Extended Lorentz cones and mixed complementarity problems.

In this paper we extend the notion of a Lorentz cone in a Euclidean space as follows: we divide the index set corresponding to the coordinates of points in two disjoint classes. By definition a point belongs to an extended Lorentz cone associated with this division, if the coordinates corresponding to one class are at least as large as the norm of the vector formed by the coordinates corresponding to the other class. We call a closed convex set isotone projection set with respect to a pointed closed convex cone if the projection onto the set is isotone (i.e., order preserving) with respect to the partial order defined by the cone. We determine the isotone projection sets with respect to an extended Lorentz cone. In particular, a Cartesian product between an Euclidean space and any closed convex set in another Euclidean space is such a set. We use this property to find solutions of general mixed complementarity problems recursively.