How to project onto extended second order cones
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Abstract: The extended second order cones were introduced by S. Z. N'emeth and G. Zhang in [S. Z. N'emeth 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. N'emeth and G. Zhang in [S.Z. N'emeth 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.
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Cites work
- scientific article; zbMATH DE number 439380 (Why is no real title available?)
- scientific article; zbMATH DE number 3177945 (Why is no real title available?)
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Cited in
(10)- Isotonicity of proximity operators in general quasi-lattices and optimization problems
- Positive operators on extended second order cones
- Isotonicity of the proximity operator and stochastic optimization problems in Hilbert quasi-lattices endowed with Lorentz cones
- Projection onto the exponential cone: a univariate root-finding problem
- Isotonicity of the metric projection with respect to the mutually dual orders and complementarity problems
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- Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression
- Linear complementarity problems on extended second order cones
- Strong semismoothness of projection onto slices of second-order cone
- Primal interior-point decomposition algorithms for two-stage stochastic extended second-order cone programming
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