A non-interior continuation method for generalized linear complementarity problems

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	A non-interior continuation method for generalized linear complementarity problems
	Peng, JM ; Lin, ZH
	1999-12-01
发表期刊	MATHEMATICAL PROGRAMMING
ISSN	0025-5610
卷号	86 期号:3 页码:533-563
摘要	In this paper, we propose a non-interior continuation method for solving generalized linear complementarity problems (GLCP) introduced by Cottle and Dantzig. The method is based on a smoothing function derived from the exponential penalty function first introduced by Kort and Bertsekas for constrained minimization. This smoothing function can also be viewed as a natural extension of Chen-Mangasarian's neural network smooth function. By using the smoothing function, we approximate GLCP as a family of parameterized smooth equations. An algorithm is presented to follow the smoothing path. Under suitable assumptions, it is shown that the algorithm is globally convergent and local Q-quadratically convergent. Few preliminary numerical results are also reported.
关键词	generalized linear complementarity problem non-interior continuation method Newton method Q-quadratical convergence
语种	英语
WOS研究方向	Computer Science ; Operations Research & Management Science ; Mathematics
WOS类目	Computer Science, Software Engineering ; Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000084702000006
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14892
专题	中国科学院数学与系统科学研究院
通讯作者	Peng, JM
作者单位	1.Acad Sinica, Inst Computat Math & Sci Comp, State Key Lab Sci & Engn Comp, Beijing 100080, Peoples R China 2.Jilin Univ, Dept Math, Changchun 130023, Peoples R China
推荐引用方式 GB/T 7714	Peng, JM,Lin, ZH. A non-interior continuation method for generalized linear complementarity problems[J]. MATHEMATICAL PROGRAMMING,1999,86(3):533-563.
APA	Peng, JM,&Lin, ZH.(1999).A non-interior continuation method for generalized linear complementarity problems.MATHEMATICAL PROGRAMMING,86(3),533-563.
MLA	Peng, JM,et al."A non-interior continuation method for generalized linear complementarity problems".MATHEMATICAL PROGRAMMING 86.3(1999):533-563.