An Active Set Method for Single-Cone Second-Order Cone Programs

Authors:
E. Erdougan;G. Iyengar
Affiliations:
-;-
Venue:
SIAM Journal on Optimization
Year:
2006

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Abstract

We develop an active set method for solving second-order cone programs that may have an arbitrary number of linear constraints but are restricted to having only one second-order cone constraint. Problems of this form arise in the context of robust optimization and trust region methods. The proposed active set method exploits the fact that a second-order cone program with only one second-order cone constraint and no inequality constraints can be solved in closed form.