MATLAB implementation of a primal-dual interior-point solver for convex second-order cone programsby Peter Carbonetto
Dept. of Computer Science
University of British Columbia
This is a simple implementation of a primal-dual interior-point method for solving an optimization problem formulated as a second-order cone program (SOCP) in which the objective is convex. My code is not expected to be as robust or as fast as other software packages, but it is extremely simple to use and understand. And it might even work well for fairly large problems.
My implementation requires that you are able write a MATLAB function that computes at any given point the value of the objective, its gradient vector, and the Hessian (i.e. the second-order partial derivatives). For more information on second-order cone programs, I highly recommend reading Convex Programming by Boyd and Vandenberghe (Cambridge University Press, 2004), but there are many other references in the numerical optimization literature, and some of them may be even worth reading.
For further details behind the implementation, see this webpage, which describes my MATLAB code for solving slightly more general convex programs.
If you have any questions, praise, or comments, or would like to report a bug, do not hesitate to contact me. I've tested this software in MATLAB version 7.5.
LicenseThis work is licensed under the GNU Public license. Please cite the source as Peter Carbonetto, Department of Computer Science, University of British Columbia.
Installation and use
Click here to download a compressed
TAR archive containing three MATLAB files. The interior-point solver is
If you type
May 26, 2008