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Normal Equations Solver For Interior Point Methods for Second-Order Cone Programming


L. Widmer

Semester Thesis, FS15 (10435)

ECOS is a numerical software package for computing solutions to second-order cone programs (SOCPs). While it is very reliable for most problems, in corner cases with dicult numerical properties the results can become inaccurate due to the way ECOS currently generates search directions. This can be improved by switching the search direction computation method to the Normal Equations (NE) form. However, in NE form the occurring matrices are dense, and computations are usually much slower than in the current implementation that exploits sparsity. In this project, a structure-exploiting NE method was developed for solving the linear systems occurring in ECOS. The method was implemented in C and tested for accuracy and performance. Furthermore, the MINRES algorithm was examined as a dierent approach of improving the accuracy of ECOS.

Supervisors: Alexander Domahidi, Manfred Morari


Type of Publication:

(13)Semester/Bachelor Thesis

M. Morari

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% Autogenerated BibTeX entry
@PhdThesis { Xxx:2015:IFA_5339
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