论文标题
单调延长二阶锥体上的线性互补问题
Linear Complementarity Problem on the Monotone Extended Second Order Cone
论文作者
论文摘要
在本文中，我们研究了单调延长二阶锥体上的线性互补问题。我们证明，单调延伸二阶锥体上的线性互补问题可以转换为非负轨道上的混合互补问题。我们证明满足FB方程的任何点都是转换问题的解决方案。我们还表明，半平滑的牛顿方法可用于解决转换的问题，我们还提供了一个数值示例。最后，我们根据单调扩展二阶锥体将明确的解决方案推导到投资组合优化问题。
In this paper, we study the linear complementarity problems on the monotone extended second order cones. We demonstrate that the linear complementarity problem on the monotone extended second order cone can be converted into a mixed complementarity 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-smooth Newton method could be used to solve the converted problem, and we also provide a numerical example. Finally, we derive the explicit solution to a portfolio optimisation problem based on the monotone extended second order cone.
