A new branch and bound algorithm for solving quadratic programs with linear complementarity constraints

Authors:
G. S. Liu;J. Z. Zhang
Affiliations:
School of Business Administration, Renmin University of China, Beijing 100872, China;Department of Mathematics, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong, China
Venue:
Journal of Computational and Applied Mathematics - Special issue: Papers presented at the 1st Sino--Japan optimization meeting, 26-28 October 2000, Hong Kong, China
Year:
2002

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Abstract

In order to find a global solution for a quadratic program with linear complementarity constraints (QPLCC) more quickly than some existing methods, we consider to embed a local search method into a global search method. To say more specifically, in a branch-and-bound algorithm for solving QPLCC, when we find a new feasible solution to the problem, we utilize an extreme point algorithm to obtain a locally optimal solution which can provide a better bound and help us to trim more branches. So, the global algorithm can be accelerated. A preliminary numerical experiment was conducted which supports the new algorithm.