线性二阶锥权互补问题的非单调无导数下降算法

A Nonmonotone Derivative-free Descent Method for the Linear Second-order Cone Weighted Complementarity Problem

  • 摘要: 提出非单调无导数下降算法, 用于求解线性二阶锥权互补问题。构造一个效益函数, 分析其水平集有界性。提出的算法在计算步长时进行非单调线搜索, 搜索方向在一定假设下满足下降条件。理论证明算法全局收敛, 数值结果验证算法有效。

     

    Abstract: A nonmonotone derivative-free descent method is proposed for solving the linear second-order cone weighted complementarity problem(LSOCWCP). A merit function is constructed and the boundedness of its level set is analyzed.The nonmonotone line search technique is employed to calculate the step size. Under the mild assumption, the search direction of the method satisfies descent condition, and the proposed method is globally convergent. The numerical results verify the effectiveness of the method.

     

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