Complementarity and related problems

Xiao, Lianghai (2020). Complementarity and related problems. University of Birmingham. Ph.D.

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Abstract

In this thesis, we present results related to complementarity problems.

We study the linear complementarity problems on extended second order cones. We convert a linear complementarity problem on an extended second order cone into a mixed complementarity problem on the non-negative orthant. We present algorithms for this problem, and exemplify it by a numerical example. Following this result, we explore the stochastic version of this linear complementarity problem. Finally, we apply complementarity problems on extended second order cones in a portfolio optimisation problem. In this application, we exploit our theoretical results to find an analytical solution to a new portfolio optimisation model.

We also study the spherical quasi-convexity of quadratic functions on spherically self-dual convex sets. We start this study by exploring the characterisations and conditions for the spherical positive orthant. We present several conditions characterising the spherical quasi-convexity of quadratic functions. Then we generalise the conditions to the spherical quasi-convexity on spherically self-dual convex sets. In particular, we highlight the case of spherical second order cones.

Type of Work:

Thesis (Doctorates > Ph.D.)

Award Type:

Doctorates > Ph.D.

Supervisor(s):