A Complementarity Partition Theorem for Multifold Conic Systems

Javier Peña (jfpandrew.cmu.edu)
Vera Roshchina (vera.roshchinagmail.com)

Abstract: Consider a homogeneous multifold convex conic system $$ Ax = 0, \; x\in K_1\times \cdots \times K_r $$ and its alternative system $$ A\transp y \in K_1^*\times \cdots \times K_r^*, $$ where $K_1,\dots, K_r$ are regular closed convex cones. We show that there is canonical partition of the index set $\{1,\dots,r\}$ determined by certain complementarity sets associated to the most interior solutions to the two systems. Our results are inspired by and extend the Goldman-Tucker Theorem for linear programming.

Keywords: Goldman-Tucker Theorem, complementarity in convex programming

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Category 2: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

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Entry Submitted: 08/03/2011
Entry Accepted: 08/03/2011
Entry Last Modified: 08/26/2011

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