Primal-dual path-following algorithms for circular programming

Abstract

Circular programming problems are a new class of convex optimization problems that include second-order cone programming problems as a special case. Alizadeh and Goldfarb [Math. Program. Ser. A 95 (2003) 3-51] introduced primal-dual path-following algorithms for solving second-order cone programming problems. In this paper, we generalize their work by using the machinery of Euclidean Jordan algebras associated with the circular cones to derive primal-dual path-following interior point algorithms for circular programming problems. We prove polynomial convergence of the proposed algorithms by showing that the circular logarithmic barrier is a strongly self-concordant barrier. The numerical examples show the path-following algorithms are simple and efficient.