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On the Finite Termination of An Entropy Function Based Smoothing Newton Method for Vertical Linear Complementarity Problems

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Author Info
Birbil, S.I.
Fang, S-C.
Han, J. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)
Abstract

By 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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File URL: http://hdl.handle.net/1765/225
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Publisher Info
Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2002-72-LIS Revision_Date: 2009-07-29.

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Date of creation: 16 Sep 2002
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Handle: RePEc:dgr:eureri:2002232

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Related research
Keywords: vertical linear complementarity problems; smoothing approximation; Newton method; entropy function; finite termination;

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  1. Gowda, M Seetharama & Sznajder, Roman, 1996. "A Generalization of the Nash Equilibrium Theorem on Bimatrix Games," International Journal of Game Theory, Springer, vol. 25(1), pages 1-12.
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