A new non-interior continuation method for solving the second-order cone complementarity problem

Jingyong Tang

doi:10.1016/j.amc.2014.03.040

A new non-interior continuation method for solving the second-order cone complementarity problem

2014-06-01

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汤京永 (Jingyong Tang) *

DOI：10.1016/j.amc.2014.03.040

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In this paper, based on a symmetrically perturbed smoothing Fischer-Burmeister function, a non-interior continuation method is proposed for solving the second-order cone complementarity problem (SOCCP). The proposed algorithm solves only one linear system of equations and performs only one line search at each iteration. Under monotonicity, it is shown that our algorithm is globally and locally superlinearly convergent without requiring strict complementarity assumption at the SOCCP solution. Furthermore, the proposed algorithm has local quadratic convergence under mild conditions. Some numerical results are reported which indicate the effectiveness of the proposed algorithm. (C) 2014 Elsevier Inc. All rights reserved.

Keywords:

Second-order cone complementarity problem

Non-interior continuation method

Smoothing function

Global convergence

Quadratic convergence

A new non-interior continuation method for solving the second-order cone complementarity problem

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