Convergence of a Non-interior Continuation Algorithm for the Monotone SCCP

被引：5

作者：

Lu, Nan ^{[1
]}

Huang, Zheng-Hai ^{[1
]}

机构：

[1] Tianjin Univ, Sch Sci, Dept Math, Tianjin 300072, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2010年 / 26卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Symmetric cone complementarity problem; non-interior continuation method; global linear convergence; local quadratic convergence; NONLINEAR COMPLEMENTARITY-PROBLEMS; SMOOTHING METHOD; P-PROPERTIES; TRANSFORMATIONS;

D O I：

10.1007/s10255-010-0024-z

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

It is well known that the symmetric cone complementarity problem (SCCP) is a broad class of optimization problems which contains many optimization problems as special cases. Based on a general smoothing function, we propose in this paper a non-interior continuation algorithm for solving the monotone SCCP. The proposed algorithm solves at most one system of linear equations at each iteration. By using the theory of Euclidean Jordan algebras, we show that the algorithm is globally linearly and locally quadratically convergent under suitable assumptions.

引用

页码：543 / 556

页数：14

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