Not knowing if the fields may repeat in either file as anonymous monk asked, I can only guess a solution. The best way to solve this would probably use a lookup hash (as in my solution below), provided the first 2 fields in file 1 don't repeat.

#!/usr/bin/perl
use strict;
use warnings;

open my $fh1, '<', \<<EOF or die $!; 
1 19002930  0.74
1 19002931 -0.12
EOF

my %data;
while (<$fh1>) {
    next if /CHR/;
    my ($chr, $bp, $min) = split;
    $data{$chr,$bp} = $min;
}

open my $fh2, '<', \<<EOF or die $!;
1 19002930 0.84 0.12 0.94
1 19002931 0 -.20 .12
EOF

while (<$fh2>) {
    my ($chr, $bp, @rest) = split;
    if (defined(my $min = $data{$chr,$bp})) {
        print join(" ", $chr, $bp, grep $_ >= $min, @rest), "\n";    
    }
}
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This only prints the values - not sure how you want to store in an array (as you mentioned).

Update: Added the 'defined' operator to the if statement so a 'min' value of '0' will be accepted. Without testing for defined, a '0' value would cause the if statement to be wrongly false.

Also, like Marshall's solution, the temporary files I created were just for this example. You would need to open your files in the normal way open my $fh1, '<', 'yourfilename' or die $!.

Update 2: Noting Marshall's comment on separating $data{"$chr$bp"} by a space to be safer, $data{"$chr $bp"}, I used the seldom used idiom $data{$chr,$bp} where a comma separated series of terms as the key to a hash are joined together by the '$SUBSCRIPT_SEPARATOR', $;.

Also, I'm wondering what the purpose of next if /CHR/; is in his code. It is hard to see whithout a better data sample for the file he is reading.