Convergence of a non-interior continuation algorithm for the monotone SCCP |
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Authors: | Nan Lu Zheng-Hai Huang |
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Institution: | (1) Department of Mathematics, Xi dian University, XiAn, 710071, PR China;(2) Department of Mathematics, School of Science, Tianjin University, Tianjin, 300072, PR China |
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Abstract: | It is well known that the symmetric cone complementarity problem (SCCP) is a broad class of optimization problems which contains
many optimization problems as special cases. Based on a general smoothing function, we propose in this paper a non-interior
continuation algorithm for solving the monotone SCCP. The proposed algorithm solves at most one system of linear equations
at each iteration. By using the theory of Euclidean Jordan algebras, we show that the algorithm is globally linearly and locally
quadratically convergent under suitable assumptions. |
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Keywords: | Symmetric cone complementarity problem non-interior continuation method global linear convergence local quadratic convergence |
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