A descent method for a reformulation of the second-order cone complementarity problem

作者：Chen Jein Shan^*; Pan Shaohua

来源：Journal of Computational and Applied Mathematics, 2008, 213(2): 547-558.

DOI：10.1016/j.cam.2007.01.029

• second-order cone
• complementarity
• merit function
• descent method

Analogous to the nonlinear complementarity problem and the semi-definite complementarity problem, a popular approach to solving the second-order cone complementarity problem (SOCCP) is to reformulate it as an unconstrained minimization of a certain merit function over R(n). In this paper, we present a descent method for solving the unconstrained minimization reformulation of the SOCCP which is based on the Fischer-Burmeister merit FBMF) associated with second-order cone [J.-S. Chen, P Tseng, An unconstrained smooth minimization reformulation of the second-order cone complementarity problem, Math. Programming 104 (2005) 293-327], and prove its global convergence. Particularly, we compare the numerical performance of the method for the symmetric affine SOCCP generated randomly with the FBMF approach [J.-S. Chen, P. Tseng, An unconstrained smooth minimization reformulation of the second-order cone complementarity problem, Math. Programming 104 (2005) 293-327]. The comparison results indicate that, if a scaling strategy is imposed on the test problem, the descent method proposed is comparable with the merit function approach in the CPU time for solving test problems although the former may require more function evaluations.

• 出版日期2008-4-1
• 单位华南理工大学