An Efficient Numerical Method for the Symmetric Positive Definite Second-Order Cone Linear Complementarity Problem

被引：14

作者：

Wang, Xiang ^{[1
]}

Li, Xing ^{[2
]}

Zhang, Lei-Hong ^{[3
]}

Li, Ren-Cang ^{[4
]}

机构：

[1] Nanchang Univ, Dept Math, 999 Xuefu Rd, Nanchang 330031, Jiangxi, Peoples R China

[2] Shanghai Univ Finance & Econ, Sch Math, 777 Guoding Rd, Shanghai 200433, Peoples R China

[3] Soochow Univ, Sch Math Sci, Suzhou 215006, Jiangsu, Peoples R China

[4] Univ Texas Arlington, Dept Math, POB 19408, Arlington, TX 76019 USA

来源：

JOURNAL OF SCIENTIFIC COMPUTING | 2019年 / 79卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Second-order cone; Linear complementarity problem; SOCLCP; Globally uniquely solvable property; GUS;

D O I：

10.1007/s10915-019-00907-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An efficient numerical method for solving a symmetric positive definite second-order cone linear complementarity problem (SOCLCP) is proposed. The method is shown to be more efficient than recently developed iterative methods for small-to-medium sized and dense SOCLCP. Therefore it can serve as an excellent core computational engine in solutions of large scale symmetric positive definite SOCLCP solved by subspace projection methods, solutions of general SOCLCP and the quadratic programming over a Cartesian product of multiple second-order cones, in which small-to-medium sized SOCLCPs have to be solved repeatedly, efficiently, and robustly.

引用

页码：1608 / 1629

页数：22

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