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Optimization: Theory, Algorithms, Applications Lecture SeriesExport this event to calendar

Wednesday, July 28, 2021 — 10:00 AM EDT

Title: A primal-dual interior-point algorithm fo rnonsymmetric conic optimization

Speaker: Erling D. Andersen
Affiliation: Mosek ApS
Zoom: Register through The Fields Institute

Abstract:

It is well known that primal-dual interior-point algorithms for linear optimization can easily be extended to the case of symmetric conic optimization, as shown by Nesterov and Todd (NT) in their 1997 paer about self-scaled barriers. Although many convex optimization problems can be expressed using symmetric cones then models involving for instance exponential functions do not belong to the class of symmetric conic optimization problems. Therefore, several authors have suggested generalizations of the NT primal-dual interior-point algorithm to handle nonsymmetric cones such as the exponential cone. Based on this work we will present a generalization of the NT algorithm to the case of nonsymmetric conic optimization. In addition we discuss open issues related to the suggested algorithm. 

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