Feasible descent algorithms for mixed complementarity problems

Feasible descent algorithms for mixed complementarity problems

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Article ID: iaor20003789
Country: Germany
Volume: 86
Issue: 3
Start Page Number: 475
End Page Number: 497
Publication Date: Jan 1999
Journal: Mathematical Programming
Authors: , ,
Keywords: complementarity
Abstract:

In this paper we consider a general algorithmic framework for solving nonlinear mixed complementarity problems. The main features of this framework are: (a) it is well-defined for an arbitrary mixed complementarity problem, (b) it generates only feasible iterates, (c) it has a strong global convergence theory, and (d) it is locally fast convergent under standard regularity assumptions. This framework is applied to the PATH solver in order to show viability of the approach. Numerical results for an appropriate modification of the PATH solver indicate that this framework leads to substantial computational improvements.

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