An Algorithm for Nonsymmetric Conic Optimization Inspired by MOSEK

preprint2020arXivOpen access

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.

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