On the finite termination of an entropy function based non-interior continuation method for vertical linear complementarity problems
Fang, Shu-Cherng and Han, Jiye and Huang, Zheng-Hai and Birbil, Ş. İlker (2005) On the finite termination of an entropy function based non-interior continuation method for vertical linear complementarity problems. Journal of global optimization, 33 (3). pp. 369-391. ISSN 0925-5001 (Print) 1573-2916 (Online)
Official URL: http://dx.doi.org/10.1007/s10898-004-6098-5
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 under some milder than usual assumptions the proposed algorithm finds an exact solution of VLCP in a finite number of iterations. Some computational results are included to illustrate the potential of this approach.
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