A Truly Globally Convergent Newton-Type Method for the Monotone Nonlinear Complementarity Problem

• Authors: M. V. Solodov;B. F. Svaiter
• Venue: SIAM Journal on Optimization
• Year: 1999

The Josephy--Newton method for solving a nonlinear complementarity problem consists of solving, possibly inexactly, a sequence of linear complementarity problems. Under appropriate regularity assumptions, this method is known to be locally (superlinearly) convergent. To enlarge the domain of convergence of the Newton method, some globalization strategy based on a chosen merit function is typically used. However, to ensure global convergence to a solution, some additional restrictive assumptions are needed. These assumptions imply boundedness of level sets of the merit function and often even (global) uniqueness of the solution. We present a new globalization strategy for monotone problems which is not based on any merit function. Our linesearch procedure utilizes the regularized Newton direction and the monotonicity structure of the problem to force global convergence by means of a (computationally explicit) projection step which reduces the distance to the solution set of the problem. The resulting algorithm is truly globally convergent in the sense that the subproblems are always solvable, and the whole sequence of iterates converges to a solution of the problem without any regularity assumptions. In fact, the solution set can even be unbounded. Each iteration of the new method has the same order of computational cost as an iteration of the damped Newton method. Under natural assumptions, the local superlinear rate of convergence is also achieved.