A smoothing Newton method for absolute value equation associated with second-order cone

In this paper, we consider the smoothing Newton method for solving a type of absolute value equations associated with second order cone (SOCAVE for short), which is a generalization of the standard absolute value equation frequently discussed in the literature during the past decade. Based on a class of smoothing functions, we reformulate the SOCAVE as a family of parameterized smooth equations, and propose the smoothing Newton algorithm to solve the problem iteratively. Moreover, the algorithm is proved to be locally quadratically convergent under suitable conditions. Preliminary numerical results demonstrate that the algorithm is effective. In addition, two kinds of numerical comparisons are presented which provides numerical evidence about why the smoothing Newton method is employed and also suggests a suitable smoothing function for future numerical implementations. Finally, we point out that although the main idea for proving the convergence is similar to the one used in the literature, the analysis is indeed more subtle and involves more techniques due to the feature of second-order cone. (C) 2017 IMACS. Published by Elsevier B.V. All rights reserved.