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A Krylov Subspace Method for Large-Scale Second-Order Cone Linear Complementarity Problem

Ren-Cang Li
Univ of Texas, Arlington


Optimization problems with second order cone constraints have wide range of applications in engineering, control, and management science. In this talk, we present an efficient method based on Krylov subspace approximation for solving the second order cone linear complementarity problem (SOCLCP). The new method is tested and compared against the bisection method recently proposed and two other state-of-the-art packages: SDPT3 and SeDuMi. Our numerical results show that the method is very efficient both for small-to-medium dense problems as well as for large scale problems.

Tuesday, November 24, 2015
3:00PM AP&M 6402