A nonmonotone derivative-free algorithm for nonlinear complementarity problems based on the new generalized penalized Fischer-Burmeister merit function

作者：Zhu, Jianguang^*; Liu, Hongwei; Liu, Changhe; Cong, Weijie

来源：Numerical Algorithms, 2011, 58(4): 573-591.

DOI：10.1007/s11075-011-9471-8

• Nonlinear complementarity problem
• Merit function
• Nonmonotone derivative-free algorithm
• Global error bound
• Global convergence

In this paper, we propose a new generalized penalized Fischer-Burmeister merit function, and show that the function possesses a system of favorite properties. Moreover, for the merit function, we establish the boundedness of level set under a weaker condition. We also propose a derivative-free algorithm for nonlinear complementarity problems with a nonmonotone line search. More specifically, we show that the proposed algorithm is globally convergent and has a locally linear convergence rate. Numerical comparisons are also made with the merit function used by Chen (J Comput Appl Math 232:455-471, 2009), which confirm the superior behaviour of the new merit function.

• 出版日期2011-12
• 单位河南大学; 西安邮电大学; 西安电子科技大学