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

Abstract.Let be the Lorentz/second-order cone in . For any function f from to , one can define a corresponding function fsoc(x) on by applying f to the spectral values of the spectral decomposition of x∈ with respect to . 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 (ρ-order) semismoothness. These results are useful for designing and analyzing smoothing methods and nonsmooth methods for solving second-order cone programs and complementarity problems.

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