Projection onto simplicial cones by a semi-smooth Newton method

Abstract

By using Moreau's decomposition theorem for projecting onto cones, the problem of projecting onto a simplicial cone is reduced to finding the unique solution of a nonsmooth system of equations. It is shown that a semi-smooth Newton method applied to the system of equations associated to the problem of projecting onto a simplicial cone is always well defined, and the generated sequence is bounded for any starting point and under a somewhat restrictive assumption it is finite. Besides, under a mild assumption on the simplicial cone, the generated sequence converges linearly to the solution of the associated system of equations.