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A New Method for Solving Second-Order Cone Eigenvalue Complementarity Problems

Author

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  • Samir Adly

    (XLIM UMR-CNRS 7252, Université de Limoges)

  • Hadia Rammal

    (XLIM UMR-CNRS 7252, Université de Limoges)

Abstract

In this paper, we study numerical methods for solving eigenvalue complementarity problems involving the product of second-order cones (or Lorentz cones). We reformulate such problem to find the roots of a semismooth function. An extension of the Lattice Projection Method (LPM) to solve the second-order cone eigenvalue complementarity problem is proposed. The LPM is compared to the semismooth Newton methods, associated to the Fischer–Burmeister and the natural residual functions. The performance profiles highlight the efficiency of the LPM. A globalization of these methods, based on the smoothing and regularization approaches, are discussed.

Suggested Citation

  • Samir Adly & Hadia Rammal, 2015. "A New Method for Solving Second-Order Cone Eigenvalue Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 165(2), pages 563-585, May.
    • Handle: RePEc:spr:joptap:v:165:y:2015:i:2:d:10.1007_s10957-014-0645-0
    DOI: 10.1007/s10957-014-0645-0
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    References listed on IDEAS

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    1. Samir Adly & Hadia Rammal, 2013. "A new method for solving Pareto eigenvalue complementarity problems," Computational Optimization and Applications, Springer, vol. 55(3), pages 703-731, July.
    2. Jong-Shi Pang & Defeng Sun & Jie Sun, 2003. "Semismooth Homeomorphisms and Strong Stability of Semidefinite and Lorentz Complementarity Problems," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 39-63, February.
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    Cited by:

    1. Brás, Carmo P. & Fischer, Andreas & Júdice, Joaquim J. & Schönefeld, Klaus & Seifert, Sarah, 2017. "A block active set algorithm with spectral choice line search for the symmetric eigenvalue complementarity problem," Applied Mathematics and Computation, Elsevier, vol. 294(C), pages 36-48.
    2. Dezhou Kong & Lishan Liu & Yonghong Wu, 2017. "Isotonicity of the Metric Projection by Lorentz Cone and Variational Inequalities," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 117-130, April.
    3. Masao Fukushima & Joaquim Júdice & Welington Oliveira & Valentina Sessa, 2020. "A sequential partial linearization algorithm for the symmetric eigenvalue complementarity problem," Computational Optimization and Applications, Springer, vol. 77(3), pages 711-728, December.
    4. Niu, Yi-Shuai & Júdice, Joaquim & Le Thi, Hoai An & Pham, Dinh Tao, 2019. "Improved dc programming approaches for solving the quadratic eigenvalue complementarity problem," Applied Mathematics and Computation, Elsevier, vol. 353(C), pages 95-113.

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