A smoothing-type algorithm for the second-order cone complementarity problem with a new nonmonotone line search

摘要

The second-order cone complementarity problem (denoted by SOCCP) can be effectively solved by smoothing-type algorithms, which in general are designed based on some monotone line search. In this paper, based on a new smoothing function of the Fischer-Burmeister function, we propose a smoothing-type algorithm for solving the SOCCP. The proposed algorithm uses a new nonmonotone line search scheme, which contains the usual monotone line search as a special case. Under suitable assumptions, we show that the proposed algorithm is globally and locally quadratically convergent. Some numerical results are reported which indicate the effectiveness of the proposed algorithm.