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On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems

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  • Fang, S-C.
  • Han, J.
  • Huang, Z.
  • Birbil, S.I.

Abstract

By using a smooth entropy function to approximate the non-smooth max-type function, a vertical linear complementarity problem (VLCP) can be treated as a family of parameterized smooth equations. A Newton-type method with a testing procedure is proposed to solve such a system. We show that the proposed algorithm finds an exact solution of VLCP in a finite number of iterations, under some conditions milder than those assumed in literature. Some computational results are included to illustrate the potential of this approach.

Suggested Citation

  • Fang, S-C. & Han, J. & Huang, Z. & Birbil, S.I., 2002. "On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems," Econometric Institute Research Papers EI 2002-50, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:527
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    References listed on IDEAS

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    1. James V. Burke & Song Xu, 1998. "The Global Linear Convergence of a Noninterior Path-Following Algorithm for Linear Complementarity Problems," Mathematics of Operations Research, INFORMS, vol. 23(3), pages 719-734, August.
    2. Gowda, M Seetharama & Sznajder, Roman, 1996. "A Generalization of the Nash Equilibrium Theorem on Bimatrix Games," International Journal of Game Theory, Springer;Game Theory Society, vol. 25(1), pages 1-12.
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