Article ID: | iaor19981476 |
Country: | Netherlands |
Volume: | 76 |
Issue: | 3 |
Start Page Number: | 533 |
End Page Number: | 562 |
Publication Date: | Mar 1997 |
Journal: | Mathematical Programming |
Authors: | Ferris Michael C., Billups Stephen C. |
Keywords: | complementarity |
QPCOMP is an extemely robust algorithm for solving mixed nonlinear complementarity problems that has fast local convergence behavior. Based in part on the NE/SQP method of Pang and Gabriel, this algorithm represents a significant advance in robustness at no cost in efficiency. In particular, the algorithm is shown to solve any solvable Lipschitz continuous, continuously differentiable, pseudo-monotone mixed nonlinear complementarity problem. QPCOMP also extends the NE/SQP method for the nonlinear complementarity problem to the more general mixed nonlinear complementarity problem. Computational results are provided, which demonstrate the effectiveness of the algorithm.