A New Extension of Chubanov's Method to Symmetric Cones
Abstract
We propose a new variant of Chubanov's method for solving the feasibility problem over the symmetric cone by extending Roos's method (2018) for the feasibility problem over the nonnegative orthant. The proposed method considers a feasibility problem associated with a norm induced by the maximum eigenvalue of an element and uses a rescaling focusing on the upper bound of the sum of eigenvalues of any feasible solution to the problem. Its computational bound is (i) equivalent to Roos's original method (2018) and superior to Lourenço et al.'s method (2019) when the symmetric cone is the nonnegative orthant, (ii) superior to Lourenço et al.'s method (2019) when the symmetric cone is a Cartesian product of secondorder cones, and (iii) equivalent to Lourenço et al.'s method (2019) when the symmetric cone is the simple positive semidefinite cone, under the assumption that the costs of computing the spectral decomposition and the minimum eigenvalue are of the same order for any given symmetric matrix. We also conduct numerical experiments that compare the performance of our method with existing methods by generating instance in three types: (i) strongly (but illconditioned) feasible instances, (ii) weakly feasible instances, and (iii) infeasible instances. For any of these instances, the proposed method is rather more efficient than the existing methods in terms of accuracy and execution time.
 Publication:

arXiv eprints
 Pub Date:
 October 2021
 arXiv:
 arXiv:2110.09854
 Bibcode:
 2021arXiv211009854K
 Keywords:

 Mathematics  Optimization and Control;
 Mathematics  Numerical Analysis
 EPrint:
 47 pages