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COSMO: A conic operator splitting method for large convex problems

Abstract:

This paper describes the Conic Operator Splitting Method (COSMO), an operator splitting algorithm for convex optimisation problems with quadratic objective function and conic constraints. At each step the algorithm alternates between solving a quasi-definite linear system with a constant coefficient matrix and a projection onto convex sets. The solver is able to exploit chordal sparsity in the problem data and to detect infeasible problems. The low per-iterati...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.23919/ECC.2019.8796161

Authors


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Institution:
University of Oxford
Department:
Engineering Science
Role:
Author
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Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Oxford college:
St John's College
Role:
Author
ORCID:
0000-0003-2189-7876
More by this author
Institution:
University of Oxford
Department:
Engineering Science
Oxford college:
St Edmund Hall
Role:
Author
ORCID:
0000-0002-0456-4124
Publisher:
IEEE Publisher's website
Journal:
European Control Conference Journal website
Pages:
1951-1956
Host title:
European Control Conference 2019
Publication date:
2019-08-15
Acceptance date:
2019-02-20
DOI:
Source identifiers:
976034
ISBN:
9783907144015
Pubs id:
pubs:976034
UUID:
uuid:25211347-1646-4d6b-9ad5-807d1c865e50
Local pid:
pubs:976034
Deposit date:
2019-03-16

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