Properties of the complementarity set for the cone of copositive matrices

Abstract: For a proper cone $K$ and its dual cone $K^*$ in $\mathbb R^n$, the complementarity set of $K$ is defined as ${\mathbb C}(K)={(x,y): x\in K,\; y\in K^*,\, x^\top y=0}$. It is known that ${\mathbb C}(K)$ is an $n$-dimensional manifold in the space $\mathbb R^{2n}$. If $ K$ is a symmetric cone, points in ${\mathbb C}(K)$ must satisfy at least $n$ linearly independent bi-linear identities. Since this knowledge comes in handy when optimizing over such cones, it makes sense to search for similar relationships for non-symmetric cones. In this paper, we study properties of the complementarity set for the dual cones of copositive and completely positive matrices. Despite these cones are of great interest due to their applications in optimization, they have not yet been sufficiently studied.