Linear Complementarity Problem on the Monotone Extended Second Order Cone

Subjects: Mathematics >> Computational Mathematics. submitted time 2022-08-25

Gao, Yingchao Németh，Sándor Zoltán Guohan, Zhang

Abstract： In this paper, we study the linear complementarity problems on the monotone ex#2;tended second order cones. We demonstrate that the linear complementarity problem on the monotone extended second order cone can be converted into a mixed comple#2;mentarity problem on the non-negative orthant. We prove that any point satisfying the FB equation is a solution of the converted problem. We also show that the semi#2;smooth Newton method could be used to solve the converted problem, and we also provide a numerical example. Finally, we derive the explicit solution of a portfolio optimisation problem based on the monotone extended second order cone.

Peer Review Status:Awaiting Review

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