Abstract:

We present a second-order cone cutting surface method (SOCCSM) for mixed linear-quadratic-semidefinite programming problems with bounded feasible region, and show that it is a fully polynomial algorithm. Using randomly generated problems we show that SOCCSM can efficiently handle problems with large and dense coefficient matrices. By comparing the CPU time between SOCCSM and SDPLR, SDPT3, and SeDuMi we show that SOCCSM outperforms primal-dual interior point methods on dense problems.