An unconstrained smooth minimization reformulation of the second-order cone complementarity problem

Authors:
Jein-Shan Chen;Paul Tseng
Affiliations:
Department of Mathematics, National Taiwan Normal University, 11677, Taipei, Taiwan;Department of Mathematics, University of Washington, 98195, Washington, Seattle, USA
Venue:
Mathematical Programming: Series A and B
Year:
2005

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Abstract

A popular approach to solving the nonlinear complementarity problem (NCP) is to reformulate it as the global minimization of a certain merit function over ℝn. A popular choice of the merit function is the squared norm of the Fischer-Burmeister function, shown to be smooth over ℝn and, for monotone NCP, each stationary point is a solution of the NCP. This merit function and its analysis were subsequently extended to the semidefinite complementarity problem (SDCP), although only differentiability, not continuous differentiability, was established. In this paper, we extend this merit function and its analysis, including continuous differentiability, to the second-order cone complementarity problem (SOCCP). Although SOCCP is reducible to a SDCP, the reduction does not allow for easy translation of the analysis from SDCP to SOCCP. Instead, our analysis exploits properties of the Jordan product and spectral factorization associated with the second-order cone. We also report preliminary numerical experience with solving DIMACS second-order cone programs using a limited-memory BFGS method to minimize the merit function.