一种求解对称锥互补问题的算法

Algorithm for Solving Symmetric Cone Complementarity Problems

提出了一种求解对称锥互补问题的信赖域算法。基于光滑函数,将对称锥互补问题转化为无约束优化问题,构造了信赖域子问题,利用结合非单调策略的信赖域算法进行求解,并证明了该算法具有全局收敛性。仿真实验结果表明,算法对求解对称锥互补问题是有效的。

A monotonic trust region algorithm for symmetric cone complementarity problems was proposed based on a smoothing function. The problem was transformed into unconstrained optimization problem and the trust region subproblem was constructed. The problem was solved by using trust region algorithm combined with nonmonotonic strategies, and the global convergence of the algorithm was proved. Numerical experimental results demonstrate that the algorithm is effective for symmetric cone complementarity problems.