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

作者：Tang, Jingyong^*; Dong, Li; Zhou, Jinchuan; Fang, Liang

来源：Applied Mathematics and Computation, 2014, 236: 287-299.

DOI：10.1016/j.amc.2014.03.040

• Second-order cone complementarity problem
• Non-interior continuation method
• Smoothing function
• Global convergence
• Quadratic convergence

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.

• 出版日期2014-6-1
• 单位信阳师范学院; 山东理工大学; 泰山学院