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A GLOBAL LINEAR AND LOCAL QUADRATIC NONINTERIOR CONTINUATION METHOD FOR NONLINEAR COMPLEMENTARITY PROBLEMS BASED ON CHEN-MANGASARIAN SMOOTHING FUNCTIONS

修乃华BINTONG CHEN† AND NAIHUA XIU‡

SIAM J. OPTIM. 1999 Society for Industrial and Applied Mathematics Vol. 9, No.3, pp. 605~623,-0001,():

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摘要/描述

A noninterior continuation method is proposed for nonlinear complementarity problems. It improves the noninterior continuation methods recently studied by Burke and Xu [Math. Oper. Res., 23 (1998), pp. 719{734} and Xu [The Global Linear Convergence of an Infeasible Non-Interior Path-following Algorithm for Complementarity Problems with Uniform P-functions, Preprint, Department of Mathematics, University of Washington, Seattle, 1996]; the interior point neighborhood technique is extended to a broader class of smoothing functions introduced by Chen and Mangasarian [Comput. Optim. Appl., 5 (1996), pp. 97{138}. The method is shown to be globally linearly convergent following the methodology established by Burke and Xu. In addition, a local acceleration step is added to the method so that it is also locally quadratically convergent under suitable assumptions.

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