An Efficient Numerical Method for the Symmetric Positive Definite Second-Order Cone Linear Complementarity Problem

Xiang Wang, Xing Li, Lei-Hong Zhang, Ren-Cang Li

Research output: Contribution to journalArticlepeer-review

Abstract

An efficient numerical method for solving a symmetric positive definite second-order cone linear complementarity problem (SOCLCP) is proposed. The method is shown to be more efficient than recently developed iterative methods for small-to-medium sized and dense SOCLCP. Therefore it can serve as an excellent core computational engine in solutions of large scale symmetric positive definite SOCLCP solved by subspace projection methods, solutions of general SOCLCP and the quadratic programming over a Cartesian product of multiple second-order cones, in which small-to-medium sized SOCLCPs have to be solved repeatedly, efficiently, and robustly.
Original languageEnglish
Pages (from-to)1608-1629
Number of pages22
JournalJournal of Scientific Computing
Volume79
DOIs
Publication statusPublished - Jun 2019
Externally publishedYes

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