to appear in Neurocomputing, 2011

### Recurrent Neural Networks for Solving Second-Order Cone Programs

Chun-Hsu Ko ^{1}

Department of Electrical Engineering, I-Shou University

Kaohsiung County 840, Taiwan

Jein-Shan Chen ^{2}
Department of Mathematics
National Taiwan Normal University

Taipei 11677, Taiwan

Ching-Yu Yang ^{3}
Department of Mathematics
National Taiwan Normal University

Taipei, Taiwan 11677

January 5, 2011 (revised on June 1, 2011)

Abstract This paper proposes using the neural networks to efficiently solve the second- order cone programs (SOCP). To establish the neural networks, the SOCP is first reformu- lated as a second-order cone complementarity problem (SOCCP) with the Karush-Kuhn- Tucker conditions of the SOCP. The SOCCP functions, which transform the SOCCP into a set of nonlinear equations, are then utilized to design the neural networks. We pro- pose two kinds of neural networks with the different SOCCP functions. The first neural network uses the Fischer-Burmeister function to achieve an unconstrained minimization with a merit function. We show that the merit function is a Lyapunov function and this neural network is asymptotically stable. The second neural network utilizes the natural residual function with the cone projection function to achieve low computation complex- ity. It is shown to be Lyapunov stable and converges globally to an optimal solution

1E-mail: chko@isu.edu.tw

2Corresponding author, Member of Mathematics Division, National Center for Theoretical Sciences, Taipei Office. The author’s work is partially supported by National Science Council of Taiwan. E-mail:

jschen@math.ntnu.edu.tw

3E-mail: yangcy@math.ntnu.edu.tw

under some condition. The SOCP simulation results demonstrate the effectiveness of the proposed neural networks.

Key words. SOCP, Neural network, Merit function, Fischer-Burmeister function, Cone projection function, Lyapunov stable.

AMS subject classifications. 92B20, 90C33, 65K05

### 1 Introduction

Second-order cone program (SOCP) has been widely applied in engineering optimiza- tion [1]. It requires solving the optimization problem subject to the linear equality and second-order cone inequality constraints [2]. Numerical approaches such as the interior-point method [1] or the merit function method [3] can effectively solve the SOCP.

However, many engineering dynamic systems, such as force analysis in robot grasping [1, 4] and control applications [5, 6], require the real-time SOCP solutions. As a re- sult, efficient approaches for solving the real-time SOCP are needed. Prior research [7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18] indicates that the neural networks can be used to solve various optimization problems. Furthermore, the neural networks based on cir- cuit implementation exhibit the real-time processing ability. We consider it is appropriate to utilize the neural networks for efficiently solving the SOCP problems.

The recurrent neural network was introduced by Hopfield and Tank [7] for solving lin- ear programming problems. Kennedy and Chua [8] proposed an extended neural network for solving nonlinear convex programming problems thereafter, while their approach in- volves the penalty parameter which affects the neural network accuracy. To find the exact solutions, more neural networks for optimization have been further developed. Among them, the primal-dual neural network [9, 10, 11] with the global stability is proposed for providing the exact solutions of the linear and quadratic programming problems. The projection neural network, developed by Xia and Wang [12, 14, 15], was proposed to effi- ciently solve many optimization problems and variational inequalities. Since the SOCP is a nonlinear convex problem, both primal-dual neural network [16] and projection neural network [17] can be used to provide the SOCP solution. However, they require many state variables, leading to high model complexity. It thus motivates the development of more compact neural networks for SOCP.

The SOCP can be solved by analyzing its Karush-Kuhn-Tucker (KKT) optimality conditions which leads to the second-order cone complementarity problem (SOCCP) [3, 19, 20]. The approaches [3, 20] based on the SOCCP functions, such as Fischer- Burmeister (FB) and natural residual functions, can be further utilized for solving the SOCCP. In the merit function approach [3], an unconstrained smooth minimization with

the FB function is achieved in finding the SOCCP solution. On the other hand, the semi- smooth approach [20] uses the natural residual function with the cone projection (CP) function to reformulate the SOCCP as a set of nonlinear equations and then apply the non-smooth Newton method to obtain the solution. Previous studies have demonstrated the feasibility of these SOCCP functions in solving the SOCP problems. We also use them in our neural network design. In this paper, we propose two novel neural networks for efficiently solving the SOCP problems. One is based on the gradient of the smooth merit function derived from the FB function [18]. The other is an extended projection neural network by replacing the scalar projection function [12, 14, 15] with the CP function.

These neural networks are with less state variables than those previously proposed [16, 17]

for solving the SOCP. Furthermore, they are shown to be stable and globally convergent to the SOCP solutions.

This paper is organized as follows. Section 2 introduces the second-order cone program and its SOCCP formulation. In Section 3, the neural network based on the Fischer- Burmeister function is proposed and analyzed. In Section 4, the second neural network based on the cone projection function is proposed. Its global stability is also verified. In Section 5, several SOCP examples are presented to demonstrate the effectiveness of the proposed neural networks. Finally, the conclusions are given in Section 6.

### 2 Problem Formulation

In this section, we introduce the second-order cone program and reformulate it as a second-order cone complementarity problem. The second-order cone program is in the form of

minimize f (x)

subject to Ax = b, x ∈ K. (1)

Here f : R^{n} → R is a nonlinear continuously differentiable function, A ∈ R^{m×n} is a full
row rank matrix, b ∈ R^{m} is a vector, and K is a Cartesian product of second-order cones
(or Lorentz cones), expressed as

K = K^{n}^{1} × K^{n}^{2} × · · · × K^{n}^{N} (2)
where N, n1, · · · , nN ≥ 1, n1+ · · · + nN = n, and

K^{n}^{i} :=(xi1, xi2, · · · , xini)^{T} ∈ R^{n}^{i}| k(xi2, · · · , xini)k ≤ xi1

with k · k denoting the Euclidean norm and K^{1} the set of nonnegative reals R+. A
special case of equation (2) is K = R^{n}_{+}, namely the nonnegative orthant in R^{n}, which
corresponds to N = n and n1 = · · · = nN = 1. When f is linear, i.e., f = c^{T}x with
c ∈ R^{n}, SOCP (1) reduces to the following linear SOCP:

minimize c^{T}x

subject to Ax = b, x ∈ K. (3)

The KKT optimality conditions for (1) are given by

∇f (x) − A^{T}y − λ = 0,
x^{T}λ = 0, x ∈ K, λ ∈ K,
Ax = b,

(4)

where y ∈ R^{m} and λ ∈ R^{n}. When f is convex, these conditions are sufficient for
optimality. It also can be written as

x^{T}(∇f (x) − A^{T}y) = 0, x ∈ K, ∇f (x) − A^{T}y ∈ K,

Ax = b. (5)

By solving the system (5), we may obtain a primal-dual optimal solution of SOCP (1).

Note that system (5) involves the SOCCP. To efficiently solve it, we propose using the neural network approaches with the FB function and CP function, respectively, described below.

### 3 Neural Network Design with Fischer-Burmeister Function

It is known that the merit function approach [3] can be used for solving system (5).

Motivated by this approach, we propose a neural network with the Fischer-Burmeister function to find the minimal of the merit function and study its global stability.

In [3], system (5) is shown to be equivalent to an unconstrained smooth minimization problem via the merit function approach, described as

min E(x, y) = ΨF B(x, ∇f (x) − A^{T}y) +1

2kAx − bk^{2}, (6)

where E(x, y) is a merit function, ΨF B(x, y) = 1 2

N

X

i=1

kφF B(xi, yi)k^{2}, x = (x1, · · · , xN)^{T},
y = (y1, · · · , yN)^{T} ∈ R^{n}^{1}× · · · × R^{n}^{N}, and φF B is the Fischer-Burmeister function defined
as

φ_{F B}(x_{i}, y_{i}) := (x^{2}_{i} + y^{2}_{i})^{1/2}− x_{i}− y_{i}. (7)
Based on the gradient of the objective E(x, y) in minimization problem (6), we propose
the first neural network for solving the SOCP, with the following dynamic equation

d dt

x y

= ρ −∇xE(x, y)

−∇yE(x, y)

, (8)

where ρ is a positive scaling factor and

∇xE(x, y) = ∇xΨF B(x, ∇f (x) − A^{T}y)

+∇^{2}f (x) · ∇yΨF B(x, ∇f (x) − A^{T}y) + A^{T}(Ax − b),

∇yE(x, y) = −A · ∇yΨF B(x, ∇f (x) − A^{T}y).

(9)

For linear SOCP (3), the above equations reduce to

∇xE(x, y) = ∇xΨF B(x, c − A^{T}y) + A^{T}(Ax − b),

∇yE(x, y) = −A · ∇yΨF B(x, c − A^{T}y). (10)
Note that the Jordan product [3] is required for calculating ∇xΨF B and ∇yΨF B which are
introduced in the appendix. And, the dynamic equation (8) can be realized by a recurrent
neural network with FB function as shown in Figure 1. The circuit for the neural network
realization requires n + m integrators, n processors for ∇f (x), n^{2} processors for ∇^{2}f (x),
n processors for ∇xΨF B, m processors for ∇yΨF B, 4mn connection weights and some
summers. Furthermore, the neural network (8) is asymptotically stable, as proven in the
following theorem.

Theorem 3.1 If u^{∗} = (x^{∗}, y^{∗}) is an isolated equilibrium point of neural network (8),
then u^{∗} = (x^{∗}, y^{∗}) is asymptotically stable for (8).

Proof. We assume that u^{∗} = (x^{∗}, y^{∗}) is an isolated equilibrium point of neural network
(8) over a neighborhood Ω^{∗} ⊆ R^{n} of u^{∗} such that ∇E(x^{∗}, y^{∗}) = 0 and ∇E(x, y) 6= 0,

∀(x, y) ∈ Ω^{∗}\ {(x^{∗}, y^{∗})}. First we show that E(x, y) is a Lyapunov function for u^{∗} at Ω^{∗}.
Since

∇yE(x^{∗}, y^{∗}) = −A · ∇yΨF B(x^{∗}, ∇f (x^{∗}) − A^{T}y^{∗}) = 0,
from Lemma 3 and Proposition 1 of [3], we have

∇_{x}Ψ_{F B}(x^{∗}, ∇f (x^{∗}) − A^{T}y^{∗}) = ∇_{y}Ψ_{F B}(x^{∗}, ∇f (x^{∗}) − A^{T}y^{∗}) = 0.

Moreover, from Proposition 1 of [3], this says

ΨF B(x^{∗}, ∇f (x^{∗}) − A^{T}y^{∗}) = 0.

Then from equation (9),

∇_{x}E(x^{∗}, y^{∗}) = ∇_{x}Ψ_{F B}(x^{∗}, ∇f (x^{∗}) − A^{T}y^{∗})

+∇^{2}f (x^{∗}) · ∇yΨF B(x^{∗}, ∇f (x^{∗}) − A^{T}y^{∗}) + A^{T}(Ax^{∗}− b) = 0,
which implies that A^{T}(Ax^{∗} − b) = 0. Because A ∈ R^{m×n} is a full row rank matrix, we
must have Ax^{∗}− b = 0, which yields

E(x^{∗}, y^{∗}) = Ψ_{F B}(x^{∗}, ∇f (x^{∗}) − A^{T}y^{∗}) + 1

2kAx^{∗}− bk^{2} = 0.

Next, we claim that E(x, y) > 0, ∀(x, y) ∈ Ω^{∗} \ {(x^{∗}, y^{∗})}. If not, there is an (x, y) ∈
Ω^{∗} \ {(x^{∗}, y^{∗})} such that E(x, y) = 0, this says that ΨF B(x, ∇f (x) − A^{T}y) = 0 and
Ax = b, then ∇xE(x, y) = 0 and ∇yE(x, y) = 0. Hence, (x, y) is an equilibrium point of

neural network (8), contradicting with that u^{∗} = (x^{∗}, y^{∗}) is an isolate equilibrium point.

Finally,

dE(x(t), y(t))

= [∇(x(t),y(t))dt E(x(t), y(t))]^{T}(−ρ∇(x(t),y(t))E(x(t), y(t)))

= −ρk∇(x(t),y(t))E(x(t), y(t))k^{2}

≤ 0.

Therefore, the function E(x, y) is a Lyapunov function for neural network (8) over the
set Ω^{∗}. Since u^{∗} = (x^{∗}, y^{∗}) is an isolated equilibrium point of neural network (8), we have

dE(x(t), y(t))

dt < 0, ∀(x(t), y(t)) ∈ Ω^{∗}\ {(x^{∗}, y^{∗})}.

Thus, u^{∗} is asymptotically stable for neural network (8). 2

### 4 Neural Network Design with Cone Projection Func- tion

In this section, we propose another neural network associated with the cone projection function to solve system (5) for obtaining the SOCP solution and study its stability. In fact, from [24, Prop. 3.3], we know that such cone projection onto K has a special formula given as

PK(z) = [λ1(z)]+u^{(1)}_{z} + [λ2(z)]+u^{(2)}_{z} ,

where [·]+ means the scalar projection, λ1(z), λ2(z) and u^{(1)}z , u^{(2)}z are the spectral values
and the associated spectral vectors of z = (z_{1}, z_{2}) ∈ R × R^{n−1}, respectively, given by

λ_{i}(z) = z_{1}+ (−1)^{i}kz_{2}k,
u^{(i)}z = 1

2

1, (−1)^{i} z2

kz2k

,

for i = 1, 2. The CP function PK(z) has the following property, called projection theorem [21], which is useful in our subsequent analysis.

Property 4.1 Let K be a nonempty closed convex subset of R^{n}. Then, for each z ∈ R^{n},
P_{K}(z) is the unique vector ¯z ∈ K satisfying (y − ¯z)^{T}(z − ¯z) ≤ 0, ∀y ∈ K.

Employing the natural residual function with the CP function [19, 20], system (5) can be equivalently written as

x − PK(x − ∇f (x) + A^{T}y) = 0,

Ax − b = 0, (11)

where x = (x_{1}, · · · , x_{N})^{T} ∈ R^{n}^{1} × · · · × R^{n}^{N} with x_{i} = (x_{i1}, x_{i2}, · · · , x_{in}i)^{T}, i = 1, · · · , N,
and PK(x) = [PK(x1), · · · , PK(xN)]^{T}.

Based on the equivalent formulation in (11) and employing the ideas for networks used in [12, 13], we consider the second neural network for solving the SOCP, with the following dynamic equations:

d dt

x y

= ρ −x + PK(x − ∇f (x) + A^{T}y)

−Ax + b

, (12)

where ρ is a positive scaling factor. The dynamic equations can be realized by a recurrent neural network with the cone projection function as shown in Figure 2. The circuit for the neural network realization requires n + m integrators, n processors for ∇f (x), N processors for cone projection mapping PK, 2mn connection weights and some summers.

Compared with the first neural network in (8), the second neural network (12) dose not
require to calculate ∇^{2}f (x), resulting in lower model complexity.

To analyze the stability of the neural network in equation (12), we first give three lemmas and one proposition.

Lemma 4.1 Let F (u) be defined as

F (u) := F (x, y) := −x + PK(x − ∇f (x) + A^{T}y)

−Ax + b

. (13)

Then, F (u) is semi-smooth. Moreover, F (u) is strongly semi-smooth if ∇^{2}f (x) is locally
Lipschitz continuous.

Proof. This is an immediate consequence of [20, Theorem 1]. 2

Proposition 4.1 For any initial point u_{0} = (x_{0}, y_{0}) where x_{0} := x(t_{0}) ∈ K, there exists
a unique solution u(t) = (x(t), y(t)) for neural network (12). Moreover, x(t) ∈ K.

Proof. For simplicity, we assume K = K^{n}. The analysis can be carried over to the
general case where K is the Cartesian product of second-order cones. From Lemma 4.1,
F (u) := F (x, y) is semi-smooth and Lipschitz continuous. Thus, there exists a unique
solution u(t) = (x(t), y(t)) for neural network (12). Therefore, it remains to show that
x(t) ∈ K^{n}. For convenience, we denote x(t) := (x_{1}(t), x_{2}(t)) ∈ R × R^{n−1}. To complete
the proof, we need to verify two things: (i) x1(t) ≥ 0 and (ii) kx2(t)k ≤ x1(t). First,
from (12), we have

dx

dt + ρx(t) = ρP_{K}(x − ∇f (x) + A^{T}y).

The solution of the first-order ordinary differential equation above is
x(t) = e^{−}^{ρ(t−t}^{0}^{)}x(t0) + ρe^{−}^{ρt}

Z t t0

e^{ρs}PK(x − ∇f (x) + A^{T}y)ds.

If we let x(t0) := (x1(t0), x2(t0)) ∈ R × R^{n−1} and denote z(t) := (z1(t0), z2(t0)) as the
term PK(x − (∇f (x) − A^{T}y)), which leads to

x_{1}(t) = e^{−}^{ρ(t−t}^{0}^{)}x_{1}(t_{0}) + ρe^{−}^{ρt}
Z t

t0

e^{ρs}z_{1}(s)ds,
x_{2}(t) = e^{−}^{ρ(t−t}^{0}^{)}x_{2}(t_{0}) + ρe^{−}^{ρt}

Z t t0

e^{ρs}z_{2}(s)ds.

Due to both x0(t) and z(t) belong to K^{n}, there have x1(t0) ≥ 0, kx2(t0)k ≤ x1(t0) and
z1(t) ≥ 0, kz2(t)k ≤ z1(t) . Therefore, x1(t) ≥ 0 since both terms in the right-hand side
are nonnegative. In addition,

kx2(t)k ≤ e^{−}^{ρ(t−t}^{0}^{)}kx2(t0)k + ρe^{−}^{ρt}
Z t

t0

e^{ρs}kz2(s)kds

≤ e^{−}^{ρ(t−t}^{0}^{)}x_{1}(t_{0}) + ρe^{−}^{ρt}
Z t

t0

e^{ρs}z_{1}(s)ds

= x1(t),
which implies that x(t) ∈ K^{n}. 2

Lemma 4.2 Let H(u) be defined as

H(u) := H(x, y) := ∇f (x) − A^{T}y
Ax − b

. (14)

Then, H is a monotone function if f is a convex function. Moreover, ∇H(u) is positive
semi-definite if and only if ∇^{2}f (x) is positive semi-definite.

Proof. Let u = (x, y) and ˜u = (˜x, ˜y). Then, the monotonicity of H holds since
(u − ˜u)^{T}(H(u) − H(˜u))

= (x − ˜x)^{T}(∇f (x) − ∇f (˜x)) − (x − ˜x)^{T}(A^{T}(y − ˜y)) + (y − ˜y)^{T}(A(x − ˜x))

= (x − ˜x)^{T}(∇f (x) − ∇f (˜x))

≥ 0,

where the last inequality is due to the convexity of f (x), see [22, Theorem 3.4.5]. Fur- thermore, we observe that

∇H(u) = ∇^{2}f (x) −A^{T}

A 0

.

Thus, we have

u^{T}∇H(u)u

= x^{T} y^{T} ∇^{2}f (x) −A^{T}

A 0

x y

= x^{T}∇^{2}f (x)x,

which indicates that the positive semi-definiteness of ∇H(u) is equivalent to the positive
semi-definiteness of ∇^{2}f (x). 2

Lemma 4.3 Let F (u), H(u) be defined as in (13) and (14), respectively. Also, let u^{∗} =
(x^{∗}, y^{∗}) be an equilibrium point of neural network (12) with x^{∗} being an optimal solution
of SOCP. Then, the following inequalities hold:

(F (u) + u − u^{∗})^{T}(−F (u) − H(u)) ≥ 0. (15)
Proof. First, we denote λ := ∇f (x) − A^{T}y. Then, we obtain

(F (u) + u − u^{∗})^{T}(−F (u) − H(u))

= −x + P_{K}(x − λ) + (x − x^{∗})
(−Ax + b) + (y − y^{∗})

T

x − PK(x − λ) − λ (Ax − b) − (Ax − b)

=

−x^{∗}+ PK(x − λ)
(−Ax + b) + (y − y^{∗})

T

(x − λ) − P_{K}(x − λ)
0

= −(x^{∗} − PK(x − λ))^{T}((x − λ) − PK(x − λ)).

Since x^{∗} ∈ K, applying Property 4.1 gives

(x^{∗}− P_{K}(x − λ))^{T}((x − λ) − P_{K}(x − λ)) ≤ 0.

Thus, inequality (15) is proved. 2

We now investigate the stability and convergence issues of neural network (12). First, we analyze the behavior of the solution trajectory of neural network (12) including exis- tence and convergence. We then establish two kinds of stability for an isolated equilibrium point.

We know that every solution u^{∗} to SOCP is an equilibrium point of neural network
(12). If further u^{∗} is an isolated equilibrium point of neural network (12), we show that
u^{∗} is Lyapunov stable.

Theorem 4.1 If f is convex and twice differentiable, then the solution of neural network (12), with initial point u0 = (x0, y0) where x0 ∈ K, is Lyapunov stable. Moreover, the solution trajectory of neural network (12) is extendable to the global existence.

Proof. Again, for simplicity, we assume K = K^{n}. From Proposition 4.1, there exists
a unique solution u(t) = (x(t), y(t)) for neural network (12) and x(t) ∈ K^{n}. Let u^{∗} =
(x^{∗}, y^{∗}) be an equilibrium point of neural network (12) with x^{∗} being an optimal solution
of SOCP. We define a Lyapunov function as below:

E(u) := E(x, y) := −H(u)^{T}F (u) − 1

2kF (u)k^{2}+1

2ku − u^{∗}k^{2}, (16)
where F (u) and H(u) are given as in (13) and (14), respectively. From [23, Theorem
3.2], we know that E is continuously differentiable with

∇E(u) = H(u) − [∇H(u) − I]F (u) + (u − u^{∗}).

It is also trivial that E(u^{∗}) = 0. Then, we have
dE(u(t))

dt = ∇E(u(t))^{T}du

= {H(u) − [∇H(u) − I]F (u) + (u − udt ^{∗})}^{T} ρF (u)

= ρ[H(u) + (u − u^{∗})]^{T}F (u) + kF (u)k^{2}− F (u)^{T}∇H(u)F (u) .
Hence, inequality (15) in Lemma 4.3 implies

(H(u) + u − u^{∗})^{T}F (u) ≤ −H(u)^{T}(u − u^{∗}) − kF (u)k^{2},
which yields

dE(u(t))

≤ ρ−H(u)dt ^{T}(u − u^{∗}) − F (u)^{T}∇H(u)F (u)

= ρ−H(u^{∗})^{T}(u − u^{∗}) − (H(u) − H(u^{∗}))^{T}(u − u^{∗}) − F (u)^{T}∇H(u)F (u) .

(17)

On the other hand, we know that

(F (u^{∗}) + u^{∗}− u)^{T}(−F (u^{∗}) − H(u^{∗}))

= −(x − PK(x^{∗} − λ^{∗}))^{T}((x^{∗}− λ^{∗}) − PK(x^{∗} − λ^{∗})).

Since x ∈ K^{n}, applying Property 4.1 gives

(x − P_{K}(x^{∗}− λ^{∗}))^{T}((x^{∗}− λ^{∗}) − P_{K}(x^{∗}− λ^{∗})) ≤ 0.

Thus, we have (F (u^{∗})+u^{∗}−u)^{T}(−F (u^{∗})−H(u^{∗})) ≥ 0. Note that F (u^{∗}) = 0, we therefore
obtain −H(u^{∗})^{T}(u−u^{∗})^{T} ≤ 0. Also the monotonicity of H implies −(H(u)−H(u^{∗}))^{T}(u−

u^{∗}) ≤ 0. In addition, f is convex and twice differentiable if and only if ∇^{2}f (x) is positive
semidefinite and hence ∇H is positive semidefinite by Lemma 4.2, i.e., the second term

−F (u)^{T}∇H(u)F (u) ≤ 0. The above discussions lead to dE(u(t))/dt ≤ 0.

In order to obtain E(u) is a Lyapunov function and u^{∗} is Lyapunov stable, we will
show the following inequality:

−H(u)^{T}F (u) ≥ kF (u)k^{2}. (18)

To see this, we first observe that

kF (u)k^{2}+ H(u)^{T}F (u)

= (x − PK(x − λ))^{T}((x − λ) − PK(x − λ)).

Since x ∈ K, applying Property 4.1 again, there holds

(x − P_{K}(x − λ))^{T}((x − λ) − P_{K}(x − λ)) ≤ 0,

which yields the desired inequality (18). By combining equation (16) and inequality (18), we have

E(u) ≥ 1

2kF (u)k^{2}+ 1

2ku − u^{∗}k^{2},

which says E(u) > 0 if u 6= u^{∗}. Hence E(u) is indeed a Lyapunov function and u^{∗} is
Lyapunov stable. Moreover, it holds that

E(u0) ≥ E(u) ≥ 1

2ku − u^{∗}k^{2} for t ≥ t0, (19)
which means the solution trajectory u(t) is bounded. Hence, it can be extended to global
existence. 2

Theorem 4.2 Let u^{∗} = (x^{∗}, y^{∗}) be an equilibrium point of (12) with x^{∗} being an optimal
solution of SOCP. If f is twice differentiable and ∇^{2}f (x) is positive definite, the solution of
neural network (12), with initial point u0 = (x0, y0) where x0 ∈ K, is globally convergent
to u^{∗} and has finite convergence time.

Proof. From (19), the level set

L(u0) := {u | E(u) ≤ E(u0)}

is bounded. Then, the Invariant Set Theorem [25] implies the solution trajectory u(t) converges to θ as t → ∞ where θ is the largest invariant set in

Π =

u ∈ L(u0) | dE(u(t)) dt = 0

.

We will show that du/dt = 0 if and only if dE(u(t))/dt = 0 which yields that u(t)
converges globally to the equilibrium point u^{∗} = (x^{∗}, y^{∗}). Suppose du/dt = 0, then
it is clear that dE(u(t))/dt = ∇E(u)^{T}(du/dt) = 0. Let ˆu = (ˆx, ˆy) ∈ Π which says
dE(ˆu(t))/dt = 0. From (17), we know that

dE(ˆu(t))

dt ≤ ρ−(H(ˆu) − H(u^{∗}))^{T}(ˆu − u^{∗}) − F (ˆu)^{T}∇H(ˆu)F (ˆu) .

Both terms inside the big parenthesis are nonpositive as shown in Lemma 4.2, so (H(ˆu)−

H(u^{∗}))^{T}(ˆu − u^{∗}) = 0, F (ˆu)^{T}∇H(ˆu)F (ˆu) = 0, and
F (ˆu)^{T}∇H(ˆu)F (ˆu)

= {−ˆx + PK(ˆx − ∇f (ˆx) + A^{T}y)}ˆ ^{T}∇^{2}f (ˆx){−ˆx + PK(ˆx − ∇f (ˆx) + A^{T}y)}ˆ

= 0.

The condition of ∇^{2}f (ˆx) being positive definite leads to

−ˆx + PK(ˆx − ∇f (ˆx) + A^{T}y) = 0,ˆ

which is equivalent to dˆx/dt = 0. On the other hand, similar to the arguments in Lemma 4.2, we have

(ˆu − u^{∗})^{T}(H(ˆu) − H(u^{∗}))

= (ˆx − x^{∗})^{T}(∇f (ˆx) − ∇f (x^{∗}))

= (ˆx − x^{∗})^{T}∇^{2}f (xs)(ˆx − x^{∗})

= 0,

where xs ∈ [x^{∗}, ˆx]. Again, the condition of ∇^{2}f (xs) being positive definite yields ˆx = x^{∗}.
Hence dˆy/dt = 0 and therefore dˆu(t)/dt = 0. From above, u(t) converges globally to
the equilibrium point u^{∗} = (x^{∗}, y^{∗}). Moreover, with Theorem 4.1 and following the same
arguments as in [12, Theorem 2], the neural network (12) has finite convergence time.

### 5 Simulations

To demonstrate the effectiveness of the proposed neural networks, three illustrative SOCP problems are tested, described as below.

Example 5.1 Consider the nonlinear convex SOCP [20] given by

minimize exp(x1− x3) + 3(2x1− x2)^{4}+p1 + (3x2+ 5x3)^{2}
subject to Ax = b, x ∈ K^{3}× K^{2}

where

A =

4 6 3 −1 0

−1 7 −5 0 −1

and b =

1

−2

This problem has an approximate solution x^{∗} = [0.2324, −0.07309, 0.2206, 0.153, 0.153]^{T}.
We use the proposed neural networks with the FB and CP functions, respectively, to solve
the problem with the trajectories obtained by them shown in Figures 3 and 4. From the
simulation results, we found that both trajectories are globally convergent to x^{∗} and the
neural network with the CP function converged to x^{∗} quicker than that with the FB
function. On the other hand, the neural network with the CP function also has lower

model complexity than that with the FB function as mentioned in Sec. 4. Hence, the neural network with the CP function is preferable to the neural network with the FB function when both can globally converge to the optimal solution.

Example 5.2 Consider the following linear SOCP given by minimize x1+ x2+ x3+ x4+ x5+ x6

subject to Ax = b, x ∈ K^{3}× K^{3}
where

A =

1 2 0 0 0 1 1 0 0 1 4 0 0 1 1 0 1 0 1 1 0 0 0 0 0 0 1 0 2 0

and b =

9 20

6 4 8

This problem has an optimal solution x^{∗} = [3, 1, 2, 5, 3, 4]^{T}. Note that, its objective
function is convex and the Hessian matrix ∇^{2}f (x) is a zero matrix. Hence, the neural
network with the FB function is asymptotically stable from Theorem 3.1 while the neural
network with the CP function is Lyapunov stable from Theorem 4.1. Figures 5 and 6
display the trajectories obtained using the neural networks with the FB and CP functions,
respectively. The simulation results show that both trajectories are convergent to x^{∗}.
Coinciding with above results of Theorems 3.1 and 4.1, the neural network with the CP
function yields the oscillating trajectory and has longer convergence time than the neural
network with the FB function.

Example 5.3 Consider the grasping force optimization problem for the multi-fingered robotic hand [1, 4, 17]. Its goal is to find the minimum grasping force for moving an object. For the robotic hand with m fingers, the optimization problem can be formulated as

minimize 1
2f^{T}f
subject to Gf = −fext

k(fi1, fi2)k ≤ µfi3, (i = 1, · · · , m)

where f = [f_{11}, f_{12}, · · · , f_{m3}]^{T} is the grasping force, G the grasping transformation matrix,
fext the time-varying external wrench, and µ the friction coefficient.

Letting [x_{i1}, x_{i2}, x_{i3}] = [µf_{i3}, f_{i1}, f_{i2}], i = 1, · · · , m, and x = [x_{11}, x_{12}, · · · , x_{m3}]^{T}, the
problem can be reformulated as a nonlinear convex SOCP. For the three-finger grasp
example in [17], the robot hand grasps a polyhedral with the grasp points [0, 1, 1]^{T},

[1, 0.5, 0]^{T}, and [0, −1, 0]^{T}, and the robot hand moves along a vertical circular trajectory
of radius r with a constant velocity ν. We reformulate the example as

minimize 1
2x^{T}Qx

subject to Ax = b, x ∈ K^{3}× K^{3}× K^{3} (20)
where Q = diag(1/µ^{2}, 1, 1, 1/µ^{2}, 1, 1, 1/µ^{2}, 1, 1)

A =

0 0 1 −1/µ 0 0 0 1 0

−1/µ 0 0 0 0 −1 1/µ 0 0

0 −1 0 0 −1 0 0 0 −1

0 −1 0 0 −0.5 0 0 0 1

0 0 0 0 1 0 0 0 0

0 0 −1 0.5/µ 0 −1 0 1 0

and b =

0

−fcsin θ(t) Mg − fccos θ(t)

0 0 0

,

where M is the mass of the polyhedral, g = 9.8m/s^{2}, fc = Mν^{2}

r the centripetal force, t the time, and θ = νt

r ∈ [0, 2π]. Note that problem (20) is a nonlinear convex SOCP and the matrix Q is positive definite. We know from Theorems 3.1 and 4.2 that both the proposed neural networks are globally convergent to the optimal solution. Under the conditions M = 0.1kg, r = 0.2m, ν = 0.4π m/s, and µ = 0.6, the time-varying grasping force obtained from the proposed neural networks is shown in Figure 7. We found that the maximum grasping force occurs at the position θ = π (t = 0.5s) which corresponds to the maximum downward wrench. The simulation results demonstrate that the neural networks are effective in the SOCP applications.

### 6 Conclusion

In this paper, we have proposed two neural networks for efficiently solving the SOCP.

The first neural network is based on gradient of the merit function derived from the FB function and was shown to be asymptotically stable. The second neural network with the CP function has low model complexity, and has been shown to be Lyapunov sta- ble and converge globally to the SOCP solution under the positive definite condition of Hessian matrix of the objective function. The convergence of the neural networks has been validated with the simulation results of the SOCP examples. When the second

neural network with the CP functions yields oscillating trajectory, we can employ the neural network based on FB function instead, though it has higher model complexity.

The proposed neural networks are thus ready for the SOCP applications.

During the reviewing process of this paper, we published another paper [26] which focuses on second-order cone constrained variational inequality problem. Since the KKT conditions of second-order cone programs can be recast as variational inequality problem, the paper [26] indeed deals with a broader class of optimization problems. However, the two neural networks considered therein are different from the two neural networks studied in this paper. More specifically, the FB method used in [26] is based on the smoothed FB function while the one studied here is based on regular FB function; the CP method in [26] is based on a Lagrangian model which is, even when it reduces to SOCP, not the same as the one investigated here. Due to the essential difference, the assumptions used to establish stability are also different. In view of this, it will be an interesting topic to do numerical comparison among these neural networks for SOCP.

### Acknowledgement

The work was supported by National Science Council of Taiwan under the Grant NSC 97-2221-E-214-034.

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### Appendix

In Appendix, we introduce the Jordan product and its properties used in the neural network with the FB function, which are needed when we write codes for simulations.

For any x = (x1, x2) ∈ R × R^{n−1}, their Jordan product is defined as
x ◦ y = (x^{T}y, y_{1}x_{2} + x_{1}y_{2}).

Their sum of square is calculated by

x^{2}+ y^{2} = (kxk^{2}+ kyk^{2}, 2x1x2+ 2y1y2).

The square root of x is

x^{1/2} = (s,x2

2s), s = s

1 2

x1+

q

x^{2}_{1}− kx2k^{2}

, if x = 0, x^{1/2}= 0

and the determinant of x is det(x) = x^{2}_{1}− kx_{2}k^{2}. Furthermore, a matrix L_{x} is defined as
Lx = x1 x^{T}_{2}

x2 x1I

, and when det(x) 6= 0, Lx is invertible with

L^{−}_{x}^{1} = 1
det(x)

x1 −x^{T}_{2}

−x2

det(x) x1

I + 1 x1

x2x^{T}_{2}

.

Based on the properties of the Jordan product described above, the formulae of ∇xΨF B(x, y) and ∇yΨF B(x, y) in neural network (8) are calculated (see [3]) as

∇xΨF B(x, y) =

LxL^{−}^{1}

(x^{2}+y^{2})^{1}^{2} − I

φF B(x, y), and

∇yΨF B(x, y) =

LyL^{−}^{1}

(x^{2}+y^{2})^{1}^{2} − I

φF B(x, y).

Figure 1: Block diagram of the proposed neural network with FB function.

Figure 2: Block diagram of the proposed neural network with CP function.

Figure 3: Transient behavior of the neural network with FB function in Example 5.1.

Figure 4: Transient behavior of the neural network with CP function in Example 5.1.

Figure 5: Transient behavior of the neural network with FB function in Example 5.2.

Figure 6: Transient behavior of the neural network with CP function in Example 5.2.

Figure 7: Grasping force obtained by using proposed neural networks in Example 5.3.