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A Power Penalty Method for Second-order Cone Nonlinear Complementarity Problems

Zijun Hao(haozijun***at***whu.edu.cn)
Zhongping Wan(mathwanzhp***at***whu.edu.cn)
Xiaoni Chi(chixiaoni***at***126.com)
Jiawei Chen(J.W.Chen713***at***163.com)

Abstract: A power penalty method for solving nonlinear second-order cone complementarity problems (SOCCP) is proposed. By using the power penalty method, the nonlinear SOCCP is converted to asymptotic nonlinear equations. The merit of this approach shows that the solution sequence of the asymptotic nonlinear equations converges to the solution of nonlinear SOCCP at an exponential rate when the penalty parameter tends to positive infinity under mild assumptions. An algorithm is constructed and numerical examples indicate the feasibility of our method.

Keywords: Second-order cone; Complementarity problem; Power penalty method; Convergence analysis

Category 1: Complementarity and Variational Inequalities

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


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Entry Submitted: 04/26/2014
Entry Accepted: 04/26/2014
Entry Last Modified: 04/26/2014

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