COSMO: A Conic Operator Splitting Method for Convex Conic Problems
COSMO: A Conic Operator Splitting Method for Convex Conic Problems
Abstract This paper describes the conic operator splitting method (COSMO) solver, an operator splitting algorithm and associated software package 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 …