The semismooth algorithm for large scale complementarity problems

Citation
Ts. Munson et al., The semismooth algorithm for large scale complementarity problems, INFORMS J C, 13(4), 2001, pp. 294-311
Citations number
41
Categorie Soggetti
Computer Science & Engineering
Journal title
INFORMS JOURNAL ON COMPUTING
ISSN journal
10919856 → ACNP
Volume
13
Issue
4
Year of publication
2001
Pages
294 - 311
Database
ISI
SICI code
1091-9856(200123)13:4<294:TSAFLS>2.0.ZU;2-Y
Abstract
Complementarity solvers are continually being challenged by modelers demand ing improved reliability and scalability. Building upon a strong theoretica l background, the semismooth algorithm has the potential to meet both of th ese requirements. We discuss relevant theory associated with the algorithm and then describe a sophisticated implementation in detail. Particular emph asis is given to the use of preconditioned iterative methods to solve the ( nonsymmetric) systems of linear equations generated at each iteration and r obust methods for dealing with singularity. Results on the MCPLIB test suit e indicate that the code is reliable and efficient and scales well to very large problems.