A semi-smooth Newton method for projection equations and linear complementarity problems with respect to the second order cone

Abstract

In this paper a special semi-smooth equation associated to the second order cone is studied. It is shown that, under mild assumptions, the semi-smooth Newton method applied to this equation is well-defined and the generated sequence is globally and Q-linearly convergent to a solution. As an application, the obtained results are used to study the linear second order cone complementarity problem, with special emphasis on the particular case of positive definite matrices. Moreover, some computational experiments designed to investigate the practical viability of the method are presented.