A Regularization Newton Method for Solving Nonlinear Complementarity Problems

A Regularization Newton Method for Solving Nonlinear Complementarity Problems In this paper we construct a regularization Newton method for solving the nonlinear complementarity problem (NCP(F )) and analyze its convergence properties under the assumption that F is a P 0 -function. We prove that every accumulation point of the sequence of iterates is a solution of NCP(F ) and that the sequence of iterates is bounded if the solution set of NCP(F ) is nonempty and bounded. Moreover, if F is a monotone and Lipschitz continuous function, we prove that the sequence of iterates is bounded if and only if the solution set of NCP(F ) is nonempty by setting $t=\frac{1}{2}$ , where $t\in [\frac{1}{2},1]$ is a parameter. If NCP(F) has a locally unique solution and satisfies a nonsingularity condition, then the convergence rate is superlinear (quadratic) without strict complementarity conditions. At each step, we only solve a linear system of equations. Numerical results are provided and further applications to other problems are discussed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A Regularization Newton Method for Solving Nonlinear Complementarity Problems

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Publisher
Springer-Verlag
Copyright
Copyright © Inc. by 1999 Springer-Verlag New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s002459900128
Publisher site
See Article on Publisher Site

Abstract

In this paper we construct a regularization Newton method for solving the nonlinear complementarity problem (NCP(F )) and analyze its convergence properties under the assumption that F is a P 0 -function. We prove that every accumulation point of the sequence of iterates is a solution of NCP(F ) and that the sequence of iterates is bounded if the solution set of NCP(F ) is nonempty and bounded. Moreover, if F is a monotone and Lipschitz continuous function, we prove that the sequence of iterates is bounded if and only if the solution set of NCP(F ) is nonempty by setting $t=\frac{1}{2}$ , where $t\in [\frac{1}{2},1]$ is a parameter. If NCP(F) has a locally unique solution and satisfies a nonsingularity condition, then the convergence rate is superlinear (quadratic) without strict complementarity conditions. At each step, we only solve a linear system of equations. Numerical results are provided and further applications to other problems are discussed.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Aug 1, 2091

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