On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems
AbstractBy using a smooth entropy function to approximate the non-smooth max-type function, a vertical linear complementarity problem (VLCP) can be treated as a family of parameterized smooth equations. A Newton-type method with a testing procedure is proposed to solve such a system. We show that the proposed algorithm finds an exact solution of VLCP in a finite number of iterations, under some conditions milder than those assumed in literature. Some computational results are included to illustrate the potential of this approach.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2002-50.
Date of creation: 31 Dec 2002
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Newton method; Finite termination; Entropy function; Smoothing approximation; Vertical linear complementarity problems;
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