Guaranteed Accuracy for Conic Programming Problems in Vector Lattices

Details Guaranteed Accuracy for Conic Programming Problems in Vector Lattices Guaranteed Accuracy for Conic Programming Problems in Vector Lattices

2007-07-30

arxiv.org/abs/0707.4366v1

Mathematics

Optimization and Control

Scientific paper

This paper presents rigorous forward error bounds for linear conic optimization problems. The error bounds are formulated in a quite general framework; the underlying vector spaces are not required to be finite-dimensional, and the convex cones defining the partial ordering are not required to be polyhedral. In the case of linear programming, second order cone programming, and semidefinite programming specialized formulas are deduced yielding guaranteed accuracy. All computed bounds are completely rigorous because all rounding errors due to floating point arithmetic are taken into account. Numerical results, applications and software for linear and semidefinite programming problems are described.

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