A new smoothing function of the well known Fischer-Burmeister function is given. Based on this new function, a non-interior continuation algorithm is proposed for solving second-order cone programming. At each iteration, the proposed algorithm solves only one system of linear equations and performs only one line search. This algorithm can start from an arbitrary point and it is Q-quadratically convergent under a mild assumption.
['Liang Fang', 'Yongli Wang', 'Guoping He', 'Congying Han']
A New Non-interior Continuation Method for Second-Order Cone Programming