A non-interior continuation algorithm for the CP based on a generalized smoothing function

作者：Lu Li Yong; Gu Wei Zhe^*

来源：Journal of Computational and Applied Mathematics, 2011, 235(8): 2300-2313.

DOI：10.1016/j.cam.2010.10.027

• Complementarity problem
• Non-interior continuation algorithm
• Global linear convergence
• Local quadratic convergence

Based on the generalized CP-function proposed by Hu et al. [S.L. Hu, Z.H. Huang, J.S. Chen, Properties of a family of generalized NCP-functions and a derivative free algorithm for complementarity problems, J. Comput. Appl. Math. 230 (2009) 69-82], we introduce a smoothing function which is a generalization of several popular smoothing functions. By which we propose a non-interior continuation algorithm for solving the complementarity problem. The proposed algorithm only needs to solve at most one system of linear equations at each iteration. In particular, we show that the algorithm is globally linearly and locally quadratically convergent under suitable assumptions. The preliminary numerical results demonstrate that the algorithm is effective.

• 出版日期2011-2-15
• 单位天津大学