Volume 101, Number 1, 95-117, DOI: 10.1007/s10107-004-0538-3

Analysis of nonsmooth vector-valued functions associated with second-order cones

Jein-Shan Chen, Xin Chen and Paul Tseng

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Abstract

Let MediaObjects/s10107-004-0538-3flb1.gif be the Lorentz/second-order cone in MediaObjects/s10107-004-0538-3flb2.gif. For any function f from MediaObjects/s10107-004-0538-3flb3.gif to MediaObjects/s10107-004-0538-3flb3.gif, one can define a corresponding function fsoc(x) on MediaObjects/s10107-004-0538-3flb2.gif by applying f to the spectral values of the spectral decomposition of xisinMediaObjects/s10107-004-0538-3flb2.gif with respect to MediaObjects/s10107-004-0538-3flb1.gif. We show that this vector-valued function inherits from f the properties of continuity, (local) Lipschitz continuity, directional differentiability, Fréchet differentiability, continuous differentiability, as well as (rgr-order) semismoothness. These results are useful for designing and analyzing smoothing methods and nonsmooth methods for solving second-order cone programs and complementarity problems.

Keywords  Second-order cone - Vector-valued function - Nonsmooth analysis - Semismooth function - Complementarity

Mathematics Subject Classification (1991): 26A27, 26B05, 26B35, 49J52, 90C33, 65K05

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