QPCOMP: A quadratic programming based solver for mixed complementarity problems

QPCOMP: A quadratic programming based solver for mixed complementarity problems

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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: ,
Keywords: complementarity
Abstract:

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.

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