We consider a generalized proximal point method (GPPA) for solving the nonl
inear complementarity problem with monotone operators in R-n. It differs fr
om the classical proximal point method discussed by Rockafellar for the pro
blem of finding zeroes of monotone operators in the use of generalized dist
ances, called phi-divergences, instead of the Euclidean one. These distance
s play nor only a regularization role but also a penalization one, forcing
the sequence generated by the method to remain in the interior of the feasi
ble set, so that the method behaves like an interior point one. Under appro
priate assumptions on the phi-divergence and the monotone operator we prove
that the sequence converges if and only if the problem has solutions, in w
hich case the limit is a solution. If the problem does nor have solutions,
then the sequence is unbounded. We extend previous results for rile proxima
l point method concerning convex optimization problems.