Solution of a general linear complementarity problem using smooth optimization and its application to bilinear programming and LCP

This paper addresses a General Linear Complementarity Problem (GLCP) that h as found applications in global optimization. It is shown that a solution o f the GLCP can be computed by finding a stationary point of a differentiabl e function over a set defined by simple bounds on the variables. The applic ation of this result to the solution of bilinear programs and LCPs is discu ssed. Some computational evidence of its usefulness is included in the last part of the paper.