Constructing self-concordant barriers for convex cones

Yu. Nesterov

No 2006030, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In this paper we develop a technique for constructing self-concordant barriers for convex cones. We start from a simple proof for a variant of standard result [1] on transformation of a -self-concordant barrier for a set into a self-concordant barrier for its conic hull with parameter (3.08 + 3.57)2 . Further, we develop a convenient composition theorem for constructing barriers directly for convex cones. In particular, we can construct now good barriers for several interesting cones obtained as a conic hull of epigraph of a univariate function. This technique works for power functions, entropy, logarithm and exponent function, etc. It provides a background for development of polynomial-time methods for separable optimization problems. Thus, our abilities in constructing good barriers for convex sets and cones become now identical.

Keywords: primal-dual conic optimization problem; self-concordant barriers; interior-point methods; barrier calculus (search for similar items in EconPapers)
Date: 2006-03
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Citations: View citations in EconPapers (5)

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