arXiv subjects

Yingchao Gao

Publications and source records attributed to Yingchao Gao.

2 recordsLinked to original sources

arXiv2025

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↗

arXiv2022

Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression

This paper introduces the monotone extended second-order cone (MESOC), which is related to the monotone cone and the second-order cone. Some properties of the MESOC are presented and its dual cone is computed. Projecting onto the MESOC is reduced to the pool-adjacent-violators algorithm (PAVA) of isotonic regression. An application of MESOC to portfolio optimisation is provided. Some broad descriptions of possible MESOC-regression models are also outlined.

math.OC↗