A New Self-Dual Embedding Method for Convex Programming

@article{Zhang2004ANS,
  title={A New Self-Dual Embedding Method for Convex Programming},
  author={Shuzhong Zhang},
  journal={J. Global Optimization},
  year={2004},
  volume={29},
  pages={479-496}
}
In this paper we introduce a conic optimization formulation to solve constrained convex programming, and propose a self-dual embedding model for solving the resulting conic optimization problem. The primal and dual cones in this formulation are characterized by the original constraint functions and their corresponding conjugate functions respectively. Hence they are completely symmetric. This allows for a standard primal-dual path following approach for solving the embedded problem. Moreover… CONTINUE READING
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