Multiconic Optimization for Symmetric Cones and Hyperbolic Coupling

Abstract

We develop a new interior-point algorithm for solving multiconic optimization problems using the parabolic target space approach. The feasible cone in these problems is composed as a direct product of many small-dimensional cones. Our approach is based on a new concept, called the hyperbolic coupling. This provides a new framework that has an advantage of interdependent pairs of primal-dual variables. In this way, their behaviour is much more controllable. We justify all main steps in the complexity analysis of the algorithm and prove that the overall complexity of solving this type of large-scale nonlinear problems by our algorithm is comparable with the best known complexity for solving linear programming problems of the same dimension.