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A new one-step smoothing newton method for the second-order cone complementarity problem

✍ Scribed by Liang Fang; Congying Han

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
201 KB
Volume
34
Category
Article
ISSN
0170-4214

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✦ Synopsis

Communicated by J. Cash

In this paper, we present a new one-step smoothing Newton method for solving the second-order cone complementarity problem (SOCCP). Based on a new smoothing function, the SOCCP is approximated by a family of parameterized smooth equations. At each iteration, the proposed algorithm only need to solve one system of linear equations and perform only one Armijo-type line search. The algorithm is proved to be convergent globally and superlinearly without requiring strict complementarity at the SOCCP solution. Moreover, the algorithm has locally quadratic convergence under mild conditions. Numerical experiments demonstrate the feasibility and efficiency of the new algorithm.

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