Functions and Analysis

   

How to Project Onto Extended Second Order Cones

Authors: O. P. Ferreira, S. Z. Németh

The extended second order cones were introduced by S. Z. Németh and G. Zhang in [S. Z. Németh and G. Zhang. Extended Lorentz cones and variational inequalities on cylinders. J. Optim. Theory Appl., 168(3):756-768, 2016] for solving mixed complementarity problems and variational inequalities on cylinders. R. Sznajder in [R. Sznajder. The Lyapunov rank of extended second order cones. Journal of Global Optimization, 66(3):585-593, 2016] determined the automorphism groups and the Lyapunov or bilinearity ranks of these cones. S. Z. Németh and G. Zhang in [S.Z. Németh and G. Zhang. Positive operators of Extended Lorentz cones. arXiv:1608.07455v2, 2016] found both necessary conditions and sufficient conditions for a linear operator to be a positive operator of an extended second order cone. This note will give formulas for projecting onto the extended second order cones. In the most general case the formula will depend on a piecewise linear equation for one real variable which will be solved by using numerical methods.

Comments: 12 Pages.

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Submission history

[v1] 2016-11-04 07:11:54
[v2] 2016-11-04 10:36:55
[v3] 2016-11-05 07:22:45
[v4] 2016-11-10 10:15:26

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