A matrix-splitting method for symmetric affine second-order cone complementarity problems

Shunsuke Hayashi, Takahiro Yamaguchi, Nobuo Yamashita, Masao Fukushima

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)

Abstract

The affine second-order cone complementarity problem (SOCCP) is a wide class of problems that contains the linear complementarity problem (LCP) as a special case. The purpose of this paper is to propose an iterative method for the symmetric affine SOCCP that is based on the idea of matrix splitting. Matrix-splitting methods have originally been developed for the solution of the system of linear equations and have subsequently been extended to the LCP and the affine variational inequality problem. In this paper, we first give conditions under which the matrix-splitting method converges to a solution of the affine SOCCP. We then present, as a particular realization of the matrix-splitting method, the block successive overrelaxation (SOR) method for the affine SOCCP involving a positive definite matrix, and propose an efficient method for solving subproblems. Finally, we report some numerical results with the proposed algorithm, where promising results are obtained especially for problems with sparse matrices.

Original languageEnglish
Pages (from-to)335-353
Number of pages19
JournalJournal of Computational and Applied Mathematics
Volume175
Issue number2
DOIs
Publication statusPublished - 2005 Mar 15

Keywords

  • Complementarity problem
  • Matrix-splitting method
  • Second-order cone
  • Successive overrelaxation method

ASJC Scopus subject areas

  • Computational Mathematics
  • Applied Mathematics

Fingerprint

Dive into the research topics of 'A matrix-splitting method for symmetric affine second-order cone complementarity problems'. Together they form a unique fingerprint.

Cite this