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Guohan Zhang

Publications and source records attributed to Guohan Zhang.

2 recordsLinked to original sources
arXiv2022

Linear Complementarity Problem on the Monotone Extended Second Order Cone

In this paper, we study the linear complementarity problems on the monotone extended second order cones. We demonstrate that the linear complementarity problem on the monotone extended second order cone can be converted into a mixed complementarity problem on the non-negative orthant. We prove that any point satisfying the FB equation is a solution of the converted problem. We also show that the semi-smooth Newton method could be used to solve the converted problem, and we also provide a numerical example. Finally, we derive the explicit solution to a portfolio optimisation problem based on the monotone extended second order cone.

math.OC↗
arXiv2016

Conic optimization and complementarity problems

Although the Karush-Kuhn-Tucker conditions suggest a connection between a conic optimization problem and a complementarity problem, it is difficult to find an accessible explicit form of this relationship in the literature. This note will present such a relationship.

math.OC↗