Some equation-based methods for the nonlinear complementarity problem

We present some methods for solving the nonlinear complementarity problem (NCP). These methods are based on a characterization of NCP consisting of a (usually differentiable) system of nonlinear equations. In particular, we present a decomposition of the linear system which arises at each iteration of Newton's method. Finally, some preliminary numerical results are given.

[1]  O. Mangasarian Equivalence of the Complementarity Problem to a System of Nonlinear Equations , 1976 .

[2]  L. Watson Solving the Nonlinear Complementarity Problem by a Homotopy Method , 1979 .

[3]  Andrzej P. Wierzbicki Note on the equivalence of Kuhn-Tucker complementarity conditions to an equation , 1982 .

[4]  F. Clarke Optimization And Nonsmooth Analysis , 1983 .

[5]  John E. Dennis,et al.  Numerical methods for unconstrained optimization and nonlinear equations , 1983, Prentice Hall series in computational mathematics.

[6]  Lars Mathiesen,et al.  An algorithm based on a sequence of linear complementarity problems applied to a walrasian equilibrium model: An example , 1987, Math. Program..

[7]  Patrick T. Harker,et al.  Newton's method for the nonlinear complementarity problem: A B-differentiable equation approach , 1990, Math. Program..

[8]  Patrick T. Harker,et al.  Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications , 1990, Math. Program..

[9]  Jong-Shi Pang,et al.  A B-differentiable equation-based, globally and locally quadratically convergent algorithm for nonlinear programs, complementarity and variational inequality problems , 1991, Math. Program..

[10]  Mário C. Zambaldi,et al.  An inverse column-updating method for solving large–scale nonlinear systems of equations , 1992 .

[11]  A. Fischer A special newton-type optimization method , 1992 .

[12]  Olvi L. Mangasarian,et al.  Nonlinear complementarity as unconstrained and constrained minimization , 1993, Math. Program..

[13]  P. Subramanian Gauss-Newton methods for the complementarity problem , 1993 .