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    Jacobian Smoothing Methods for General Nonlinear Complementarity Problems

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    Jacobian Smoothing Methods for General Nonlinear Complementarity Problems (341.1Kb)
    Date
    1997-10-13
    Author
    Pieper, Heiko
    Kanzow, Christian
    Metadata
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    Abstract
    We present a new algorithm for the solution of general (not necessarily monotone) complementarity problems. The algorithm is based on a reformulation of the complementarity problem as a nonsmooth system of equations by using the Fischer-Burmeister function. We use an idea by Chen, Qi and Sun and apply a Jacobian smoothing method (which is a mixture between nonsmooth Newton and smoothing methods) in order to solve this system. In contrast to Chen, Qi and Sun, however, our method can be applied to general complementarity problems. Extensive numerical results indicate that the new algorithm worlds very well. In particular, it can solve all complementarity problems from the MCPLIB and GAMSLIB libraries.
    Subject
    quadratic convergence
    global convergence
    smoothing method
    nonsmooth Newton method
    nonlinear complementarity problem
    Permanent Link
    http://digital.library.wisc.edu/1793/66045
    Type
    Technical Report
    Citation
    97-08
    Part of
    • Math Prog Technical Reports

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