A Smoothing Newton Method with Fischer-Burmeister Function for Second-Order Cone Complementarity Problems

摘要

The second-order cone complementarity problem (SOCCP) is an important class of problems containing a lot of optimization problems. The SOCCP can be transformed into a system of nonsmooth equations. To solve this nonsmooth system, smoothing techniques are often used. Fukushima, Luo and Tseng (SIAM J. Optim. 12:436-460, 2001) studied concrete theories and properties of smoothing functions for the SOCCP. Recently, a practical computational method using the smoothed natural residual function to solve the SOCCP was given by Chen, Sun and Sun (Comput. Optim. Appl. 25:39-56, 2003). In the present paper, we propose an algorithm to solve the SOCCP by using the smoothed Fischer-Burmeister function. Some preliminary numerical results are given.