
  journal= {arXiv preprint arXiv:1611.09260},
  year   = {2017}
}
R2 v1 2026-06-22T17:06:52.905Z