A Non-Interior Continuation Algorithm for the P 0 or P * LCP with Strong Global and Local Convergence Properties

A Non-Interior Continuation Algorithm for the P 0 or P * LCP with Strong Global and Local... We propose a non-interior continuation algorithm for the solution of the linear complementarity problem (LCP) with a P 0 matrix. The proposed algorithm differentiates itself from the current continuation algorithms by combining good global convergence properties with good local convergence properties under unified conditions. Specifically, it is shown that the proposed algorithm is globally convergent under an assumption which may be satisfied even if the solution set of the LCP is unbounded. Moreover, the algorithm is globally linearly and locally superlinearly convergent under a nonsingularity assumption. If the matrix in the LCP is a P * matrix, then the above results can be strengthened to include global linear and local quadratic convergence under a strict complementary condition without the nonsingularity assumption. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A Non-Interior Continuation Algorithm for the P 0 or P * LCP with Strong Global and Local Convergence Properties

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Publisher
Springer-Verlag
Copyright
Copyright © 2005 by Springer
Subject
Mathematics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization; Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Methods
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-005-0827-0
Publisher site
See Article on Publisher Site

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