On the Local Convergence of Semismooth Newton Methods for Linear and Nonlinear Second-Order Cone Programs Without Strict Complementarity

Authors:
Christian Kanzow;Izabella Ferenczi;Masao Fukushima
Affiliations:
kanzow@mathematik.uni-wuerzburg.de and ferenczi@mathematik.uni-wuerzburg.de;-;fuku@i.kyoto-u.ac.jp
Venue:
SIAM Journal on Optimization
Year:
2009

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Abstract

The optimality conditions of a nonlinear second-order cone program can be reformulated as a nonsmooth system of equations using a projection mapping. This allows the application of nonsmooth Newton methods for the solution of the nonlinear second-order cone program. Conditions for the local quadratic convergence of these nonsmooth Newton methods are investigated. Related conditions are also given for the special case of a linear second-order cone program. An interesting and important feature of these conditions is that they do not require strict complementarity of the solution. Some numerical results are included in order to illustrate the theoretical considerations.