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arXiv · 2011.08592

Solving Symmetric and Positive Definite Second-Order Cone Linear Complementarity Problem by A Rational Krylov Subspace Method

Yiding Lin·Xiang Wang·Leihong Zhang
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Abstract

The second-order cone linear complementarity problem (SOCLCP) is a generalization of the classical linear complementarity problem. It has been known that SOCLCP, with the globally uniquely solvable property, is essentially equivalent to a zero-finding problem in which the associated function bears much similarity to the transfer function in model reduction [{\em SIAM J. Sci. Comput.}, 37 (2015), pp.~A2046--A2075]. In this paper, we propose a new rational Krylov subspace method to solve the zero-finding problem for the symmetric and positive definite SOCLCP. The algorithm consists of two stages: first, it relies on an extended Krylov subspace to obtain rough approximations of the zero root, and then applies multiple-pole rational Krylov subspace projections iteratively to acquire an accurate solution. Numerical evaluations on various types of SOCLCP examples demonstrate its efficiency and robustness.

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Yiding Lin, Xiang Wang, Leihong Zhang. 2020-11-17. Solving Symmetric and Positive Definite Second-Order Cone Linear Complementarity Problem by A Rational Krylov Subspace Method. https://arxiv.org/abs/2011.08592

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