A NONSMOOTH INEXACT NEWTON METHOD FOR THE SOLUTION OF LARGE-SCALE NONLINEAR COMPLEMENTARITY-PROBLEMS

Authors
FACCHINEI F KANZOW C
Citation
F. Facchinei et C. Kanzow, A NONSMOOTH INEXACT NEWTON METHOD FOR THE SOLUTION OF LARGE-SCALE NONLINEAR COMPLEMENTARITY-PROBLEMS, Mathematical programming, 76(3), 1997, pp. 493-512
Citations number
36
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Operatione Research & Management Science",Mathematics,"Computer Science Software Graphycs Programming
Journal title
Mathematical programming → ACNP
ISSN journal
00255610
Volume
76
Issue
3
Year of publication
1997
Pages
493 - 512
Database
ISI
SICI code
0025-5610(1997)76:3<493:ANINMF>2.0.ZU;2-2
Abstract
A new algorithm for the solution of large-scale nonlinear complementar ity problems is introduced. The algorithm is based on a nonsmooth equa tion reformulation of the complementarity problem and on an inexact Le venberg-Marquardt-type algorithm for its solution. Under mild assumpti ons, and requiring only the approximate solution of a linear system at each iteration, the algorithm is shown to be both globally and superl inearly convergent, even on degenerate problems. Numerical results for problems with up to 10000 variables are presented.