A one-parametric class of merit functions for the symmetric cone complementarity problem

作者：Pan, Shaohua; Chen, Jein Shan^*

来源：Journal of Mathematical Analysis and Applications, 2009, 355(1): 195-215.

DOI：10.1016/j.jmaa.2009.01.064

• Symmetric cone complementarity problem
• Merit function
• Jordan algebra
• Smoothness
• Lipschitz continuity
• Cartesian P-properties

In this paper, we extend the one-parametric class of merit functions proposed by Kanzow and Kleinmichel [C. Kanzow, H. Kleinmichel, A new class of semismooth Newton-type methods for nonlinear complementarity, problems, Comput. Optim. Appl. 11 (1998) 227-251] for the nonnegative orthant complementarity problem to the general symmetric cone complementarity problem (SCCP). We show that the class of merit functions is continuously differentiable everywhere and has a globally Lipschitz continuous gradient mapping. From this, we particularly obtain the smoothness of the Fischer-Burmeister merit function associated with symmetric cones and the Lipschitz continuity of its gradient. In addition, we also consider a regularized formulation for the class of merit functions which is actually an extension of one of the NCP function classes studied by [C. Kanzow, Y. Yamashita, M. Fukushima, New NCP functions and their properties, J. Ciptim. Theory Appl. 97 (1997) 115-135] to the SCCP. By exploiting the Cartesian P-properties for a nonlinear transformation, we show that the class of regularized merit functions provides a global error bound for the solution of the SCCR and moreover. has bounded level sets under a rather weak condition which can be satisfied by the monotone SCCP with a strictly feasible point or the SCCP with the joint Cartesian R(02)-property. All of these results generalize some recent important works in [J.-S. Chen, R Tseng, An unconstrained smooth minimization reformulation of the second-order cone complementarity problem, Math. Program. 104 (2005) 293-327; C.-K. Sim, J. Sun, D. Ralph, A note on the Lipschitz continuity of the gradient of the squared norm of the matrix-valued Fischer-Burmeister function, Math. Program. 107 (2006) 547-553; R Tseng, Merit function for semidefinite complementarity problems, Math. Program. 83 (1998) 159-185] under a unified framework.

• 出版日期2009-7-1
• 单位华南理工大学